iPath Series Risk Analysis

iPath Series B SP GSCI Crude Oil -- USA Etf  

USD 59.12  1.53  2.52%

Macroaxis considers iPath Series to be not too risky. iPath Series B shows Sharpe Ratio of -0.078 which attests that iPath Series B had -0.078% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. iPath Series B exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out iPath Series B Market Risk Adjusted Performance of 1.38 and Mean Deviation of 1.05 to validate risk estimate we provide.
 Time 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 = 0.1249
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 0.1249 . 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. Additionally, iPath Series B SP GSCI Crude Oil has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of iPath Series is -1282.47. The daily returns are destributed with a variance of 2.68 and standard deviation of 1.64. The mean deviation of iPath Series B SP GSCI Crude Oil is currently at 1.07. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71
α
Alpha over DOW
=0.16
β
Beta against DOW=0.12
σ
Overall volatility
=1.64
Ir
Information ratio =0.02

Actual Return Volatility

iPath Series B SP GSCI Crude Oil inherits 1.6376% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.7052% 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

Very low

30 Days Economic Sensitivity

Barely shadows market

Largest Trends

iPath Series Largest Period Trend

Investment Outlook

iPath Series Investment Opportunity
DOW has a standard deviation of returns of 1.71 and is 1.04 times more volatile than iPath Series B SP GSCI Crude Oil. 15% 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 15 (%) 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 unexpected downward movement. The market is reacting to new fundamentals. Check odds of iPath Series to be traded at $56.76 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

Average 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.