We consider iPath Series not too risky. iPath Series B shows Sharpe Ratio of 0.0262 which attests that iPath Series B had 0.0262% 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 Series B which you can use to evaluate future volatility of the etf. Please check out iPath Series B Market Risk Adjusted Performance of 0.427 and Mean Deviation of 0.628 to validate if risk estimate we provide are consistent with the epected return of 0.0138%.
|Investment Horizon||30 Days Login to change|
iPath Series Market Sensitivity
|As returns on market increase, iPath Series returns are expected to increase less than the market. However during bear market, the loss on holding iPath Series will be expected to be smaller as well.One Month Beta |Analyze iPath Series B Demand TrendCheck current 30 days iPath Series correlation with market (DOW)|
β = 0.5995
iPath Series B Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, iPath Series has beta of 0.5995 . This implies as returns on market go up, iPath Series average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iPath Series B SP GSCI Crude Oil will be expected to be much smaller as well. Moreover, iPath Series B SP GSCI Crude Oil has an alpha of 0.1251 implying that it can potentially generate 0.1251% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of iPath Series is 3821.19. The daily returns are destributed with a variance of 0.28 and standard deviation of 0.53. The mean deviation of iPath Series B SP GSCI Crude Oil is currently at 0.27. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49