LAZARD PAN (Germany) Risk Analysis And Volatility Evaluation

LHZ2 -- Germany ETF  

EUR 1.54  0.031  1.97%

Macroaxis considers LAZARD PAN to be unknown risk. LAZARD PAN EUR has Sharpe Ratio of -0.5126 which conveys that LAZARD PAN EUR had -0.5126% of return per unit of standard deviation over the last 1 month. Macroaxis approach into estimating 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. LAZARD PAN exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify LAZARD PAN EUR BDEO Mean Deviation of 0.8763 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

LAZARD PAN Market Sensitivity

As returns on market increase, returns on owning LAZARD PAN are expected to decrease at a much smaller rate. During bear market, LAZARD PAN is likely to outperform the market.
One Month Beta |Analyze LAZARD PAN EUR Demand Trend
Check current 30 days LAZARD PAN correlation with market (DOW)
β = -0.552
LAZARD PAN Almost negative betaLAZARD PAN EUR Beta Legend

LAZARD PAN EUR Technical Analysis

Transformation
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LAZARD PAN Projected Return Density Against Market

Assuming 30 trading days horizon, LAZARD PAN EUR BDEO has beta of -0.552 indicating as returns on benchmark increase, returns on holding LAZARD PAN are expected to decrease at a much smaller rate. During bear market, however, LAZARD PAN EUR BDEO is likely to outperform the market. Additionally, LAZARD PAN EUR BDEO 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 LAZARD PAN is -195.09. The daily returns are destributed with a variance of 2.73 and standard deviation of 1.65. The mean deviation of LAZARD PAN EUR BDEO is currently at 1.24. For similar time horizon, the selected benchmark (DOW) has volatility of 1.02
α
Alpha over DOW
=0.36
β
Beta against DOW=0.55
σ
Overall volatility
=1.65
Ir
Information ratio =0.1

LAZARD PAN Return Volatility

LAZARD PAN EUR BDEO accepts 1.6513% volatility on return distribution over the 30 days horizon. DOW inherits 1.0479% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

LAZARD PAN Investment Opportunity

LAZARD PAN EUR BDEO has a volatility of 1.65 and is 1.57 times more volatile than DOW. 14% of all equities and portfolios are less risky than LAZARD PAN. Compared to the overall equity markets, volatility of historical daily returns of LAZARD PAN EUR BDEO is lower than 14 (%) of all global equities and portfolios over the last 30 days. Use LAZARD PAN EUR BDEO to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of LAZARD PAN to be traded at €1.4938 in 30 days. As returns on market increase, returns on owning LAZARD PAN are expected to decrease at a much smaller rate. During bear market, LAZARD PAN is likely to outperform the market.

LAZARD PAN correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding LAZARD PAN EUR BDEO and equity matching DJI index in the same portfolio.

LAZARD PAN Volatility Indicators

LAZARD PAN EUR BDEO Current Risk Indicators

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