Sprott Physical Risk Analysis And Volatility Evaluation |
| PHYS -- USA Etf | USD 9.60 0.16 1.69% |
Macroaxis considers Sprott Physical to be not too volatile. Sprott Physical Gold owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.371 which indicates Sprott Physical Gold had -0.371% 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 269.56 and Risk Adjusted Performance of 0.01 to confirm risk estimate we provide.
| Time Horizon | 30 Days Login to change |
Sprott Physical Gold Technical Analysis
Transformation |
null. The output start index for this execution was zero with a total number of output elements of zero. 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 has beta of 0.0 . This implies unless we do not have required data, the returns on DOW and Sprott Physical are completely uncorrelated. Furthermore, Sprott Physical Gold TrustIt does not look like Sprott Physical alpha can have any bearing on the equity current valuation.Given the investment horizon of 30 days, the coefficient of variation of Sprott Physical is -269.58. The daily returns are destributed with a variance of 0.41 and standard deviation of 0.64. The mean deviation of Sprott Physical Gold Trust is currently at 0.49. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Actual Return Volatility
Sprott Physical Gold Trust inherits 0.6386% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.Market Risk Breakdown
Sprott Physical Volatility Factors
Investment Outlook
Sprott Physical Investment Opportunity
Sprott Physical Gold Trust has a volatility of 0.64 and is 9.223372036854776E16 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.
Volatility Indicators
Sprott Physical Current Risk Indicators
| Risk Adjusted Performance | 0.01 | ||
| Mean Deviation | 0.4923 | ||
| Coefficient Of Variation | 269.56 | ||
| Standard Deviation | 0.6386 | ||
| Variance | 0.4079 | ||
| Maximum Drawdown | 2.35 | ||
| Value At Risk | 1.64 |
Pair Correlation
Sprott Physical Suggested Diversification Pairs
Additionally take a look at Your Equity Center. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.