We consider iPath Series not too risky. iPath Series B shows Sharpe Ratio of 0.1628 which attests that iPath Series B had 0.1628% 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-eight 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
(0.19), Mean Deviation of 0.9058 and Downside Deviation of 1.72 to validate if risk estimate we provide are consistent with the epected return of 0.175%.
|Investment Horizon||30 Days Login to change|
iPath Series Market Sensitivity
|As returns on market increase, returns on owning iPath Series are expected to decrease at a much smaller rate. During bear market, iPath Series is likely to outperform the market.One Month Beta |Analyze iPath Series B Demand TrendCheck current 30 days iPath Series correlation with market (DOW)|
β = -0.7525
Projected Return Density Against MarketGiven the investment horizon of 30 days, iPath Series B SP GSCI Crude Oil has beta of -0.7525 . This implies as returns on benchmark increase, returns on holding iPath Series are expected to decrease at a much smaller rate. During bear market, however, iPath Series B SP GSCI Crude Oil is likely to outperform the market. Moreover, iPath Series B SP GSCI Crude Oil has an alpha of 0.2487 implying that it can potentially generate 0.2487% 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 614.19. The daily returns are destributed with a variance of 1.15 and standard deviation of 1.07. The mean deviation of iPath Series B SP GSCI Crude Oil is currently at 0.72. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23