ETFS Bloomberg Risk Analysis And Volatility Evaluation

BCD -- USA Etf  

USD 26.55  0.43  1.59%

Macroaxis considers ETFS Bloomberg to be not too risky. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of -0.3781 which denotes ETFS Bloomberg All had -0.3781% of return per unit of return volatility over the last 1 month. 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 0.3377 to check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

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 has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and ETFS Bloomberg are completely uncorrelated. Furthermore, ETFS Bloomberg All CmdtyLngrDtdStrtK 1FrIt does not look like ETFS Bloomberg alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of ETFS Bloomberg is -264.51. The daily returns are destributed with a variance of 0.22 and standard deviation of 0.47. The mean deviation of ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr is currently at 0.34. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.47
Ir
Information ratio =0.16

Actual Return Volatility

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has volatility of 0.4701% on return distribution over 30 days investment horizon. DOW inherits 0.6066% 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

Market Insensitive

Investment Outlook

ETFS Bloomberg Investment Opportunity
DOW has a standard deviation of returns of 0.61 and is 1.3 times more volatile than ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr. 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.

Volatility Indicators

ETFS Bloomberg Current Risk Indicators
Check also Trending Equities. Please also try Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.