Macroaxis considers iPath B not too risky given 1 month investment horizon. iPath B SP shows Sharpe Ratio of 0.1628 which attests that iPath B SP 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-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
3.88, Mean Deviation of 1.16 and Downside Deviation of 1.99 to validate if our risk estimates are consistent with your expectations.
|Time Horizon||30 Days Login to change|
iPath B Market Sensitivity
|As returns on market increase, returns on owning iPath B are expected to decrease at a much smaller rate. During bear market, iPath B is likely to outperform the market.One Month Beta |Analyze iPath B SP Demand TrendCheck current 30 days iPath B correlation with market (DOW)|
β = -0.0745
iPath B SP Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, iPath B SP GSCI Crude Oil TR ETN has beta of -0.0745 . This implies as returns on benchmark increase, returns on holding iPath B are expected to decrease at a much smaller rate. During bear market, however, iPath B SP GSCI Crude Oil TR ETN is likely to outperform the market. Moreover, iPath B SP GSCI Crude Oil TR ETN has an alpha of 0.2845 implying that it can potentially generate 0.2845% 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 B is 614.07. The daily returns are destributed with a variance of 2.9 and standard deviation of 1.7. The mean deviation of iPath B SP GSCI Crude Oil TR ETN is currently at 1.16. For similar time horizon, the selected benchmark (DOW) has volatility of 1.04