ETFS Bloomberg Risk Analysis And Volatility Evaluation

BCD -- USA Etf  

USD 24.97  0.53  2.08%

We consider ETFS Bloomberg not too risky. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of 0.0758 which denotes ETFS Bloomberg All had 0.0758% of return per unit of return volatility over the last 1 month. Our approach to predicting volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty technical indicators for ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr which you can use to evaluate future volatility of the entity. Please confirm ETFS Bloomberg All Coefficient Of Variation of 916.56 and Mean Deviation of 0.2785 to check if risk estimate we provide are consistent with the epected return of 0.0407%.
Horizon     30 Days    Login   to change

ETFS Bloomberg Market Sensitivity

As returns on market increase, ETFS Bloomberg returns are expected to increase less than the market. However during bear market, the loss on holding ETFS Bloomberg will be expected to be smaller as well.
One Month Beta |Analyze ETFS Bloomberg All Demand Trend
Check current 30 days ETFS Bloomberg correlation with market (DOW)
β = 0.6144
ETFS Bloomberg Small BetaETFS Bloomberg All Beta Legend

ETFS Bloomberg All Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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 has beta of 0.6144 . This suggests as returns on market go up, ETFS Bloomberg average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr will be expected to be much smaller as well. 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 1319.76. The daily returns are destributed with a variance of 0.29 and standard deviation of 0.54. The mean deviation of ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr is currently at 0.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.06
β
Beta against DOW=0.61
σ
Overall volatility
=0.54
Ir
Information ratio =0.23

ETFS Bloomberg Return Volatility

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has volatility of 0.5375% on return distribution over 30 days investment horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ETFS Bloomberg Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Follows market closely

Investment Outlook

ETFS Bloomberg Investment Opportunity

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has a volatility of 0.54 and is 1.23 times more volatile than DOW. 4% 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 4 (%) 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 unexpected downward movement. The market is reacting to new fundamentals. Check odds of ETFS Bloomberg to be traded at $23.97 in 30 days. As returns on market increase, ETFS Bloomberg returns are expected to increase less than the market. However during bear market, the loss on holding ETFS Bloomberg will be expected to be smaller as well.

ETFS Bloomberg correlation with market

Very weak 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

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