We consider iPath SP moderately volatile. iPath SP GSCI shows Sharpe Ratio of 0.0524 which attests that iPath SP GSCI had 0.0524% 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-one 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
0.43, Mean Deviation of 1.45 and Downside Deviation of 2.03 to validate if risk estimate we provide are consistent with the epected return of 0.1024%.
|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 at a much smaller rate. During bear market, iPath SP is likely to outperform the market.One Month Beta |Analyze iPath SP GSCI Demand TrendCheck current 30 days iPath SP correlation with market (DOW)|
β = -0.4235
iPath SP GSCI Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, iPath SP GSCI Crude Oil TR ETN has beta of -0.4235 . This implies as returns on benchmark increase, returns on holding iPath SP are expected to decrease at a much smaller rate. During bear market, however, iPath SP GSCI Crude Oil TR ETN is likely to outperform the market. Moreover, iPath SP GSCI Crude Oil TR ETN has an alpha of 0.1521 implying that it can potentially generate 0.1521% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of iPath SP is 1909.45. The daily returns are destributed with a variance of 3.83 and standard deviation of 1.96. The mean deviation of iPath SP GSCI Crude Oil TR ETN is currently at 1.57. For similar time horizon, the selected benchmark (DOW) has volatility of 1.12