ETFS Wheat (UK) Risk Analysis And Volatility Evaluation

WEAT -- UK ETF  

USD 0.68  0.004  0.58%

Macroaxis considers ETFS Wheat exceptionally risky given 1 month investment horizon. ETFS Commodity Secur secures Sharpe Ratio (or Efficiency) of 0.1961 which denotes ETFS Commodity Secur had 0.1961% of return per unit of return volatility over the last 1 month. Our approach to predicting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ETFS Wheat ETC which you can use to evaluate future volatility of the entity. Please utilize ETFS Commodity Secur Downside Deviation of 2.38 and Mean Deviation of 1.54 to check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

ETFS Wheat Market Sensitivity

As returns on market increase, ETFS Wheat returns are expected to increase less than the market. However during bear market, the loss on holding ETFS Wheat will be expected to be smaller as well.
One Month Beta |Analyze ETFS Commodity Secur Demand Trend
Check current 30 days ETFS Wheat correlation with market (DOW)
β = 0.2393
ETFS Wheat Small BetaETFS Commodity Secur Beta Legend

ETFS Commodity Secur Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. ETFS Commodity Secur Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Assuming 30 trading days horizon, ETFS Wheat has beta of 0.2393 . This means as returns on market go up, ETFS Wheat average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ETFS Wheat ETC will be expected to be much smaller as well. Moreover, ETFS Wheat ETC has an alpha of 0.3997 implying that it can potentially generate 0.3997% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of ETFS Wheat is 510.05. The daily returns are destributed with a variance of 4.54 and standard deviation of 2.13. The mean deviation of ETFS Wheat ETC is currently at 1.54. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.40
β
Beta against DOW=0.24
σ
Overall volatility
=2.13
Ir
Information ratio =0.18

Actual Return Volatility

ETFS Wheat ETC assumes 2.1305% volatility of returns over the 30 days investment horizon. DOW inherits 0.4414% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ETFS Wheat Volatility Factors

30 Days Market Risk

Exceptionally risky

Chance of Distress in 24 months

About average

30 Days Economic Sensitivity

Slowly supersedes market

Investment Outlook

ETFS Wheat Investment Opportunity
ETFS Wheat ETC has a volatility of 2.13 and is 4.84 times more volatile than DOW. 19% of all equities and portfolios are less risky than ETFS Wheat. Compared to the overall equity markets, volatility of historical daily returns of ETFS Wheat ETC is lower than 19 (%) of all global equities and portfolios over the last 30 days. Use ETFS Wheat ETC to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of ETFS Wheat to be traded at $0.6708 in 30 days. As returns on market increase, ETFS Wheat returns are expected to increase less than the market. However during bear market, the loss on holding ETFS Wheat will be expected to be smaller as well.

ETFS Wheat correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding ETFS Commodity Securities Ltd and equity matching DJI index in the same portfolio.
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