iPath SP Risk Analysis

iPath SP GSCI Crude Oil TR ETN -- USA Etf  

USD 5.37  0.02  0.37%

We consider iPath SP relatively risky. iPath SP GSCI shows Sharpe Ratio of 0.0402 which attests that iPath SP GSCI had 0.0402% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for iPath SP GSCI which you can use to evaluate future volatility of the etf. Please check out iPath SP GSCI Market Risk Adjusted Performance of (0.019), Mean Deviation of 1.34 and Downside Deviation of 1.74 to validate if risk estimate we provide are consistent with the epected return of 0.073%.
Investment Horizon     30 Days    Login   to change

iPath SP Market Sensitivity

As returns on market increase, returns on owning iPath SP are expected to decrease by larger amounts. On the other hand, during market turmoil, iPath SP is expected to significantly outperform it.
One Month Beta |Analyze iPath SP GSCI Demand Trend
Check current 30 days iPath SP correlation with market (DOW)
β = -2.2874
iPath SP Large Negative BetaiPath SP GSCI Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, iPath SP GSCI Crude Oil TR ETN has beta of -2.2874 . This implies as returns on its benchmark rise, returns on holding iPath SP GSCI Crude Oil TR ETN are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, iPath SP is expected to outperform its benchmark. Moreover, iPath SP GSCI Crude Oil TR ETN has an alpha of 0.3498 implying that it can potentially generate 0.3498% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of iPath SP is 2489.25. The daily returns are destributed with a variance of 3.3 and standard deviation of 1.82. The mean deviation of iPath SP GSCI Crude Oil TR ETN is currently at 1.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.35 
βBeta against DOW=(2.29) 
σ
Overall volatility
= 1.82 
 IrInformation ratio =(0.031) 

Actual Return Volatility

iPath SP GSCI Crude Oil TR ETN has volatility of 1.8178% on return distribution over 30 days investment horizon. DOW inherits 0.2355% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath SP Volatility Factors

30 Days Market Risk

Relatively risky

Chance of Distress in 24 months

About average

30 Days Economic Sensitivity

Completely opposite to market

Largest Trends

iPath SP Largest Period Trend

Investment Outlook

iPath SP Investment Opportunity
iPath SP GSCI Crude Oil TR ETN has a volatility of 1.82 and is 7.58 times more volatile than DOW. 17% of all equities and portfolios are less risky than iPath SP. Compared to the overall equity markets, volatility of historical daily returns of iPath SP GSCI Crude Oil TR ETN is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use iPath SP GSCI Crude Oil TR ETN to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of iPath SP to be traded at $5.64 in 30 days. As returns on market increase, returns on owning iPath SP are expected to decrease by larger amounts. On the other hand, during market turmoil, iPath SP is expected to significantly outperform it.

iPath SP correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding iPath SP GSCI Crude Oil TR ETN and equity matching DJI index in the same portfolio.