USAA Core Risk Analysis

USAA Core Intermediate Term Bond ETF -- USA Etf  

USD 48.92  0.25  0.51%

Macroaxis considers USAA Core to be not too risky. USAA Core Intermediate retains Efficiency (Sharpe Ratio) of -0.0584 which indicates USAA Core Intermediate had -0.0584% of return per unit of volatility over the last 2 months. Macroaxis approach 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. USAA Core exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate USAA Core Intermediate Term Bond ETF Risk Adjusted Performance of 0.26 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

USAA Core Market Sensitivity

As returns on market increase, returns on owning USAA Core are expected to decrease at a much smaller rate. During bear market, USAA Core is likely to outperform the market.
2 Months Beta |Analyze USAA Core Intermediate Demand Trend
Check current 30 days USAA Core correlation with market (DOW)
β = -0.0058
USAA Core Almost negative betaUSAA Core Intermediate Beta Legend

USAA Core Intermediate Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. USAA Core Intermediate 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, USAA Core Intermediate Term Bond ETF has beta of -0.0058 . This entails as returns on benchmark increase, returns on holding USAA Core are expected to decrease at a much smaller rate. During bear market, however, USAA Core Intermediate Term Bond ETF is likely to outperform the market. Additionally, USAA Core Intermediate Term Bond ETF 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 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of USAA Core is -1711.81. The daily returns are destributed with a variance of 0.03 and standard deviation of 0.16. The mean deviation of USAA Core Intermediate Term Bond ETF is currently at 0.13. For similar time horizon, the selected benchmark (DOW) has volatility of 1.69
α
Alpha over DOW
=0.03
β
Beta against DOW=0.0058
σ
Overall volatility
=0.16
Ir
Information ratio =0.0642

Actual Return Volatility

USAA Core Intermediate Term Bond ETF inherits 0.161% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.4124% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

USAA Core Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

60 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

USAA Core Investment Opportunity
DOW has a standard deviation of returns of 1.41 and is 8.81 times more volatile than USAA Core Intermediate Term Bond ETF. 1% of all equities and portfolios are less risky than USAA Core. Compared to the overall equity markets, volatility of historical daily returns of USAA Core Intermediate Term Bond ETF is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use USAA Core Intermediate Term Bond ETF to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of USAA Core to be traded at $53.81 in 30 days. As returns on market increase, returns on owning USAA Core are expected to decrease at a much smaller rate. During bear market, USAA Core is likely to outperform the market.

USAA Core correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding USAA Core Intermediate Term Bo and equity matching DJI index in the same portfolio.
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