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
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.64
Ir
Information ratio =0.00

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.
 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

Market Insensitive

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
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.