ETFS Wheat (UK) Risk Analysis And Volatility Evaluation


USD 0.72  0.0045  0.63%

Macroaxis considers ETFS Wheat exceptionally risky given 1 month investment horizon. ETFS Commodity Secur secures Sharpe Ratio (or Efficiency) of 0.2154 which denotes ETFS Commodity Secur had 0.2154% 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 1.47 and Mean Deviation of 1.48 to check if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

ETFS Commodity Secur Technical Analysis

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 0.0 . This means unless we do not have required data, the returns on DOW and ETFS Wheat are completely uncorrelated. Furthermore, ETFS Wheat ETCIt does not look like ETFS Wheat alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Assuming 30 trading days horizon, the coefficient of variation of ETFS Wheat is 464.2. The daily returns are destributed with a variance of 3.19 and standard deviation of 1.79. The mean deviation of ETFS Wheat ETC is currently at 1.44. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.25

Actual Return Volatility

ETFS Wheat ETC assumes 1.7869% volatility of returns over the 30 days investment horizon. DOW inherits 0.5477% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

ETFS Wheat Volatility Factors

30 Days Market Risk

Exceptionally risky

Chance of Distress in 24 months

Above average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

ETFS Wheat Investment Opportunity
ETFS Wheat ETC has a volatility of 1.79 and is 3.25 times more volatile than DOW. 16% 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 16 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

ETFS Wheat Current Risk Indicators
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