VanEck Vectors Risk Analysis And Volatility Evaluation

BBH -- USA Etf  

USD 121.98  0.04  0.0328%

We consider VanEck Vectors not too risky. VanEck Vectors Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.199 which indicates VanEck Vectors Biotech had 0.199% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 VanEck Vectors Biotech ETF which you can use to evaluate future volatility of the etf. Please validate VanEck Vectors Semi Deviation of 0.39, Coefficient Of Variation of 490.86 and Risk Adjusted Performance of 0.01 to confirm if risk estimate we provide are consistent with the epected return of 0.1491%.
 Time Horizon     30 Days    Login   to change

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.

Projected Return Density Against Market

Considering 30-days investment horizon, VanEck Vectors has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and VanEck Vectors are completely uncorrelated. Furthermore, VanEck Vectors Biotech ETFIt does not look like VanEck Vectors alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of VanEck Vectors is 502.57. The daily returns are destributed with a variance of 0.56 and standard deviation of 0.75. The mean deviation of VanEck Vectors Biotech ETF is currently at 0.6. 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
=0.75
Ir
Information ratio =0.20

Actual Return Volatility

VanEck Vectors Biotech ETF has volatility of 0.7495% on return distribution over 30 days investment horizon. DOW inherits 1.4339% 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

Market Insensitive

Investment Outlook

VanEck Vectors Investment Opportunity
DOW has a standard deviation of returns of 1.43 and is 1.91 times more volatile than VanEck Vectors Biotech ETF. 6% 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 6 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

VanEck Vectors Current Risk Indicators
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