We consider iPath SP moderately volatile. iPath SP GSCI shows Sharpe Ratio of 0.065 which attests that iPath SP GSCI had 0.065% 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 2.78, 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 0.1208%.
|Time Horizon||30 Days Login to change|
iPath SP Market Sensitivity
|As returns on market increase, iPath SP returns are expected to increase less than the market. However during bear market, the loss on holding iPath SP will be expected to be smaller as well.One Month Beta |Analyze iPath SP GSCI Demand TrendCheck current 30 days iPath SP correlation with market (DOW)|
β = 0.0676
iPath SP GSCI Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, iPath SP has beta of 0.0676 . This implies as returns on market go up, iPath SP average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iPath SP GSCI Crude Oil TR ETN will be expected to be much smaller as well. Moreover, iPath SP GSCI Crude Oil TR ETN has an alpha of 0.1901 implying that it can potentially generate 0.1901% 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 1537.48. The daily returns are destributed with a variance of 3.45 and standard deviation of 1.86. The mean deviation of iPath SP GSCI Crude Oil TR ETN is currently at 1.43. For similar time horizon, the selected benchmark (DOW) has volatility of 1.17