Virtus LifeSci Risk Analysis And Volatility Evaluation

BBP -- USA Etf  

USD 46.33  0.20  0.44%

We consider Virtus LifeSci not too risky. Virtus LifeSci Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1 which indicates Virtus LifeSci Biotech had 0.1% 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 Virtus LifeSci Biotech Products ETF which you can use to evaluate future volatility of the etf. Please validate Virtus LifeSci Semi Deviation of 1.45, Coefficient Of Variation of 3126.69 and Risk Adjusted Performance of 0.0219 to confirm if risk estimate we provide are consistent with the epected return of 0.1383%.
 Time Horizon     30 Days    Login   to change

Virtus LifeSci Market Sensitivity

As returns on market increase, returns on owning Virtus LifeSci are expected to decrease at a much smaller rate. During bear market, Virtus LifeSci is likely to outperform the market.
One Month Beta |Analyze Virtus LifeSci Biotech Demand Trend
Check current 30 days Virtus LifeSci correlation with market (DOW)
β = -0.4661
Virtus LifeSci Almost negative 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 seventeen. 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 Biotech Products ETF has beta of -0.4661 . This suggests as returns on benchmark increase, returns on holding Virtus LifeSci are expected to decrease at a much smaller rate. During bear market, however, Virtus LifeSci Biotech Products ETF is likely to outperform the market. Moreover, Virtus LifeSci Biotech Products ETF has an alpha of 0.0801 implying that it can potentially generate 0.0801% 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 Virtus LifeSci is 999.85. The daily returns are destributed with a variance of 1.91 and standard deviation of 1.38. The mean deviation of Virtus LifeSci Biotech Products ETF is currently at 0.98. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.08
β
Beta against DOW=0.47
σ
Overall volatility
=1.38
Ir
Information ratio =0.04

Actual Return Volatility

Virtus LifeSci Biotech Products ETF has volatility of 1.3831% on return distribution over 30 days investment horizon. DOW inherits 0.5751% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Virtus LifeSci Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Follows market closely

Investment Outlook

Virtus LifeSci Investment Opportunity
Virtus LifeSci Biotech Products ETF has a volatility of 1.38 and is 2.38 times more volatile than DOW. 12% 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 12 (%) 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 normal downward trend and little activity. Check odds of Virtus LifeSci to be traded at $45.87 in 30 days. As returns on market increase, returns on owning Virtus LifeSci are expected to decrease at a much smaller rate. During bear market, Virtus LifeSci is likely to outperform the market.

Virtus LifeSci correlation with market

Good 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.
Check also Trending Equities. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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