SOUR MSCI (Germany) Risk Analysis And Volatility Evaluation

EMSV -- Germany ETF  

EUR 209.50  0.25  0.12%

Our philosophy towards measuring 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 SOUR MSCI EUR A ACC which you can use to evaluate future volatility of the etf. Please validate SOUR MSCI Risk Adjusted Performance of (0.21) and Coefficient Of Variation of (692.67) to confirm if risk estimate we provide are consistent with the epected return of 0.0%.
Horizon     30 Days    Login   to change

SOUR MSCI Market Sensitivity

As returns on market increase, SOUR MSCI returns are expected to increase less than the market. However during bear market, the loss on holding SOUR MSCI will be expected to be smaller as well.
2 Months Beta |Analyze SOUR MSCI EUR Demand Trend
Check current 30 days SOUR MSCI correlation with market (DOW)
β = 0.0163

SOUR MSCI Central Daily Price Deviation

SOUR MSCI EUR Technical Analysis

Transformation
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SOUR MSCI Projected Return Density Against Market

Assuming 30 trading days horizon, SOUR MSCI has beta of 0.0163 suggesting as returns on market go up, SOUR MSCI average returns are expected to increase less than the benchmark. However during bear market, the loss on holding SOUR MSCI EUR A ACC will be expected to be much smaller as well. Additionally, SOUR MSCI EUR A ACC 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 
α
Alpha over DOW
=0.1
β
Beta against DOW=0.0163
σ
Overall volatility
=0.00
Ir
Information ratio =0.11

SOUR MSCI Return Volatility

SOUR MSCI EUR A ACC assumes 0.0% volatility of returns over the 30 days investment horizon. DOW inherits 1.3082% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

SOUR MSCI Investment Opportunity

DOW has a standard deviation of returns of 1.31 and is 9.223372036854776E16 times more volatile than SOUR MSCI EUR A ACC. 0% of all equities and portfolios are less risky than SOUR MSCI. Compared to the overall equity markets, volatility of historical daily returns of SOUR MSCI EUR A ACC is lower than 0 (%) of all global equities and portfolios over the last 30 days. Use SOUR MSCI EUR A ACC to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of SOUR MSCI to be traded at €207.41 in 30 days. As returns on market increase, SOUR MSCI returns are expected to increase less than the market. However during bear market, the loss on holding SOUR MSCI will be expected to be smaller as well.

SOUR MSCI correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding SOUR MSCI EUR A ACC and equity matching DJI index in the same portfolio.

SOUR MSCI Volatility Indicators

SOUR MSCI EUR A ACC Current Risk Indicators

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