GreenHaven risk analysis

Use GreenHaven Continuous Commodity Index risk analysis concurrently with your other holdings, portfolios, and investing themes to protect against small markets fluctuations and to back test it against optimization strategy that fits your risk preferences.  Analyze Themes

Projected Return Density against Market

Considering 30-days investment horizon, GreenHaven has beta of 0.4 . This indicates as returns on market go up, GreenHaven avarage returns are expected to increase less than the benchmark. However during bear market, the loss on holding GreenHaven Continuous Commodity Index will be expected to be much smaller as well. Moreover, GreenHaven Continuous Commodity Index has alpha of 0.4 implying that it can potentially generate 0.4% excess return over S&P 500 after adjusting for the inherited market risk (beta).Considering 30-days investment horizon, the coefficient of variation of GreenHaven is 30579.99. The daily returns are destributed with a variance of 0.47 and standard deviation of 0.69. The mean deviation of GreenHaven Continuous Commodity Index is currently at 0.52. For similar time horizon, the selected benchmark (S&P 500) has volatility of 0.54

	(alpha)	=	0.40	Details
	(beta)	=	0.40	Details
	(volatility)	=	0.69	Details

Actual Return Volatility

GreenHaven Continuous Commodity Index has volatility of 0.69% on return distribution over 30 days investment horizon. S&P 500 shows 0.54% volatility of returns over 30 trading days.