GMFL Risk Analysis

GMFL -- USA Etf  

USD 27.43  0.00  0.00%

We consider GMFL unknown risk. GMFL holds Efficiency (Sharpe) Ratio of 0.06 which attests that GMFL had 0.06% of return per unit of return volatility over the last 2 months. Our approach to determining 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 GMFL which you can use to evaluate future volatility of the entity. Please check out GMFL Semi Deviation of 1.33, Market Risk Adjusted Performance of 0.4353 and Risk Adjusted Performance of 0.0608 to validate if risk estimate we provide are consistent with the epected return of 0.0611%.
 Time Horizon     30 Days    Login   to change

GMFL Market Sensitivity

As returns on market increase, GMFL returns are expected to increase less than the market. However during bear market, the loss on holding GMFL will be expected to be smaller as well.
2 Months Beta |Analyze GMFL Demand Trend
Check current 30 days GMFL correlation with market (DOW)
β = 0.103
GMFL Small BetaGMFL Beta Legend

GMFL 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, GMFL has beta of 0.103 . This indicates as returns on market go up, GMFL average returns are expected to increase less than the benchmark. However during bear market, the loss on holding GMFL will be expected to be much smaller as well. Moreover, GMFL has an alpha of 0.0472 implying that it can potentially generate 0.0472% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of GMFL is 1667.87. The daily returns are destributed with a variance of 1.04 and standard deviation of 1.02. The mean deviation of GMFL is currently at 0.47. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
=0.0472
β
Beta against DOW=0.10
σ
Overall volatility
=1.02
Ir
Information ratio =0.0526

Actual Return Volatility

GMFL inherits 1.0186% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4224% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

GMFL Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Unaffected

Investment Outlook

GMFL Investment Opportunity
DOW has a standard deviation of returns of 1.42 and is 1.39 times more volatile than GMFL. 9% of all equities and portfolios are less risky than GMFL. Compared to the overall equity markets, volatility of historical daily returns of GMFL is lower than 9 (%) of all global equities and portfolios over the last 30 days. Use GMFL to protect against small markets fluctuations. The etf experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of GMFL to be traded at $27.16 in 30 days. As returns on market increase, GMFL returns are expected to increase less than the market. However during bear market, the loss on holding GMFL will be expected to be smaller as well.

GMFL correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding GMFL and equity matching DJI index in the same portfolio.
Please also check Risk vs Return Analysis. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.