1-5 Year Etf Volatility

STPZ -  USA Etf  

USD 55.04  0.06  0.11%

We consider 1-5 Year very steady. 1-5 Year US retains Efficiency (Sharpe Ratio) of 0.18, which signifies that the etf had 0.18% of return per unit of price deviation over the last month. Our outlook to foreseeing the 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-eight technical indicators for 1-5 Year, which you can use to evaluate the future volatility of the entity. Please confirm 1-5 Year US Market Risk Adjusted Performance of 2.55, standard deviation of 2.43, and Coefficient Of Variation of (597.31) to double-check if the risk estimate we provide is consistent with the expected return of 0.0246%.

1-5 Year Volatility 

 
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1-5 Year Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of 1-5 Year daily returns, and it is calculated using variance and standard deviation. We also use 1-5 Year's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of 1-5 Year volatility.

720 Days Market Risk

Very steady

Chance of Distress

Very Small

720 Days Economic Sensitivity

Moves indifferently to market moves

1-5 Year Market Sensitivity And Downside Risk

1-5 Year's beta coefficient measures the volatility of 1-5 Year etf compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents 1-5 Year etf's returns against your selected market. In other words, 1-5 Year's beta of -0.16 provides an investor with an approximation of how much risk 1-5 Year etf can potentially add to one of your existing portfolios.
Let's try to break down what 1-5 Year's beta means in this case. As returns on the market increase, returns on owning 1-5 Year are expected to decrease at a much lower rate. During the bear market, 1-5 Year is likely to outperform the market.
One Month Beta |Analyze 1-5 Year US Demand Trend
Check current 90 days 1-5 Year correlation with market (DOW)

1-5 Year Beta

    
  -0.16  
1-5 Year standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  0.13  
It is essential to understand the difference between upside risk (as represented by 1-5 Year's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of 1-5 Year stock's daily returns or price. Since the actual investment returns on holding a position in 1-5 Year stock tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in 1-5 Year.

1-5 Year Implied Volatility

    
  0.0  
1-5 Year's implied volatility exposes the market's sentiment of 1-5 Year US stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if 1-5 Year's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that 1-5 Year stock will not fluctuate a lot when 1-5 Year's options near their expiration.

1-5 Year US Etf Volatility Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. Developed by Larry Williams, the Weighted Close is the average of 1-5 Year US high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only 1-5 Year closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

1-5 Year Projected Return Density Against Market

Given the investment horizon of 90 days 1-5 Year US has a beta of -0.1641 . This usually implies as returns on benchmark increase, returns on holding 1-5 Year are expected to decrease at a much lower rate. During the bear market, however, 1-5 Year US is likely to outperform the market.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to 1-5 Year or PIMCO sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that 1-5 Year stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a 1-5 Year stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. 1-5 Year US is significantly underperforming DOW.
 Predicted Return Density 
      Returns 

1-5 Year Etf Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to 1-5 Year or PIMCO sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that 1-5 Year stock's price will be affected by overall stock market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a 1-5 Year stock's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Given the investment horizon of 90 days the coefficient of variation of 1-5 Year is 543.61. The daily returns are distributed with a variance of 0.02 and standard deviation of 0.13. The mean deviation of 1-5 Year US is currently at 0.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.9
α
Alpha over DOW
-0.38
β
Beta against DOW-0.16
σ
Overall volatility
0.13
Ir
Information ratio -0.26

1-5 Year Etf Return Volatility

1-5 Year historical daily return volatility represents how much 1-5 Year stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The ETF inherits 0.1339% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.8796% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About 1-5 Year Volatility

Volatility is a rate at which the price of 1-5 Year or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of 1-5 Year may increase or decrease. In other words, similar to 1-5 Year's beta indicator, it measures the risk of 1-5 Year and helps estimate the fluctuations that may happen in a short period of time. So if prices of 1-5 Year fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The investment seeks to provide total return that closely corresponds, before fees and expenses, to the total return of the ICE BofA 1-5 Year US Inflation-Linked Treasury Index. 1-5 Year is traded on NYSEArca Exchange in the United States.

Nearest 1-5 Year long CALL Option Payoff at Expiration

1-5 Year's implied volatility is one of the determining factors in the pricing options written on 1-5 Year US. Implied volatility approximates the future value of 1-5 Yearusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in 1-5 Year US over a specific time period.
View All 1-5 Year options
2021-11-19 CALL at $45.0 is a CALL option contract on 1-5 Year's common stock with a strick price of 45.0 expiring on 2021-11-19. The contract was not traded in recent days and, as of today, has 29 days remaining before the expiration. The option is currently trading at a bid price of $8.6, and an ask price of $11.2. The implied volatility as of the 21st of October is 83.1632.
 Profit 
Share
      1-5 Year Price At Expiration 

1-5 Year Investment Opportunity

DOW has a standard deviation of returns of 0.88 and is 6.77 times more volatile than 1-5 Year US. of all equities and portfolios are less risky than 1-5 Year. Compared to the overall equity markets, volatility of historical daily returns of 1-5 Year US is lower than 1 () of all global equities and portfolios over the last 90 days. Use 1-5 Year US to enhance returns of your portfolios. The etf experiences a normal upward fluctuation. Check odds of 1-5 Year to be traded at $57.79 in 90 days. . Let's try to break down what 1-5 Year's beta means in this case. As returns on the market increase, returns on owning 1-5 Year are expected to decrease at a much lower rate. During the bear market, 1-5 Year is likely to outperform the market.

Good diversification

The correlation between 1-5 Year US and DJI is Good diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding 1-5 Year US and DJI in the same portfolio assuming nothing else is changed.

1-5 Year Additional Risk Indicators

The analysis of 1-5 Year's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in 1-5 Year's investment and either accepting that risk or mitigating it. Along with some common measures of 1-5 Year stock risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Risk Adjusted Performance(0.14)
Market Risk Adjusted Performance2.55
Mean Deviation0.9783
Coefficient Of Variation(597.31)
Standard Deviation2.43
Variance5.9
Information Ratio(0.26)
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

1-5 Year Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against 1-5 Year as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. 1-5 Year's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, 1-5 Year's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to 1-5 Year US.
Additionally, take a look at World Market Map. Note that the 1-5 Year US information on this page should be used as a complementary analysis to other 1-5 Year's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.

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When running 1-5 Year US price analysis, check to measure 1-5 Year's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy 1-5 Year is operating at the current time. Most of 1-5 Year's value examination focuses on studying past and present price action to predict the probability of 1-5 Year's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move 1-5 Year's price. Additionally, you may evaluate how the addition of 1-5 Year to your portfolios can decrease your overall portfolio volatility.
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The market value of 1-5 Year US is measured differently than its book value, which is the value of 1-5 Year that is recorded on the company's balance sheet. Investors also form their own opinion of 1-5 Year's value that differs from its market value or its book value, called intrinsic value, which is 1-5 Year's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because 1-5 Year's market value can be influenced by many factors that don't directly affect 1-5 Year US underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between 1-5 Year's value and its price as these two are different measures arrived at by different means. Investors typically determine 1-5 Year value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, 1-5 Year's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.