Sprott Physical Risk Analysis |
| Sprott Physical Gold Trust -- USA Etf | USD 10.44 0.07 0.67% |
Macroaxis considers Sprott Physical to be not too volatile. Sprott Physical Gold owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0839 which indicates Sprott Physical Gold had -0.0839% 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 (2,130) and Risk Adjusted Performance of (0.007179) to confirm risk estimate we provide.
| Investment Horizon | 30 Days Login to change |
Sprott Physical Market Sensitivity
| As returns on market increase, returns on owning Sprott Physical are expected to decrease by larger amounts. On the other hand, during market turmoil, Sprott Physical is expected to significantly outperform it.One Month Beta |Analyze Sprott Physical Gold Demand TrendCheck current 30 days Sprott Physical correlation with market (DOW) β = -1.2766 |   |
Projected Return Density Against Market
Given the investment horizon of 30 days, Sprott Physical Gold Trust has beta of -1.2766 . This implies as returns on its benchmark rise, returns on holding Sprott Physical Gold Trust are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Sprott Physical is expected to outperform its benchmark. Moreover, Sprott Physical Gold Trust has an alpha of 0.1956 implying that it can potentially generate 0.1956% 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 -1192.42. The daily returns are destributed with a variance of 0.36 and standard deviation of 0.6. The mean deviation of Sprott Physical Gold Trust is currently at 0.51. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27Actual Return Volatility
Sprott Physical Gold Trust inherits 0.5988% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2695% 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
Largest Trends
Sprott Physical Largest Period Trend
10.41 |  | 10.34 |
| 0.07 | 0.67% |
| Lowest period price (30 days) |
10.59 | | 10.6 |
| 0.01 | 0.094429% |
| Highest period price (30 days) |
Investment Outlook
Sprott Physical Investment Opportunity
Sprott Physical Gold Trust has a volatility of 0.6 and is 2.22 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. 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 $10.23 in 30 days. As returns on market increase, returns on owning Sprott Physical are expected to decrease by larger amounts. On the other hand, during market turmoil, Sprott Physical is expected to significantly outperform it.
Sprott Physical correlation with market
Excellent 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 | (0.007179) | ||
| Market Risk Adjusted Performance | 0.0402 | ||
| Mean Deviation | 0.5265 | ||
| Coefficient Of Variation | (2,130) | ||
| Standard Deviation | 0.6092 | ||
| Variance | 0.3711 | ||
| Information Ratio | (0.36) |
Pair Correlation
Sprott Physical Suggested Diversification Pairs