Lyxor UCITS (Germany) Risk Analysis And Volatility Evaluation

LYME -- Germany ETF  

EUR 27.11  0.38  1.38%

Macroaxis considers Lyxor UCITS to be not too volatile. Lyxor UCITS ETF has Sharpe Ratio of -0.0274 which conveys that Lyxor UCITS ETF had -0.0274% of return per unit of risk over the last 2 months. Macroaxis philosophy towards 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. Lyxor UCITS exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Lyxor UCITS ETF Hong Kong Mean Deviation of 1.14 and Risk Adjusted Performance of (0.001829) to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Lyxor UCITS Market Sensitivity

As returns on market increase, Lyxor UCITS returns are expected to increase less than the market. However during bear market, the loss on holding Lyxor UCITS will be expected to be smaller as well.
2 Months Beta |Analyze Lyxor UCITS ETF Demand Trend
Check current 30 days Lyxor UCITS correlation with market (DOW)
β = 0.0319

Lyxor UCITS Central Daily Price Deviation

Lyxor UCITS ETF Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. Lyxor UCITS ETF 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.

Lyxor UCITS Projected Return Density Against Market

Assuming 30 trading days horizon, Lyxor UCITS has beta of 0.0319 indicating as returns on market go up, Lyxor UCITS average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Lyxor UCITS ETF Hong Kong will be expected to be much smaller as well. Additionally, Lyxor UCITS ETF Hong Kong 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 Lyxor UCITS is -3644.31. The daily returns are destributed with a variance of 1.99 and standard deviation of 1.41. The mean deviation of Lyxor UCITS ETF Hong Kong is currently at 0.96. For similar time horizon, the selected benchmark (DOW) has volatility of 1.38
α
Alpha over DOW
=0.0065
β
Beta against DOW=0.0319
σ
Overall volatility
=1.41
Ir
Information ratio =0.12

Lyxor UCITS Return Volatility

Lyxor UCITS ETF Hong Kong assumes 1.4117% volatility of returns over the 30 days investment horizon. DOW inherits 1.3055% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

Lyxor UCITS Investment Opportunity

Lyxor UCITS ETF Hong Kong has a volatility of 1.41 and is 1.08 times more volatile than DOW. 12% of all equities and portfolios are less risky than Lyxor UCITS. Compared to the overall equity markets, volatility of historical daily returns of Lyxor UCITS ETF Hong Kong is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Lyxor UCITS ETF Hong Kong to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Lyxor UCITS to be traded at €26.3 in 30 days. As returns on market increase, Lyxor UCITS returns are expected to increase less than the market. However during bear market, the loss on holding Lyxor UCITS will be expected to be smaller as well.

Lyxor UCITS correlation with market

correlation synergy
Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lyxor UCITS ETF Hong Kong and equity matching DJI index in the same portfolio.

Lyxor UCITS Volatility Indicators

Lyxor UCITS ETF Hong Kong Current Risk Indicators

Please see also Stocks Correlation. Please also try Companies Directory module to evaluate performance of over 100,000 stocks, funds, and etfs against different fundamentals.
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