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 TrendCheck current 30 days Sprott Physical correlation with market (DOW)|
β = -0.1678
Sprott Physical Gold Technical Analysis
Projected Return Density Against MarketGiven 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).
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