Sprott Physical Risk Analysis

Sprott Physical Gold Trust -- USA Etf  

USD 10.94  0.07  0.64%

Macroaxis considers Sprott Physical not too volatile given 1 month investment horizon. Sprott Physical Gold owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.4731 which indicates Sprott Physical Gold had 0.4731% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 Sprott Physical Gold Trust which you can use to evaluate future volatility of the etf. Please operate Sprott Physical Coefficient Of Variation of 193.15 and Risk Adjusted Performance of 0.23 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

Sprott Physical Market Sensitivity

As returns on market increase, returns on owning Sprott Physical are expected to decrease at a much smaller rate. During bear market, Sprott Physical is likely to outperform the market.
One Month Beta |Analyze Sprott Physical Gold Demand Trend
Check current 30 days Sprott Physical correlation with market (DOW)
β = -0.1678
Sprott Physical Almost negative betaSprott Physical Gold Beta Legend

Sprott Physical Gold Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Sprott Physical Gold 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

Given the investment horizon of 30 days, Sprott Physical Gold Trust has beta of -0.1678 . This implies as returns on benchmark increase, returns on holding Sprott Physical are expected to decrease at a much smaller rate. During bear market, however, Sprott Physical Gold Trust is likely to outperform the market. Moreover, Sprott Physical Gold Trust has an alpha of 0.282 implying that it can potentially generate 0.282% 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 Sprott Physical is 211.36. The daily returns are destributed with a variance of 0.27 and standard deviation of 0.52. The mean deviation of Sprott Physical Gold Trust is currently at 0.41. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.28
β
Beta against DOW=0.17
σ
Overall volatility
=0.52
Ir
Information ratio =0.0512

Actual Return Volatility

Sprott Physical Gold Trust inherits 0.5238% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4629% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sprott Physical Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

30 Days Economic Sensitivity

Indifferent to market move

Total Liabilities

Sprott Physical Gold Total Liabilities History

Total Liabilities

Largest Trends

Sprott Physical Largest Period Trend

Investment Outlook

Sprott Physical Investment Opportunity
Sprott Physical Gold Trust has a volatility of 0.52 and is 1.13 times more volatile than DOW. 4% of all equities and portfolios are less risky than Sprott Physical. Compared to the overall equity markets, volatility of historical daily returns of Sprott Physical Gold Trust is lower than 4 (%) of all global equities and portfolios over the last 30 days. Use Sprott Physical Gold Trust to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of Sprott Physical to be traded at $12.03 in 30 days. As returns on market increase, returns on owning Sprott Physical are expected to decrease at a much smaller rate. During bear market, Sprott Physical is likely to outperform the market.

Sprott Physical correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Sprott Physical Gold Trust and equity matching DJI index in the same portfolio.

Volatility Indicators

Sprott Physical Current Risk Indicators