ETFS Bloomberg Risk Analysis And Volatility Evaluation

BCD -- USA Etf  

USD 24.40  0.08  0.32%

Macroaxis considers ETFS Bloomberg to be not too risky. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of -0.198 which denotes ETFS Bloomberg All had -0.198% of return per unit of return volatility over the last 2 months. Macroaxis approach to predicting 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. ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm ETFS Bloomberg All Mean Deviation of 0.4869 to check risk estimate we provide.
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.
2 Months Beta |Analyze ETFS Bloomberg All Demand Trend
Check current 30 days ETFS Bloomberg correlation with market (DOW)
β = -0.0245

ETFS Bloomberg Central Daily Price Deviation

ETFS Bloomberg All Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. ETFS Bloomberg All 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.

ETFS Bloomberg Projected Return Density Against Market

Considering 30-days investment horizon, ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has beta of -0.0245 . 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 CmdtyLngrDtdStrtK 1Fr is likely to outperform the market. Additionally, ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr 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 ETFS Bloomberg is -505.13. The daily returns are destributed with a variance of 0.51 and standard deviation of 0.71. The mean deviation of ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.16
β
Beta against DOW=0.02
σ
Overall volatility
=0.71
Ir
Information ratio =0.16

ETFS Bloomberg Return Volatility

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has volatility of 0.7139% on return distribution over 30 days investment horizon. DOW inherits 1.282% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ETFS Bloomberg Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Moves indifferently to market move

Investment Outlook

ETFS Bloomberg Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 1.8 times more volatile than ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr. 6% of all equities and portfolios are less risky than ETFS Bloomberg. Compared to the overall equity markets, volatility of historical daily returns of ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr is lower than 6 (%) of all global equities and portfolios over the last 30 days. Use ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of ETFS Bloomberg to be traded at $24.16 in 30 days. 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.

ETFS Bloomberg correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ETFS Bloomberg All CmdtyLngrDt and equity matching DJI index in the same portfolio.

ETFS Bloomberg Volatility Indicators

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr Current Risk Indicators

Check also Trending Equities. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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