VanEck Vectors Risk Analysis And Volatility Evaluation

BBH -- USA Etf  

USD 118.79  0.24  0.20%

Macroaxis considers VanEck Vectors to be not too risky. VanEck Vectors Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0575 which indicates VanEck Vectors Biotech had -0.0575% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring 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. VanEck Vectors Biotech ETF exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate VanEck Vectors Coefficient Of Variation of (1,105) and Risk Adjusted Performance of (0.12) to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

VanEck Vectors Market Sensitivity

As returns on market increase, VanEck Vectors returns are expected to increase less than the market. However during bear market, the loss on holding VanEck Vectors will be expected to be smaller as well.
2 Months Beta |Analyze VanEck Vectors Biotech Demand Trend
Check current 30 days VanEck Vectors correlation with market (DOW)
β = 0.581

VanEck Vectors Central Daily Price Deviation

VanEck Vectors Biotech Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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, VanEck Vectors has beta of 0.581 . This suggests as returns on market go up, VanEck Vectors average returns are expected to increase less than the benchmark. However during bear market, the loss on holding VanEck Vectors Biotech ETF will be expected to be much smaller as well. 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 -1737.87. The daily returns are destributed with a variance of 3.55 and standard deviation of 1.88. The mean deviation of VanEck Vectors Biotech ETF is currently at 1.35. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.1
β
Beta against DOW=0.58
σ
Overall volatility
=1.88
Ir
Information ratio =0.01

VanEck Vectors Return Volatility

VanEck Vectors Biotech ETF has volatility of 1.883% on return distribution over 30 days investment horizon. DOW inherits 1.3062% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

VanEck Vectors Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Follows market closely

Investment Outlook

VanEck Vectors Investment Opportunity

VanEck Vectors Biotech ETF has a volatility of 1.88 and is 1.44 times more volatile than DOW. 17% 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 17 (%) 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 $124.73 in 30 days. As returns on market increase, VanEck Vectors returns are expected to increase less than the market. However during bear market, the loss on holding VanEck Vectors will be expected to be smaller as well.

VanEck Vectors correlation with market

correlation synergy
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

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