iPath B Risk Analysis And Volatility Evaluation

OILB -- USA Etf  

USD 73.15  1.57  2.10%

Macroaxis considers iPath B not too risky given 1 month investment horizon. iPath B SP shows Sharpe Ratio of 0.1933 which attests that iPath B SP had 0.1933% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for iPath B SP which you can use to evaluate future volatility of the etf. Please utilize iPath B SP Market Risk Adjusted Performance of 0.3064, Mean Deviation of 0.8675 and Downside Deviation of 0.9919 to validate if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

iPath B Market Sensitivity

As returns on market increase, iPath B returns are expected to increase less than the market. However during bear market, the loss on holding iPath B will be expected to be smaller as well.
One Month Beta |Analyze iPath B SP Demand Trend
Check current 30 days iPath B correlation with market (DOW)
β = 0.4425
iPath B Small BetaiPath B SP Beta Legend

iPath B SP Technical Analysis

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

iPath B Projected Return Density Against Market

Given the investment horizon of 30 days, iPath B has beta of 0.4425 . This implies as returns on market go up, iPath B average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iPath B SP GSCI Crude Oil TR ETN will be expected to be much smaller as well. Moreover, iPath B SP GSCI Crude Oil TR ETN has an alpha of 0.0653 implying that it can potentially generate 0.0653% 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 B is 517.36. The daily returns are destributed with a variance of 1.62 and standard deviation of 1.27. The mean deviation of iPath B SP GSCI Crude Oil TR ETN is currently at 0.94. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.07
β
Beta against DOW=0.44
σ
Overall volatility
=1.27
Ir
Information ratio =0.01

iPath B Return Volatility

iPath B SP GSCI Crude Oil TR ETN inherits 1.2714% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4541% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath B Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

iPath B Investment Opportunity

iPath B SP GSCI Crude Oil TR ETN has a volatility of 1.27 and is 2.82 times more volatile than DOW. 11% of all equities and portfolios are less risky than iPath B. Compared to the overall equity markets, volatility of historical daily returns of iPath B SP GSCI Crude Oil TR ETN is lower than 11 (%) of all global equities and portfolios over the last 30 days. Use iPath B SP GSCI Crude Oil TR ETN to protect against small markets fluctuations. The etf experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of iPath B to be traded at $70.22 in 30 days. As returns on market increase, iPath B returns are expected to increase less than the market. However during bear market, the loss on holding iPath B will be expected to be smaller as well.

iPath B correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding iPath B SP GSCI Crude Oil TR E and equity matching DJI index in the same portfolio.

iPath B Volatility Indicators

iPath B SP GSCI Crude Oil TR ETN Current Risk Indicators

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