Macroaxis considers iPath Seasonal to be not too volatile. iPath Seasonal Natural shows Sharpe Ratio of -0.4061 which attests that iPath Seasonal Natural had -0.4061% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. iPath Seasonal Natural exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out iPath Seasonal Natural Market Risk Adjusted Performance of 0.1243 and Mean Deviation of 0.785 to validate risk estimate we provide.
|Investment Horizon||30 Days Login to change|
iPath Seasonal Market Sensitivity
|As returns on market increase, returns on owning iPath Seasonal are expected to decrease by larger amounts. On the other hand, during market turmoil, iPath Seasonal is expected to significantly outperform it.One Month Beta |Analyze iPath Seasonal Natural Demand TrendCheck current 30 days iPath Seasonal correlation with market (DOW)|
β = -1.3017
Projected Return Density Against MarketGiven the investment horizon of 30 days, iPath Seasonal Natural Gas ETN has beta of -1.3017 suggesting as returns on its benchmark rise, returns on holding iPath Seasonal Natural Gas ETN are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, iPath Seasonal is expected to outperform its benchmark. Moreover, iPath Seasonal Natural Gas ETN has an alpha of 0.0125 implying that it can potentially generate 0.0125% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of iPath Seasonal is -246.27. The daily returns are destributed with a variance of 2.09 and standard deviation of 1.45. The mean deviation of iPath Seasonal Natural Gas ETN is currently at 1.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23