iPath SP Risk Analysis And Volatility Evaluation

OIL -- USA iPath Goldman Sachs Crude Oil Total Return Index ETN  

USD 1,694  0.50  0.0295%

iPath SP is abnormally risky given 1 month investment horizon. iPath SP GSCI shows Sharpe Ratio of 0.1905 which attests that iPath SP GSCI had 0.1905% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a ipath goldman sachs crude oil total return index etn is to use iPath SP GSCI market data together with company specific technical indicators. We found twenty different technical indicators which can help you to evaluate if expected returns of 41.0% are justified by taking the suggested risk. Use iPath SP GSCI Crude Oil TR ETN Market Risk Adjusted Performance of 0.32, Mean Deviation of 1926.54 and Coefficient Of Variation of 471.23 to evaluate company specific risk that cannot be diversified away.
 Time 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 = -3037.3883
iPath SP Large Negative BetaiPath SP GSCI Beta Legend

iPath SP GSCI Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. iPath SP GSCI Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, iPath SP GSCI Crude Oil TR ETN has beta of -3037.3883 . 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. In addition to that, iPath SP GSCI Crude Oil TR ETN has an alpha of 1378.1925 implying that it can potentially generate 1378.1925% 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 525.02. The daily returns are destributed with a variance of 46335.54 and standard deviation of 215.26. The mean deviation of iPath SP GSCI Crude Oil TR ETN is currently at 87.18. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=1,378
β
Beta against DOW=3,037
σ
Overall volatility
=215.26
Ir
Information ratio =0.21

Actual Return Volatility

iPath SP GSCI Crude Oil TR ETN has volatility of 215.2569% on return distribution over 30 days investment horizon. DOW inherits 0.5855% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath SP Volatility Factors

30 Days Market Risk

Abnormally risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Completely opposite to market

Investment Outlook

iPath SP Investment Opportunity
iPath SP GSCI Crude Oil TR ETN has a volatility of 215.26 and is 364.85 times more volatile than DOW. 96% 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 higher than 96 (%) of all global equities and portfolios over the last 30 days. Use iPath SP GSCI Crude Oil TR ETN to protect against small markets fluctuations. The ipath goldman sachs crude oil total return index etn experiences normal downward trend and little activity. Check odds of iPath SP to be traded at $1677.43 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.
Additionally take a look at Your Equity Center. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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