BioShares Biotechnology Risk Analysis

BioShares Biotechnology Clinical Trials -- USA Etf  

USD 30.6  0.66  2.11%

Macroaxis considers BioShares Biotechnology not too volatile given 1 month investment horizon. BioShares Biotechnology secures Sharpe Ratio (or Efficiency) of 0.3717 which signifies that BioShares Biotechnology had 0.3717% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing BioShares Biotechnology technical indicators you can presently evaluate if the expected return of 0.6691% is justified by implied risk. Please makes use of BioShares Biotechnology Downside Deviation of 1.86, Risk Adjusted Performance of 0.1676 and Mean Deviation of 1.3 to double-check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

BioShares Biotechnology Market Sensitivity

As returns on market increase, returns on owning BioShares Biotechnology are expected to decrease by larger amounts. On the other hand, during market turmoil, BioShares Biotechnology is expected to significantly outperform it.
One Month Beta |Analyze BioShares Biotechnology Demand Trend
Check current 30 days BioShares Biotechnology correlation with market (DOW)
β = -1.9348
BioShares Biotechnology Large Negative BetaBioShares Biotechnology Beta Legend

BioShares Biotechnology Technical Analysis

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

Considering 30-days investment horizon, BioShares Biotechnology Clinical Trials has beta of -1.9348 . This suggests as returns on its benchmark rise, returns on holding BioShares Biotechnology Clinical Trials are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, BioShares Biotechnology is expected to outperform its benchmark. In addition to that, BioShares Biotechnology Clinical Trials has an alpha of 1.0502 implying that it can potentially generate 1.0502% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of BioShares Biotechnology is 269.04. The daily returns are destributed with a variance of 3.24 and standard deviation of 1.8. The mean deviation of BioShares Biotechnology Clinical Trials is currently at 1.42. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=1.05
β
Beta against DOW=1.93
σ
Overall volatility
=1.8
Ir
Information ratio =0.21

Actual Return Volatility

BioShares Biotechnology Clinical Trials has volatility of 1.8001% on return distribution over 30 days investment horizon. DOW inherits 0.4644% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BioShares Biotechnology Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Very regressive towards market

Largest Trends

BioShares Biotechnology Largest Period Trend

Investment Outlook

BioShares Biotechnology Investment Opportunity
BioShares Biotechnology Clinical Trials has a volatility of 1.8 and is 3.91 times more volatile than DOW. 16% of all equities and portfolios are less risky than BioShares Biotechnology. Compared to the overall equity markets, volatility of historical daily returns of BioShares Biotechnology Clinical Trials is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use BioShares Biotechnology Clinical Trials to protect against small markets fluctuations. The etf experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of BioShares Biotechnology to be traded at $29.38 in 30 days. As returns on market increase, returns on owning BioShares Biotechnology are expected to decrease by larger amounts. On the other hand, during market turmoil, BioShares Biotechnology is expected to significantly outperform it.

BioShares Biotechnology correlation with market

Excellent diversification
Overlapping area represents the amount of risk that can be diversified away by holding BioShares Biotechnology Clinic and equity matching DJI index in the same portfolio.

Volatility Indicators

BioShares Biotechnology Current Risk Indicators