iPath SP Risk Analysis And Volatility Evaluation

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

USD 1,694  12.43  0.74%

iPath SP is abnormally risky given 1 month investment horizon. iPath SP GSCI shows Sharpe Ratio of 0.1901 which attests that iPath SP GSCI had 0.1901% 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 nineteen different technical indicators which can help you to evaluate if expected returns of 40.9164% are justified by taking the suggested risk. Use iPath SP GSCI Crude Oil TR ETN Mean Deviation of 1926.55 and Coefficient Of Variation of 471.25 to evaluate company specific risk that cannot be diversified away.
 Time Horizon     30 Days    Login   to change

iPath SP GSCI Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. 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 has beta of 0.0 . This implies unless we do not have required data, the returns on DOW and iPath SP are completely uncorrelated. Furthermore, iPath SP GSCI Crude Oil TR ETNIt does not look like iPath SP alpha can have any bearing on the equity current valuation.
Considering 30-days investment horizon, the coefficient of variation of iPath SP is 526.13. The daily returns are destributed with a variance of 46342.62 and standard deviation of 215.27. The mean deviation of iPath SP GSCI Crude Oil TR ETN is currently at 87.19. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=215.27
Ir
Information ratio =0.00

Actual Return Volatility

iPath SP GSCI Crude Oil TR ETN has volatility of 215.2734% on return distribution over 30 days investment horizon. DOW inherits 0.0% 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

Market Insensitive

Investment Outlook

iPath SP Investment Opportunity
iPath SP GSCI Crude Oil TR ETN has a volatility of 215.27 and is 336.36 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.
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