db x (Germany) Risk Analysis And Volatility Evaluation

XHYG -- Germany ETF  

EUR 16.60  0.03  0.18%

Macroaxis considers db x to be unknown risk. db x trackers retains Efficiency (Sharpe Ratio) of -0.3406 which attests that db x trackers had -0.3406% of return per unit of risk over the last 2 months. Macroaxis way in which we are 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. db x exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out db x trackers II iBoxx EUR High Yield Bond UCITS ETF Coefficient Of Variation of (330.11), Market Risk Adjusted Performance of (3.22) and Standard Deviation of 0.2608 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

db x Market Sensitivity

As returns on market increase, db x returns are expected to increase less than the market. However during bear market, the loss on holding db x will be expected to be smaller as well.
2 Months Beta |Analyze db x trackers Demand Trend
Check current 30 days db x correlation with market (DOW)
β = 0.0276

db x Central Daily Price Deviation

db x trackers Technical Analysis

Transformation
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db x Projected Return Density Against Market

Assuming 30 trading days horizon, db x has beta of 0.0276 . This means as returns on market go up, db x average returns are expected to increase less than the benchmark. However during bear market, the loss on holding db x trackers II iBoxx EUR High Yield Bond UCITS ETF will be expected to be much smaller as well. Additionally, db x trackers II iBoxx EUR High Yield Bond UCITS ETF 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 db x is -293.56. The daily returns are destributed with a variance of 0.07 and standard deviation of 0.27. The mean deviation of db x trackers II iBoxx EUR High Yield Bond UCITS ETF is currently at 0.23. For similar time horizon, the selected benchmark (DOW) has volatility of 1.32
α
Alpha over DOW
=0.08
β
Beta against DOW=0.0276
σ
Overall volatility
=0.27
Ir
Information ratio =0.29

db x Return Volatility

db x trackers II iBoxx EUR High Yield Bond UCITS ETF assumes 0.2731% volatility of returns over the 30 days investment horizon. DOW inherits 1.3305% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

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Investment Outlook

db x Investment Opportunity

DOW has a standard deviation of returns of 1.33 and is 4.93 times more volatile than db x trackers II iBoxx EUR High Yield Bond UCITS ETF. 2% of all equities and portfolios are less risky than db x. Compared to the overall equity markets, volatility of historical daily returns of db x trackers II iBoxx EUR High Yield Bond UCITS ETF is lower than 2 (%) of all global equities and portfolios over the last 30 days. Use db x trackers II iBoxx EUR High Yield Bond UCITS ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of db x to be traded at €17.43 in 30 days. As returns on market increase, db x returns are expected to increase less than the market. However during bear market, the loss on holding db x will be expected to be smaller as well.

db x correlation with market

correlation synergy
Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding db x trackers II iBoxx EUR Hig and equity matching DJI index in the same portfolio.

db x Volatility Indicators

db x trackers II iBoxx EUR High Yield Bond UCITS ETF Current Risk Indicators

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