Virtus LifeSci Risk Analysis

Virtus LifeSci Biotech Products ETF -- USA Etf  

USD 41.56  0.46  1.09%

Macroaxis considers Virtus LifeSci to be not too risky. Virtus LifeSci Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0083 which indicates Virtus LifeSci Biotech had -0.0083% 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. Virtus LifeSci Biotech Products ETF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Virtus LifeSci Coefficient Of Variation of 6,647 and Risk Adjusted Performance of 0.027007 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

Virtus LifeSci Market Sensitivity

As returns on market increase, Virtus LifeSci returns are expected to increase less than the market. However during bear market, the loss on holding Virtus LifeSci will be expected to be smaller as well.
2 Months Beta |Analyze Virtus LifeSci Biotech Demand Trend
Check current 30 days Virtus LifeSci correlation with market (DOW)
β = 0.1715
Virtus LifeSci Small BetaVirtus LifeSci Biotech Beta Legend

Virtus LifeSci Biotech Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Virtus LifeSci 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, Virtus LifeSci has beta of 0.1715 . This suggests as returns on market go up, Virtus LifeSci average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Virtus LifeSci Biotech Products ETF will be expected to be much smaller as well. Additionally, Virtus LifeSci Biotech Products 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 Virtus LifeSci is -11998.46. The daily returns are destributed with a variance of 2.24 and standard deviation of 1.5. The mean deviation of Virtus LifeSci Biotech Products ETF is currently at 1.21. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
=0.03
β
Beta against DOW=0.17
σ
Overall volatility
=1.50
Ir
Information ratio =0.0006

Actual Return Volatility

Virtus LifeSci Biotech Products ETF has volatility of 1.4961% on return distribution over 30 days investment horizon. DOW inherits 1.4217% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Virtus LifeSci Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

Virtus LifeSci Investment Opportunity
Virtus LifeSci Biotech Products ETF has a volatility of 1.5 and is 1.06 times more volatile than DOW. 13% of all equities and portfolios are less risky than Virtus LifeSci. Compared to the overall equity markets, volatility of historical daily returns of Virtus LifeSci Biotech Products ETF is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use Virtus LifeSci Biotech Products ETF to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Virtus LifeSci to be traded at $40.31 in 30 days. As returns on market increase, Virtus LifeSci returns are expected to increase less than the market. However during bear market, the loss on holding Virtus LifeSci will be expected to be smaller as well.

Virtus LifeSci correlation with market

Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Virtus LifeSci Biotech Product and equity matching DJI index in the same portfolio.

Volatility Indicators

Virtus LifeSci Current Risk Indicators
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