ETFS Bloomberg Risk Analysis And Volatility Evaluation

BCI -- USA Etf  

USD 23.40  0.06  0.26%

Macroaxis considers ETFS Bloomberg to be not too volatile. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of -0.2477 which denotes ETFS Bloomberg All had -0.2477% 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 Commodity Strt K 1 Fr 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 0.7122 to check risk estimate we provide.
 Time 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 = 0.0719
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.

Projected Return Density Against Market

Considering 30-days investment horizon, ETFS Bloomberg has beta of 0.0719 . 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 Commodity Strt K 1 Fr will be expected to be much smaller as well. Additionally, ETFS Bloomberg All Commodity Strt K 1 Fr 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 -403.68. The daily returns are destributed with a variance of 0.77 and standard deviation of 0.88. The mean deviation of ETFS Bloomberg All Commodity Strt K 1 Fr is currently at 0.63. For similar time horizon, the selected benchmark (DOW) has volatility of 0.54
α
Alpha over DOW
=0.34
β
Beta against DOW=0.07
σ
Overall volatility
=0.88
Ir
Information ratio =0.49

Actual Return Volatility

ETFS Bloomberg All Commodity Strt K 1 Fr has volatility of 0.8759% on return distribution over 30 days investment horizon. DOW inherits 0.6549% 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 volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Barely shadows market

ETFS Bloomberg Investment Opportunity

ETFS Bloomberg All Commodity Strt K 1 Fr has a volatility of 0.88 and is 1.35 times more volatile than DOW. 8% 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 8 (%) 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 normal downward trend and little activity. Check odds of ETFS Bloomberg to be traded at $23.17 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

Significant 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.
Check also Trending Equities. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.