Lyxor UCITS (Germany) Risk Analysis And Volatility Evaluation

LYME -- Germany ETF  

EUR 27.49  0.21  0.76%

Macroaxis considers Lyxor UCITS to be unknown risk. Lyxor UCITS ETF has Sharpe Ratio of -0.1331 which conveys that Lyxor UCITS ETF had -0.1331% of return per unit of risk over the last 1 month. 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 1.06 and Risk Adjusted Performance of 0.13 to check out risk estimate we provide.
Horizon     30 Days    Login   to change

Lyxor UCITS Market Sensitivity

As returns on market increase, returns on owning Lyxor UCITS are expected to decrease at a much smaller rate. During bear market, Lyxor UCITS is likely to outperform the market.
One Month Beta |Analyze Lyxor UCITS ETF Demand Trend
Check current 30 days Lyxor UCITS correlation with market (DOW)
β = -0.2223
Lyxor UCITS Almost negative betaLyxor UCITS ETF Beta Legend

Lyxor UCITS ETF Technical Analysis

Transformation
We are not able to run technical analysis function on this symbol. We either do not have that equity or its historical data is not available at this time. Please try again later.

Lyxor UCITS Projected Return Density Against Market

Assuming 30 trading days horizon, Lyxor UCITS ETF Hong Kong has beta of -0.2223 indicating as returns on benchmark increase, returns on holding Lyxor UCITS are expected to decrease at a much smaller rate. During bear market, however, Lyxor UCITS ETF Hong Kong is likely to outperform the market. 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 -751.43. The daily returns are destributed with a variance of 2.67 and standard deviation of 1.63. The mean deviation of Lyxor UCITS ETF Hong Kong is currently at 1.05. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
α
Alpha over DOW
=0.23
β
Beta against DOW=0.22
σ
Overall volatility
=1.63
Ir
Information ratio =0.0003

Lyxor UCITS Return Volatility

Lyxor UCITS ETF Hong Kong assumes 1.6339% volatility of returns over the 30 days investment horizon. DOW inherits 1.0568% 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 1.63 and is 1.54 times more volatile than DOW. 14% 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 14 (%) 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 moderate downward daily trend and can be a good diversifier. Check odds of Lyxor UCITS to be traded at €26.94 in 30 days. As returns on market increase, returns on owning Lyxor UCITS are expected to decrease at a much smaller rate. During bear market, Lyxor UCITS is likely to outperform the market.

Lyxor UCITS correlation with market

Good 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 Commodity Channel Index module to use commodity channel index to analyze current equity momentum.
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