iPath Series Risk Analysis

iPath Series B SP GSCI Crude Oil -- USA Etf  

USD 51.43  0.67  1.32%

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 Trend
Check current 30 days iPath Series correlation with market (DOW)
β = -0.7525
iPath Series Almost negative betaiPath Series B Beta Legend

Projected Return Density Against Market

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.25 
βBeta against DOW=(0.75) 
σ
Overall volatility
= 1.07 
 IrInformation ratio = 0.0147 

Actual Return Volatility

iPath Series B SP GSCI Crude Oil inherits 1.0747% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2342% 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

Below average

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 1.07 and is 4.65 times more volatile than DOW. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use iPath Series B SP GSCI Crude Oil to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of iPath Series to be traded at $56.57 in 30 days. 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.

iPath Series correlation with market

Good 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.