We consider ETFS Wheat extremely volatile. ETFS Commodity Secur secures Sharpe Ratio (or Efficiency) of 0.162 which denotes ETFS Commodity Secur had 0.162% 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 confirm ETFS Commodity Secur Downside Deviation of 0.8322 and Mean Deviation of 0.8273 to check if risk estimate we provide are consistent with the epected return of 0.1619%.
|Time Horizon||30 Days Login to change|
ETFS Wheat Market Sensitivity
|As returns on market increase, returns on owning ETFS Wheat are expected to decrease at a much smaller rate. During bear market, ETFS Wheat is likely to outperform the market.One Month Beta |Analyze ETFS Commodity Secur Demand TrendCheck current 30 days ETFS Wheat correlation with market (DOW)|
β = -0.1835
ETFS Commodity Secur Technical Analysis
Projected Return Density Against MarketAssuming 30 trading days horizon, ETFS Wheat ETC has beta of -0.1835 . This means as returns on benchmark increase, returns on holding ETFS Wheat are expected to decrease at a much smaller rate. During bear market, however, ETFS Wheat ETC is likely to outperform the market. Moreover, ETFS Wheat ETC has an alpha of 0.1409 implying that it can potentially generate 0.1409% excess return over DOW after adjusting for the inherited market risk (beta).
Assuming 30 trading days horizon, the coefficient of variation of ETFS Wheat is 617.15. The daily returns are destributed with a variance of 1.0 and standard deviation of 1.0. The mean deviation of ETFS Wheat ETC is currently at 0.81. For similar time horizon, the selected benchmark (DOW) has volatility of 1.78