Macroaxis considers iPath Seasonal to be unknown risk. iPath Seasonal Natural shows Sharpe Ratio of -0.2097 which attests that iPath Seasonal Natural had -0.2097% 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 1.57 and Mean Deviation of 0.5554 to validate risk estimate we provide.
|Time Horizon||30 Days Login to change|
iPath Seasonal Market Sensitivity
|As returns on market increase, returns on owning iPath Seasonal are expected to decrease at a much smaller rate. During bear market, iPath Seasonal is likely to outperform the market.One Month Beta |Analyze iPath Seasonal Natural Demand TrendCheck current 30 days iPath Seasonal correlation with market (DOW)|
β = -0.0896
iPath Seasonal Natural Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, iPath Seasonal Natural Gas ETN has beta of -0.0896 suggesting as returns on benchmark increase, returns on holding iPath Seasonal are expected to decrease at a much smaller rate. During bear market, however, iPath Seasonal Natural Gas ETN is likely to outperform the market. 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
Given the investment horizon of 30 days, the coefficient of variation of iPath Seasonal is -476.98. The daily returns are destributed with a variance of 1.87 and standard deviation of 1.37. The mean deviation of iPath Seasonal Natural Gas ETN is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 1.75