WBI TACTICAL (Germany) Risk Analysis And Volatility Evaluation

OVDD -- Germany ETF  

EUR 17.76  0.044  0.25%

Macroaxis considers WBI TACTICAL to be unknown risk. WBI TACTICAL SMY shows Sharpe Ratio of -0.3637 which attests that WBI TACTICAL SMY had -0.3637% of return per unit of standard deviation over the last 2 months. Macroaxis approach into determining 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. WBI TACTICAL SMY exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out WBI TACTICAL SMY Risk Adjusted Performance of (0.46) and Mean Deviation of 1.43 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

WBI TACTICAL Market Sensitivity

As returns on market increase, WBI TACTICAL returns are expected to increase less than the market. However during bear market, the loss on holding WBI TACTICAL will be expected to be smaller as well.
2 Months Beta |Analyze WBI TACTICAL SMY Demand Trend
Check current 30 days WBI TACTICAL correlation with market (DOW)
β = 0.2668

WBI TACTICAL Central Daily Price Deviation

WBI TACTICAL SMY Technical Analysis

Transformation
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WBI TACTICAL Projected Return Density Against Market

Assuming 30 trading days horizon, WBI TACTICAL has beta of 0.2668 . This implies as returns on market go up, WBI TACTICAL average returns are expected to increase less than the benchmark. However during bear market, the loss on holding WBI TACTICAL SMY will be expected to be much smaller as well. Additionally, WBI TACTICAL SMY 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 WBI TACTICAL is -274.97. The daily returns are destributed with a variance of 2.77 and standard deviation of 1.66. The mean deviation of WBI TACTICAL SMY is currently at 1.12. For similar time horizon, the selected benchmark (DOW) has volatility of 1.27
α
Alpha over DOW
=0.69
β
Beta against DOW=0.27
σ
Overall volatility
=1.66
Ir
Information ratio =0.35

WBI TACTICAL Return Volatility

WBI TACTICAL SMY accepts 1.6642% volatility on return distribution over the 30 days horizon. DOW inherits 1.282% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

WBI TACTICAL Investment Opportunity

WBI TACTICAL SMY has a volatility of 1.66 and is 1.3 times more volatile than DOW. 15% of all equities and portfolios are less risky than WBI TACTICAL. Compared to the overall equity markets, volatility of historical daily returns of WBI TACTICAL SMY is lower than 15 (%) of all global equities and portfolios over the last 30 days. Use WBI TACTICAL SMY to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of WBI TACTICAL to be traded at €17.58 in 30 days. As returns on market increase, WBI TACTICAL returns are expected to increase less than the market. However during bear market, the loss on holding WBI TACTICAL will be expected to be smaller as well.

WBI TACTICAL correlation with market

correlation synergy
Weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding WBI TACTICAL SMY and equity matching DJI index in the same portfolio.

WBI TACTICAL Volatility Indicators

WBI TACTICAL SMY Current Risk Indicators

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