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 TrendCheck current 30 days GMFL correlation with market (DOW)|
β = 0.103
GMFL Technical Analysis
Projected Return Density Against MarketGiven 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