Macroaxis considers ETFS Bloomberg not too risky given 1 month investment horizon. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of 0.5972 which denotes ETFS Bloomberg All had 0.5972% of return per unit of return volatility over the last 1 month. Our approach to predicting 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 ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free which you can use to evaluate future volatility of the entity. Please utilize ETFS Bloomberg All Downside Deviation of 0.7701 and Mean Deviation of 0.4992 to check if our risk estimates are consistent with your expectations.
|Time Horizon||30 Days Login to change|
ETFS Bloomberg Market Sensitivity
|As returns on market increase, returns on owning ETFS Bloomberg are expected to decrease at a much smaller rate. During bear market, ETFS Bloomberg is likely to outperform the market.One Month Beta |Analyze ETFS Bloomberg All Demand TrendCheck current 30 days ETFS Bloomberg correlation with market (DOW)|
β = -5.0E-4
ETFS Bloomberg All Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free has beta of -5.0E-4 . This suggests as returns on benchmark increase, returns on holding ETFS Bloomberg are expected to decrease at a much smaller rate. During bear market, however, ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free is likely to outperform the market. Moreover, ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free has an alpha of 0.1722 implying that it can potentially generate 0.1722% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of ETFS Bloomberg is 167.45. The daily returns are destributed with a variance of 0.36 and standard deviation of 0.6. The mean deviation of ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free is currently at 0.48. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39