Sprott Physical Risk Analysis

Sprott Physical Gold Trust -- USA Etf  

USD 10.44  0.07  0.67%

Macroaxis considers Sprott Physical to be not too volatile. Sprott Physical Gold owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0839 which indicates Sprott Physical Gold had -0.0839% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. Sprott Physical Gold Trust exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Sprott Physical Coefficient Of Variation of (2,130) and Risk Adjusted Performance of (0.007179) to confirm risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Sprott Physical Market Sensitivity

As returns on market increase, returns on owning Sprott Physical are expected to decrease by larger amounts. On the other hand, during market turmoil, Sprott Physical is expected to significantly outperform it.
One Month Beta |Analyze Sprott Physical Gold Demand Trend
Check current 30 days Sprott Physical correlation with market (DOW)
β = -1.2766
Sprott Physical Large Negative BetaSprott Physical Gold Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Sprott Physical Gold Trust has beta of -1.2766 . This implies as returns on its benchmark rise, returns on holding Sprott Physical Gold Trust are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Sprott Physical is expected to outperform its benchmark. Moreover, Sprott Physical Gold Trust has an alpha of 0.1956 implying that it can potentially generate 0.1956% 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 -1192.42. The daily returns are destributed with a variance of 0.36 and standard deviation of 0.6. The mean deviation of Sprott Physical Gold Trust is currently at 0.51. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
= 0.2 
βBeta against DOW=(1.28) 
σ
Overall volatility
= 0.6 
 IrInformation ratio =(0.36) 

Actual Return Volatility

Sprott Physical Gold Trust inherits 0.5988% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2695% 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

Below average

30 Days Economic Sensitivity

Totally opposite to market

Total Liabilities

Sprott Physical Gold Total Liabilities History

Total Liabilities

Largest Trends

Sprott Physical Largest Period Trend
 10.41 
  
 10.34 
0.07  0.67%
Lowest period price (30 days)
 10.59 
  
 10.6 
0.01  0.094429%
Highest period price (30 days)

Investment Outlook

Sprott Physical Investment Opportunity
Sprott Physical Gold Trust has a volatility of 0.6 and is 2.22 times more volatile than DOW. 5% 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 5 (%) of all global equities and portfolios over the last 30 days. Use Sprott Physical Gold Trust to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of Sprott Physical to be traded at $10.23 in 30 days. As returns on market increase, returns on owning Sprott Physical are expected to decrease by larger amounts. On the other hand, during market turmoil, Sprott Physical is expected to significantly outperform it.

Sprott Physical correlation with market

Excellent 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