GAZB Risk Analysis And Volatility Evaluation

GAZB -- USA Etf  

USD 40.03  0.00  0.00%

Macroaxis considers GAZB unknown risk given 1 month investment horizon. GAZB holds Efficiency (Sharpe) Ratio of 0.381 which attests that GAZB had 0.381% of return per unit of standard deviation over the last 1 month. Our approach into determining volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing GAZB technical indicators you can now evaluate if the expected return of 0.6268% is justified by implied risk. Please utilize GAZB Mean Deviation of 0.6954 to validate if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

GAZB Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Projected Return Density Against Market

Given the investment horizon of 30 days, GAZB has beta of 0.0 . This indicates unless we do not have required data, the returns on DOW and GAZB are completely uncorrelated. Furthermore, GAZBIt does not look like GAZB alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of GAZB is 262.47. The daily returns are destributed with a variance of 2.71 and standard deviation of 1.65. The mean deviation of GAZB is currently at 1.02. 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
=1.65
Ir
Information ratio =0.26

Actual Return Volatility

GAZB inherits 1.6452% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.6045% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

GAZB Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

GAZB Investment Opportunity
GAZB has a volatility of 1.65 and is 2.75 times more volatile than DOW. 15% of all equities and portfolios are less risky than GAZB. Compared to the overall equity markets, volatility of historical daily returns of GAZB is lower than 15 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

GAZB Current Risk Indicators
Please also check Risk vs Return Analysis. Please also try Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.