iPath Series Risk Analysis

iPath Series B SP GSCI Crude Oil -- USA Etf  

USD 56.28  0.0035  0.0062%

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 Trend
Check current 30 days iPath Series correlation with market (DOW)
β = 0.5995
iPath Series Small BetaiPath Series B Beta Legend

iPath Series B Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. iPath Series B 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

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.13
βBeta against DOW=0.6
σ
Overall volatility
=0.53
 IrInformation ratio =0.034

Actual Return Volatility

iPath Series B SP GSCI Crude Oil inherits 0.5287% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4946% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath Series Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Slightly opposite to market

Largest Trends

iPath Series Largest Period Trend

Investment Outlook

iPath Series Investment Opportunity
iPath Series B SP GSCI Crude Oil has a volatility of 0.53 and is 1.08 times more volatile than DOW. 4% of all equities and portfolios are less risky than iPath Series. Compared to the overall equity markets, volatility of historical daily returns of iPath Series B SP GSCI Crude Oil is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use iPath Series B SP GSCI Crude Oil to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of iPath Series to be traded at $55.72 in 30 days. 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.

iPath Series correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding iPath Series B S&P GSCI Crude and equity matching DJI index in the same portfolio.