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 MarketGiven 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 0.27