LYT7 BE (Germany) Risk Analysis And Volatility Evaluation

LYT7 -- Germany ETF  

EUR 91.12  0.000003  0.00%

Macroaxis considers LYT7 BE to be unknown risk. LYT7 BE has Sharpe Ratio of -0.5774 which conveys that LYT7 BE had -0.5774% of return per unit of standard deviation 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. LYT7 BE exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify LYT7 BE Market Risk Adjusted Performance of 34.26, Mean Deviation of 1.37 and Risk Adjusted Performance of (0.29) to check out risk estimate we provide.
Horizon     30 Days    Login   to change

LYT7 BE Market Sensitivity

As returns on market increase, returns on owning LYT7 BE are expected to decrease at a much smaller rate. During bear market, LYT7 BE is likely to outperform the market.
2 Months Beta |Analyze LYT7 BE Demand Trend
Check current 30 days LYT7 BE correlation with market (DOW)
β = -0.0117

LYT7 BE Central Daily Price Deviation

LYT7 BE Technical Analysis

Transformation
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LYT7 BE Projected Return Density Against Market

Assuming 30 trading days horizon, LYT7 BE has beta of -0.0117 indicating as returns on benchmark increase, returns on holding LYT7 BE are expected to decrease at a much smaller rate. During bear market, however, LYT7 BE is likely to outperform the market. Additionally, LYT7 BE 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 LYT7 BE is -173.21. The daily returns are destributed with a variance of 0.39 and standard deviation of 0.62. The mean deviation of LYT7 BE is currently at 0.48. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.4
β
Beta against DOW=0.01
σ
Overall volatility
=0.62
Ir
Information ratio =0.17

LYT7 BE Return Volatility

LYT7 BE accepts 0.6205% volatility on return distribution over the 30 days horizon. DOW inherits 1.2829% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Correlation Analysis

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Investment Outlook

LYT7 BE Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 2.06 times more volatile than LYT7 BE. 5% of all equities and portfolios are less risky than LYT7 BE. Compared to the overall equity markets, volatility of historical daily returns of LYT7 BE is lower than 5 (%) of all global equities and portfolios over the last 30 days. Use LYT7 BE to protect against small markets fluctuations. The etf experiences normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of LYT7 BE to be traded at €90.21 in 30 days. As returns on market increase, returns on owning LYT7 BE are expected to decrease at a much smaller rate. During bear market, LYT7 BE is likely to outperform the market.

LYT7 BE correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding LYT7 BE and equity matching DJI index in the same portfolio.

LYT7 BE Volatility Indicators

LYT7 BE Current Risk Indicators

Please see also Stocks Correlation. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
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