ETFS Bloomberg Risk Analysis

ETFS Bloomberg All Commodity Strt K 1 Fr -- USA Etf  

USD 25.04  0.19  0.75%

We consider ETFS Bloomberg not too risky. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of 0.1096 which denotes ETFS Bloomberg All had 0.1096% of return per unit of return volatility over the last 2 months. 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-eight technical indicators for ETFS Bloomberg All Commodity Strt K 1 Fr which you can use to evaluate future volatility of the entity. Please confirm ETFS Bloomberg All Downside Deviation of 0.5222 and Mean Deviation of 0.4601 to check if risk estimate we provide are consistent with the epected return of 0.0661%.
 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.
2 Months Beta |Analyze ETFS Bloomberg All Demand Trend
Check current 30 days ETFS Bloomberg correlation with market (DOW)
β = -0.06
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 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.

Projected Return Density Against Market

Considering 30-days investment horizon, ETFS Bloomberg All Commodity Strt K 1 Fr has beta of -0.06 . 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 Strt K 1 Fr is likely to outperform the market. Moreover, ETFS Bloomberg All Commodity Strt K 1 Fr has an alpha of 0.0574 implying that it can potentially generate 0.0574% 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 912.59. 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 Strt K 1 Fr is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
=0.0574
β
Beta against DOW=0.06
σ
Overall volatility
=0.60
Ir
Information ratio =0.16

Actual Return Volatility

ETFS Bloomberg All Commodity Strt K 1 Fr has volatility of 0.6035% on return distribution over 30 days investment horizon. DOW inherits 1.4217% 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

Almost imposible

60 Days Economic Sensitivity

Barely shadows market

Investment Outlook

ETFS Bloomberg Investment Opportunity
DOW has a standard deviation of returns of 1.42 and is 2.37 times more volatile than ETFS Bloomberg All Commodity Strt K 1 Fr. 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 Strt K 1 Fr is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use ETFS Bloomberg All Commodity Strt K 1 Fr to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of ETFS Bloomberg to be traded at $24.54 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 S and equity matching DJI index in the same portfolio.

Volatility Indicators

ETFS Bloomberg Current Risk Indicators
Check also Trending Equities. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.