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 TrendCheck current 30 days Sprott Physical correlation with market (DOW) β = 0.023 |
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 |
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.Market Risk Breakdown
Sprott Physical Volatility Factors
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 diversificationOverlapping 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
Risk Adjusted Performance | 0.075649 | ||
Market Risk Adjusted Performance | 1.42 | ||
Mean Deviation | 0.487 | ||
Coefficient Of Variation | 2,809 | ||
Standard Deviation | 0.6457 | ||
Variance | 0.4169 | ||
Information Ratio | 0.099 |
Pair Correlation
Sprott Physical Suggested Diversification Pairs
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