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 TrendCheck current 30 days ClaymoreDelta Global correlation with market (DOW)|
β = -0.6229
ClaymoreDelta Global Technical Analysis
Projected Return Density Against MarketConsidering 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).
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