ETFS Bloomberg Risk Analysis

ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free -- USA Etf  

USD 26.2  0.003  0.0115%

Macroaxis considers ETFS Bloomberg not too risky given 1 month investment horizon. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of 0.5158 which denotes ETFS Bloomberg All had 0.5158% 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 0.721 and Mean Deviation of 0.5154 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 Trend
Check current 30 days ETFS Bloomberg correlation with market (DOW)
β = -0.0759
ETFS Bloomberg Almost negative 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.

Projected Return Density Against Market

Considering 30-days investment horizon, ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free has beta of -0.0759 . 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 0.1714 implying that it can potentially generate 0.1714% 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 ETFS Bloomberg is 193.88. The daily returns are destributed with a variance of 0.37 and standard deviation of 0.61. The mean deviation of ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free is currently at 0.49. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.17
β
Beta against DOW=0.08
σ
Overall volatility
=0.61
Ir
Information ratio =0.11

Actual Return Volatility

ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free has volatility of 0.6055% on return distribution over 30 days investment horizon. DOW inherits 0.3852% 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

Almost imposible

30 Days Economic Sensitivity

Indifferent to market move

Largest Trends

ETFS Bloomberg Largest Period Trend

Investment Outlook

ETFS Bloomberg Investment Opportunity
ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free has a volatility of 0.61 and is 1.56 times more volatile than DOW. 5% 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 Commodity Longer Dated Strategy K-1 Free is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use ETFS Bloomberg All Commodity Longer Dated Strategy K-1 Free to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of ETFS Bloomberg to be traded at $27.51 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

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

Volatility Indicators

ETFS Bloomberg Current Risk Indicators