CFPA DU (Germany) Risk Analysis And Volatility Evaluation

CFPA -- Germany ETF  

EUR 5.70  0.18  3.06%

Macroaxis considers CFPA DU to be unknown risk. CFPA DU secures Sharpe Ratio (or Efficiency) of -1.115 which signifies that CFPA DU had -1.115% 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. CFPA DU exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm CFPA DU Mean Deviation of 1.48 and Risk Adjusted Performance of 0.39 to double-check risk estimate we provide.
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.
One Month Beta |Analyze CFPA DU Demand Trend
Check current 30 days CFPA DU correlation with market (DOW)
β = 0.6907
CFPA DU Small BetaCFPA DU Beta Legend

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 0.6907 . 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, CFPA DU 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 CFPA DU is -89.69. The daily returns are destributed with a variance of 2.31 and standard deviation of 1.52. The mean deviation of CFPA DU is currently at 1.16. For similar time horizon, the selected benchmark (DOW) has volatility of 1.09
α
Alpha over DOW
=0.68
β
Beta against DOW=0.69
σ
Overall volatility
=1.52
Ir
Information ratio =0.29

CFPA DU Return Volatility

CFPA DU accepts 1.5214% volatility on return distribution over the 30 days horizon. DOW inherits 1.0609% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

CFPA DU Investment Opportunity

CFPA DU has a volatility of 1.52 and is 1.43 times more volatile than DOW. 13% 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 13 (%) of all global equities and portfolios over the last 30 days. Use CFPA DU to protect against small markets fluctuations. The etf experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of CFPA DU to be traded at €5.47 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

Weak 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.
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