iPath Seasonal Risk Analysis

iPath Seasonal Natural Gas ETN -- USA Etf  

USD 16.95  0.04  0.24%

Macroaxis considers iPath Seasonal to be unknown risk. iPath Seasonal Natural shows Sharpe Ratio of -0.6258 which attests that iPath Seasonal Natural had -0.6258% 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 (1.5) and Mean Deviation of 0.7789 to validate risk estimate we provide.
Investment Horizon     30 Days    Login   to change

iPath Seasonal Market Sensitivity

As returns on market increase, iPath Seasonal returns are expected to increase less than the market. However during bear market, the loss on holding iPath Seasonal will be expected to be smaller as well.
One Month Beta |Analyze iPath Seasonal Natural Demand Trend
Check current 30 days iPath Seasonal correlation with market (DOW)
β = 0.2426
iPath Seasonal Small BetaiPath Seasonal Natural Beta Legend

iPath Seasonal Natural Technical Analysis

Transformation
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Projected Return Density Against Market

Given the investment horizon of 30 days, iPath Seasonal has beta of 0.2426 suggesting as returns on market go up, iPath Seasonal average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iPath Seasonal Natural Gas ETN will be expected to be much smaller as well. Additionally, iPath Seasonal Natural Gas ETN has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of iPath Seasonal is -159.81. The daily returns are destributed with a variance of 0.96 and standard deviation of 0.98. The mean deviation of iPath Seasonal Natural Gas ETN is currently at 0.81. For similar time horizon, the selected benchmark (DOW) has volatility of 0.51
α
Alpha over DOW
=0.4
βBeta against DOW=0.24
σ
Overall volatility
=0.98
 IrInformation ratio =0.48

Actual Return Volatility

iPath Seasonal Natural Gas ETN inherits 0.9788% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5172% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath Seasonal Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Largest Trends

iPath Seasonal Largest Period Trend

Investment Outlook

iPath Seasonal Investment Opportunity
iPath Seasonal Natural Gas ETN has a volatility of 0.98 and is 1.88 times more volatile than DOW. 9% of all equities and portfolios are less risky than iPath Seasonal. Compared to the overall equity markets, volatility of historical daily returns of iPath Seasonal Natural Gas ETN is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use iPath Seasonal Natural Gas ETN to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of iPath Seasonal to be traded at $16.78 in 30 days. As returns on market increase, iPath Seasonal returns are expected to increase less than the market. However during bear market, the loss on holding iPath Seasonal will be expected to be smaller as well.

iPath Seasonal correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding iPath Seasonal Natural Gas ETN and equity matching DJI index in the same portfolio.

Volatility Indicators

iPath Seasonal Current Risk Indicators