ClaymoreDelta Global Risk Analysis

ClaymoreDelta Global Shipping -- USA Etf  

USD 12.05  0.0301  0.25%

We consider ClaymoreDelta Global not too volatile. ClaymoreDelta Global secures Sharpe Ratio (or Efficiency) of 0.2116 which signifies that ClaymoreDelta Global had 0.2116% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing 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 ClaymoreDelta Global Shipping which you can use to evaluate future volatility of the entity. Please confirm ClaymoreDelta Global Mean Deviation of 0.6111 and Risk Adjusted Performance of 0.1081 to double-check if risk estimate we provide are consistent with the epected return of 0.1997%.
 Time Horizon     30 Days    Login   to change

ClaymoreDelta Global Market Sensitivity

As returns on market increase, returns on owning ClaymoreDelta Global are expected to decrease at a much smaller rate. During bear market, ClaymoreDelta Global is likely to outperform the market.
One Month Beta |Analyze ClaymoreDelta Global Demand Trend
Check current 30 days ClaymoreDelta Global correlation with market (DOW)
β = -0.6229
ClaymoreDelta Global Almost negative betaClaymoreDelta Global Beta Legend

ClaymoreDelta Global Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. ClaymoreDelta Global 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

Considering 30-days investment horizon, ClaymoreDelta Global Shipping has beta of -0.6229 . This entails as returns on benchmark increase, returns on holding ClaymoreDelta Global are expected to decrease at a much smaller rate. During bear market, however, ClaymoreDelta Global Shipping is likely to outperform the market. Moreover, ClaymoreDelta Global Shipping has an alpha of 0.3412 implying that it can potentially generate 0.3412% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of ClaymoreDelta Global is 472.68. The daily returns are destributed with a variance of 0.89 and standard deviation of 0.94. The mean deviation of ClaymoreDelta Global Shipping is currently at 0.66. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.34
β
Beta against DOW=0.62
σ
Overall volatility
=0.94
Ir
Information ratio =0.05

Actual Return Volatility

ClaymoreDelta Global Shipping has volatility of 0.9441% on return distribution over 30 days investment horizon. DOW inherits 0.4644% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ClaymoreDelta Global Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Almost imposible

30 Days Economic Sensitivity

Slightly opposite to market

Largest Trends

ClaymoreDelta Global Largest Period Trend
 11.45 
  
 11.46 
0.01  0.087336%
Lowest period price (30 days)
 12.1 
  
 12.14 
0.04  0.33%
Highest period price (30 days)

Investment Outlook

ClaymoreDelta Global Investment Opportunity
ClaymoreDelta Global Shipping has a volatility of 0.94 and is 2.04 times more volatile than DOW. 8% of all equities and portfolios are less risky than ClaymoreDelta Global. Compared to the overall equity markets, volatility of historical daily returns of ClaymoreDelta Global Shipping is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use ClaymoreDelta Global Shipping to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of ClaymoreDelta Global to be traded at $11.93 in 30 days. As returns on market increase, returns on owning ClaymoreDelta Global are expected to decrease at a much smaller rate. During bear market, ClaymoreDelta Global is likely to outperform the market.

ClaymoreDelta Global correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ClaymoreDelta Global Shipping and equity matching DJI index in the same portfolio.

Volatility Indicators

ClaymoreDelta Global Current Risk Indicators