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 TrendCheck current 30 days iPath SP correlation with market (DOW)|
β = -2.2874
Projected Return Density Against MarketConsidering 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).
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