iPath B Risk Analysis And Volatility Evaluation

OILB -- USA Etf  

USD 65.28  3.26  4.76%

We consider iPath B not too risky. iPath B SP shows Sharpe Ratio of 0.0537 which attests that iPath B SP had 0.0537% 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 B SP which you can use to evaluate future volatility of the etf. Please check out iPath B SP Mean Deviation of 1.52 to validate if risk estimate we provide are consistent with the epected return of 0.1014%.
 Time Horizon     30 Days    Login   to change

iPath B SP Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. 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.

Projected Return Density Against Market

Given the investment horizon of 30 days, iPath B has beta of 0.0 . This implies unless we do not have required data, the returns on DOW and iPath B are completely uncorrelated. Furthermore, iPath B SP GSCI Crude Oil TR ETNIt does not look like iPath B alpha can have any bearing on the equity current valuation.
Given the investment horizon of 30 days, the coefficient of variation of iPath B is 1861.53. The daily returns are destributed with a variance of 3.56 and standard deviation of 1.89. The mean deviation of iPath B SP GSCI Crude Oil TR ETN is currently at 1.4. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=1.89
Ir
Information ratio =0.00

Actual Return Volatility

iPath B SP GSCI Crude Oil TR ETN inherits 1.8869% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.0% 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

Market Insensitive

Investment Outlook

iPath B Investment Opportunity
iPath B SP GSCI Crude Oil TR ETN has a volatility of 1.89 and is 3.15 times more volatile than DOW. 17% 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 17 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

iPath B Current Risk Indicators
Additionally take a look at Your Equity Center. Please also try Equity Valuation module to check real value of public entities based on technical and fundamental data.