Lyxor Stoxx (Germany) Risk Analysis And Volatility

LYYL -- Germany ETF  

EUR 27.62  0.00  0.00%

We consider Lyxor Stoxx unknown risk. Lyxor Stoxx Europe has Sharpe Ratio of 0.5774 which conveys that the entity had 0.5774% of return per unit of risk over the last 2 months. Our philosophy towards estimating 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 Lyxor Stoxx which you can use to evaluate future volatility of the organization. Please verify Lyxor Stoxx Europe 600 TrvlLsr ETF AI Mean Deviation of 0.1425 and Risk Adjusted Performance of (0.11) to check out if risk estimate we provide are consistent with the epected return of 0.0786%.
Horizon     30 Days    Login   to change

Lyxor Stoxx Market Sensitivity

As returns on market increase, Lyxor Stoxx returns are expected to increase less than the market. However during bear market, the loss on holding Lyxor Stoxx will be expected to be smaller as well.
2 Months Beta |Analyze Lyxor Stoxx Europe Demand Trend
Check current 30 days Lyxor Stoxx correlation with market (DOW)
β = 0.0755

Lyxor Stoxx Central Daily Price Deviation

Lyxor Stoxx Europe 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 Stoxx Projected Return Density Against Market

Assuming 30 trading days horizon, Lyxor Stoxx has beta of 0.0755 indicating as returns on market go up, Lyxor Stoxx average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Lyxor Stoxx Europe 600 TrvlLsr ETF AI will be expected to be much smaller as well. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. Lyxor Stoxx Europe is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of Lyxor Stoxx is 173.21. The daily returns are destributed with a variance of 0.02 and standard deviation of 0.14. The mean deviation of Lyxor Stoxx Europe 600 TrvlLsr ETF AI is currently at 0.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.71
α
Alpha over DOW
=0.05
β
Beta against DOW=0.08
σ
Overall volatility
=0.14
Ir
Information ratio =0.41

Lyxor Stoxx Return Volatility

the entity accepts 0.1362% volatility on return distribution over the 30 days horizon. the entity inherits 0.6865% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Lyxor Stoxx Volatility Factors

60 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

60 Days Economic Sensitivity

Insignificant

Investment Outlook

Lyxor Stoxx Investment Opportunity

DOW has a standard deviation of returns of 0.69 and is 4.93 times more volatile than Lyxor Stoxx Europe 600 TrvlLsr ETF AI. 1% of all equities and portfolios are less risky than Lyxor Stoxx. Compared to the overall equity markets, volatility of historical daily returns of Lyxor Stoxx Europe 600 TrvlLsr ETF AI is lower than 1 (%) of all global equities and portfolios over the last 30 days. Use Lyxor Stoxx Europe 600 TrvlLsr ETF AI to protect your portfolios 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 Lyxor Stoxx to be traded at €27.34 in 30 days. . As returns on market increase, Lyxor Stoxx returns are expected to increase less than the market. However during bear market, the loss on holding Lyxor Stoxx will be expected to be smaller as well.

Lyxor Stoxx correlation with market

correlation synergy
Modest diversification
Overlapping area represents the amount of risk that can be diversified away by holding Lyxor Stoxx Europe 600 TrvlLsr and equity matching DJI index in the same portfolio.

Lyxor Stoxx Volatility Indicators

Lyxor Stoxx Europe 600 TrvlLsr ETF AI Current Risk Indicators

Please see also Stocks Correlation. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
Search macroaxis.com