CFPA DU (Germany) Risk Analysis And Volatility

CFPA -- Germany ETF  

EUR 6.13  0.12  2.00%

Our philosophy towards foreseeing volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for CFPA DU which you can use to evaluate future volatility of the entity. Please confirm CFPA DU Mean Deviation of 1.65 and Risk Adjusted Performance of (0.12) to double-check if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

CFPA DU Market Sensitivity

As returns on market increase, CFPA DU returns are expected to increase less than the market. However during bear market, the loss on holding CFPA DU will be expected to be smaller as well.
2 Months Beta |Analyze CFPA DU Demand Trend
Check current 30 days CFPA DU correlation with market (DOW)
β = 0.594

CFPA DU Central Daily Price Deviation

CFPA DU Technical Analysis

Transformation
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CFPA DU Projected Return Density Against Market

Assuming 30 trading days horizon, CFPA DU has beta of 0.594 . This suggests as returns on market go up, CFPA DU average returns are expected to increase less than the benchmark. However during bear market, the loss on holding CFPA DU will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. CFPA DU is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
α
Alpha over DOW
=0.45
β
Beta against DOW=0.59
σ
Overall volatility
=0.00
Ir
Information ratio =0.21

CFPA DU Return Volatility

the entity accepts 0.0% volatility on return distribution over the 30 days horizon. the entity inherits 0.6961% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Risk-Return Analysis

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Investment Outlook

CFPA DU Investment Opportunity

DOW has a standard deviation of returns of 0.7 and is 9.223372036854776E16 times more volatile than CFPA DU. 0% of all equities and portfolios are less risky than CFPA DU. Compared to the overall equity markets, volatility of historical daily returns of CFPA DU is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use CFPA DU to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of CFPA DU to be traded at €6.74 in 30 days. . As returns on market increase, CFPA DU returns are expected to increase less than the market. However during bear market, the loss on holding CFPA DU will be expected to be smaller as well.

CFPA DU correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding CFPA DU and equity matching DJI index in the same portfolio.

CFPA DU Volatility Indicators

CFPA DU Current Risk Indicators

Check also Trending Equities. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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