ComStage STOXX (Germany) Risk Analysis And Volatility Evaluation

C066 -- Germany ETF  

EUR 98.24  0.57  0.58%

Macroaxis considers ComStage STOXX to be not too risky. ComStage STOXX Europe secures Sharpe Ratio (or Efficiency) of -0.4115 which signifies that ComStage STOXX Europe had -0.4115% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. ComStage STOXX Europe 600 Financial Services NR UCITS ETF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm ComStage STOXX Europe Risk Adjusted Performance of 0.43 and Mean Deviation of 0.778 to double-check risk estimate we provide.
Horizon     30 Days    Login   to change

ComStage STOXX Market Sensitivity

As returns on market increase, ComStage STOXX returns are expected to increase less than the market. However during bear market, the loss on holding ComStage STOXX will be expected to be smaller as well.
One Month Beta |Analyze ComStage STOXX Europe Demand Trend
Check current 30 days ComStage STOXX correlation with market (DOW)
β = 0.7702
ComStage STOXX Small BetaComStage STOXX Europe Beta Legend

ComStage STOXX Europe Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. ComStage STOXX Europe 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.

ComStage STOXX Projected Return Density Against Market

Assuming 30 trading days horizon, ComStage STOXX has beta of 0.7702 . This suggests as returns on market go up, ComStage STOXX average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ComStage STOXX Europe 600 Financial Services NR UCITS ETF will be expected to be much smaller as well. Additionally, ComStage STOXX Europe 600 Financial Services NR UCITS 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 
Assuming 30 trading days horizon, the coefficient of variation of ComStage STOXX is -242.99. The daily returns are destributed with a variance of 1.23 and standard deviation of 1.11. The mean deviation of ComStage STOXX Europe 600 Financial Services NR UCITS ETF is currently at 0.8. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.31
β
Beta against DOW=0.77
σ
Overall volatility
=1.11
Ir
Information ratio =0.25

ComStage STOXX Return Volatility

ComStage STOXX Europe 600 Financial Services NR UCITS ETF assumes 1.1112% volatility of returns over the 30 days investment horizon. DOW inherits 1.0618% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

ComStage STOXX Investment Opportunity

ComStage STOXX Europe 600 Financial Services NR UCITS ETF has a volatility of 1.11 and is 1.05 times more volatile than DOW. 10% of all equities and portfolios are less risky than ComStage STOXX. Compared to the overall equity markets, volatility of historical daily returns of ComStage STOXX Europe 600 Financial Services NR UCITS ETF is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use ComStage STOXX Europe 600 Financial Services NR UCITS ETF to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of ComStage STOXX to be traded at €108.06 in 30 days. As returns on market increase, ComStage STOXX returns are expected to increase less than the market. However during bear market, the loss on holding ComStage STOXX will be expected to be smaller as well.

ComStage STOXX correlation with market

Poor diversification
Overlapping area represents the amount of risk that can be diversified away by holding ComStage STOXX Europe 600 Fina and equity matching DJI index in the same portfolio.

ComStage STOXX Volatility Indicators

ComStage STOXX Europe 600 Financial Services NR UCITS ETF Current Risk Indicators

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