Macroaxis considers iPath Series to be not too risky. iPath Series B shows Sharpe Ratio of -0.0024 which attests that iPath Series B had -0.0024% 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 0.0578 and Mean Deviation of 0.2705 to validate risk estimate we provide.
|Investment 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 TrendCheck current 30 days iPath Series correlation with market (DOW)|
β = 0.1931
iPath Series B Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, iPath Series has beta of 0.1931 . 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
Given the investment horizon of 30 days, the coefficient of variation of iPath Series is -41673.55. The daily returns are destributed with a variance of 0.28 and standard deviation of 0.53. The mean deviation of iPath Series B SP GSCI Crude Oil is currently at 0.29. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47