Sprott Physical Risk Analysis

Sprott Physical Gold Trust -- USA Etf  

USD 10.84  0.09  0.82%

We consider Sprott Physical not too volatile. Sprott Physical Gold owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0274 which indicates Sprott Physical Gold had 0.0274% of return per unit of risk over the last 2 months. 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-one technical indicators for Sprott Physical Gold Trust which you can use to evaluate future volatility of the etf. Please validate Sprott Physical Coefficient Of Variation of 2,809 and Risk Adjusted Performance of 0.075649 to confirm if risk estimate we provide are consistent with the epected return of 0.0169%.
 Time Horizon     30 Days    Login   to change

Sprott Physical Market Sensitivity

As returns on market increase, Sprott Physical returns are expected to increase less than the market. However during bear market, the loss on holding Sprott Physical will be expected to be smaller as well.
2 Months Beta |Analyze Sprott Physical Gold Demand Trend
Check current 30 days Sprott Physical correlation with market (DOW)
β = 0.023
Sprott Physical Small 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 thirty-nine. 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 0.023 . This implies as returns on market go up, Sprott Physical average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Sprott Physical Gold Trust will be expected to be much smaller as well. Additionally, Sprott Physical Gold Trust has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Sprott Physical is 3654.98. The daily returns are destributed with a variance of 0.38 and standard deviation of 0.62. The mean deviation of Sprott Physical Gold Trust is currently at 0.46. For similar time horizon, the selected benchmark (DOW) has volatility of 1.68
α
Alpha over DOW
=0.03
β
Beta against DOW=0.023
σ
Overall volatility
=0.62
Ir
Information ratio =0.099

Actual Return Volatility

Sprott Physical Gold Trust inherits 0.619% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.3999% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Sprott Physical Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Barely shadows market

Total Liabilities

Sprott Physical Gold Total Liabilities History

Total Liabilities

Investment Outlook

Sprott Physical Investment Opportunity
DOW has a standard deviation of returns of 1.4 and is 2.26 times more volatile than Sprott Physical Gold Trust. 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 $10.62 in 30 days. As returns on market increase, Sprott Physical returns are expected to increase less than the market. However during bear market, the loss on holding Sprott Physical will be expected to be smaller as well.

Sprott Physical correlation with market

Significant 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
Additionally take a look at Your Equity Center. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.