VanEck Vectors Risk Analysis And Volatility Evaluation

BBH -- USA Etf  

USD 131.26  0.05  0.0381%

We consider VanEck Vectors not too risky. VanEck Vectors Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0804 which indicates VanEck Vectors Biotech had 0.0804% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for VanEck Vectors Biotech ETF which you can use to evaluate future volatility of the etf. Please validate VanEck Vectors Semi Deviation of 0.7148, Coefficient Of Variation of 1230.47 and Risk Adjusted Performance of 0.0365 to confirm if risk estimate we provide are consistent with the epected return of 0.0673%.
Horizon     30 Days    Login   to change

VanEck Vectors Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VanEck Vectors will likely underperform.
One Month Beta |Analyze VanEck Vectors Biotech Demand Trend
Check current 30 days VanEck Vectors correlation with market (DOW)
β = 1.2579
VanEck Vectors Large BetaVanEck Vectors Biotech Beta Legend

VanEck Vectors Biotech Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. VanEck Vectors Biotech 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.

VanEck Vectors Projected Return Density Against Market

Considering 30-days investment horizon, the etf has beta coefficient of 1.2579 . This suggests as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, VanEck Vectors will likely underperform. Additionally, VanEck Vectors Biotech ETF 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 
Considering 30-days investment horizon, the coefficient of variation of VanEck Vectors is 1243.01. The daily returns are destributed with a variance of 0.7 and standard deviation of 0.84. The mean deviation of VanEck Vectors Biotech ETF is currently at 0.65. For similar time horizon, the selected benchmark (DOW) has volatility of 0.38
α
Alpha over DOW
=0.06
β
Beta against DOW=1.26
σ
Overall volatility
=0.84
Ir
Information ratio =0.04

VanEck Vectors Return Volatility

VanEck Vectors Biotech ETF has volatility of 0.8364% on return distribution over 30 days investment horizon. DOW inherits 0.389% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VanEck Vectors Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Totally responsive to market

Investment Outlook

VanEck Vectors Investment Opportunity

VanEck Vectors Biotech ETF has a volatility of 0.84 and is 2.15 times more volatile than DOW. 7% of all equities and portfolios are less risky than VanEck Vectors. Compared to the overall equity markets, volatility of historical daily returns of VanEck Vectors Biotech ETF is lower than 7 (%) of all global equities and portfolios over the last 30 days. Use VanEck Vectors Biotech ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of VanEck Vectors to be traded at $137.82 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, VanEck Vectors will likely underperform.

VanEck Vectors correlation with market

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding VanEck Vectors Biotech ETF and equity matching DJI index in the same portfolio.

VanEck Vectors Volatility Indicators

VanEck Vectors Biotech ETF Current Risk Indicators

Check also Trending Equities. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Search macroaxis.com