Xtrackers FTSE (Germany) Volatility
At this point, Xtrackers FTSE is very steady. Xtrackers FTSE shows Sharpe Ratio of 0.24, which attests that the etf had a 0.24 % return per unit of risk over the last 3 months. We have found eighteen technical indicators for Xtrackers FTSE, which you can use to evaluate the volatility of the etf. Please check out Xtrackers FTSE's Semi Deviation of 0.5004, mean deviation of 0.5712, and Coefficient Of Variation of 425.17 to validate if the risk estimate we provide is consistent with the expected return of 0.17%.
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Xtrackers FTSE 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 Xtrackers daily returns, and it is calculated using variance and standard deviation. We also use Xtrackers's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Xtrackers FTSE volatility.
Xtrackers FTSE Etf Volatility Analysis
Volatility refers to the frequency at which Xtrackers FTSE etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Xtrackers FTSE's price changes. Investors will then calculate the volatility of Xtrackers FTSE's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Xtrackers FTSE's volatility:
Historical Volatility
This type of etf volatility measures Xtrackers FTSE's fluctuations based on previous trends. It's commonly used to predict Xtrackers FTSE's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Xtrackers FTSE's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Xtrackers FTSE's to be redeemed at a future date.Transformation |
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Xtrackers FTSE Projected Return Density Against Market
Assuming the 90 days trading horizon Xtrackers FTSE has a beta that is very close to zero suggesting the returns on DOW JONES INDUSTRIAL and Xtrackers FTSE do not appear to be reactive.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 Xtrackers FTSE or DWS Investment S.A. (ETF) 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 Xtrackers FTSE's price will be affected by overall etf 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 Xtrackers etf'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.
Predicted Return Density |
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What Drives a Xtrackers FTSE Price Volatility?
Several factors can influence a etf's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract investor attention to the company. This positive attention may impact the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Xtrackers FTSE Etf Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Xtrackers FTSE is 425.17. The daily returns are distributed with a variance of 0.53 and standard deviation of 0.73. The mean deviation of Xtrackers FTSE is currently at 0.57. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.81
α | Alpha over Dow Jones | 0.00 | |
β | Beta against Dow Jones | 0.00 | |
σ | Overall volatility | 0.73 | |
Ir | Information ratio | 0.14 |
Xtrackers FTSE Etf Return Volatility
Xtrackers FTSE historical daily return volatility represents how much of Xtrackers FTSE etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The Exchange Traded Fund assumes 0.7261% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7615% volatility on return distribution over the 90 days horizon. Performance |
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Related Correlations Analysis
Correlation Matchups
Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.High positive correlations
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Xtrackers FTSE Competition Risk-Adjusted Indicators
There is a big difference between Xtrackers Etf performing well and Xtrackers FTSE ETF doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze Xtrackers FTSE's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Treynor Ratio | Semi Deviation | Expected Shortfall | Potential Upside | Value @Risk | Maximum Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|
| META | 1.51 | 0.00 | (0.02) | 0.06 | 1.53 | 3.43 | 13.69 | |||
| MSFT | 1.32 | (0.36) | 0.00 | (0.92) | 0.00 | 1.90 | 13.28 | |||
| UBER | 1.50 | (0.46) | 0.00 | (0.90) | 0.00 | 2.41 | 11.09 | |||
| F | 1.22 | 0.07 | 0.05 | 0.14 | 1.20 | 3.34 | 7.16 | |||
| T | 1.02 | 0.23 | 0.17 | 3.71 | 0.77 | 3.87 | 5.31 | |||
| A | 1.27 | (0.30) | 0.00 | (0.17) | 0.00 | 2.90 | 7.85 | |||
| CRM | 1.68 | (0.41) | 0.00 | (0.35) | 0.00 | 2.94 | 12.37 | |||
| JPM | 1.26 | (0.15) | 0.00 | (0.04) | 0.00 | 2.34 | 7.38 | |||
| MRK | 1.35 | 0.49 | 0.35 | 0.77 | 0.97 | 3.59 | 8.74 | |||
| XOM | 1.24 | 0.36 | 0.22 | 1.65 | 1.11 | 2.68 | 6.83 |
About Xtrackers FTSE Volatility
Volatility is a rate at which the price of Xtrackers FTSE 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 Xtrackers FTSE may increase or decrease. In other words, similar to Xtrackers's beta indicator, it measures the risk of Xtrackers FTSE and helps estimate the fluctuations that may happen in a short period of time. So if prices of Xtrackers FTSE 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 aim is for the investment to reflect the performance of the FTSE 250 Index which is designed to reflect the performance of the shares of 250 medium sized UK companies listed on the London Stock Exchange which are not included in the FTSE 100 Index. XTR FTSE is traded on Frankfurt Stock Exchange in Germany.
Xtrackers FTSE's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Xtrackers Etf over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Xtrackers FTSE's price varies over time.
3 ways to utilize Xtrackers FTSE's volatility to invest better
Higher Xtrackers FTSE's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Xtrackers FTSE etf is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Xtrackers FTSE etf volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Xtrackers FTSE investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Xtrackers FTSE's etf can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Xtrackers FTSE's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Xtrackers FTSE Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.76 and is 1.04 times more volatile than Xtrackers FTSE. Compared to the overall equity markets, volatility of historical daily returns of Xtrackers FTSE is lower than 6 percent of all global equities and portfolios over the last 90 days. You can use Xtrackers FTSE to enhance the returns of your portfolios. The etf experiences a moderate upward volatility. Check odds of Xtrackers FTSE to be traded at €27.79 in 90 days.Poor diversification
The correlation between Xtrackers FTSE and DJI is 0.64 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Xtrackers FTSE and DJI in the same portfolio, assuming nothing else is changed.
Xtrackers FTSE Additional Risk Indicators
The analysis of Xtrackers FTSE'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 Xtrackers FTSE's investment and either accepting that risk or mitigating it. Along with some common measures of Xtrackers FTSE etf's 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 | 0.1887 | |||
| Mean Deviation | 0.5712 | |||
| Semi Deviation | 0.5004 | |||
| Downside Deviation | 0.8062 | |||
| Coefficient Of Variation | 425.17 | |||
| Standard Deviation | 0.7261 | |||
| Variance | 0.5272 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Xtrackers FTSE 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.
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 Xtrackers FTSE 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. Xtrackers FTSE'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, Xtrackers FTSE'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 Xtrackers FTSE.
Other Information on Investing in Xtrackers Etf
Xtrackers FTSE financial ratios help investors to determine whether Xtrackers Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Xtrackers with respect to the benefits of owning Xtrackers FTSE security.