Deka DAXplus (Germany) Volatility
| EL4X Etf | EUR 58.70 0.88 1.48% |
Deka DAXplus appears to be very steady, given 3 months investment horizon. Deka DAXplus Maximum secures Sharpe Ratio (or Efficiency) of 0.3, which denotes the etf had a 0.3 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Deka DAXplus Maximum, which you can use to evaluate the volatility of the entity. Please utilize Deka DAXplus' Mean Deviation of 0.5543, coefficient of variation of 485.86, and Downside Deviation of 0.8429 to check if our risk estimates are consistent with your expectations.
Sharpe Ratio = 0.3042
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Estimated Market Risk
| 0.67 actual daily | 6 94% of assets are more volatile |
Expected Return
| 0.2 actual daily | 4 96% of assets have higher returns |
Risk-Adjusted Return
| 0.3 actual daily | 24 76% of assets perform better |
Based on monthly moving average Deka DAXplus is performing at about 24% of its full potential. If added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Deka DAXplus by adding it to a well-diversified portfolio.
Key indicators related to Deka DAXplus' volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Deka DAXplus 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 Deka daily returns, and it is calculated using variance and standard deviation. We also use Deka's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Deka DAXplus volatility.
Deka |
Downward market volatility can be a perfect environment for investors who play the long game with Deka DAXplus. They may decide to buy additional shares of Deka DAXplus at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Deka Etf
| 0.84 | EXS1 | iShares Core DAX | PairCorr |
| 0.84 | EL4F | Deka DAX UCITS | PairCorr |
| 0.84 | CG1G | AMUNDI ETF DAX | PairCorr |
| 0.89 | C006 | Lyxor FAZ 100 | PairCorr |
| 0.81 | C003 | Lyxor DivDAX UCITS | PairCorr |
| 0.9 | VGER | Vanguard Funds Public | PairCorr |
| 0.82 | ELF0 | Deka DAX ex | PairCorr |
| 0.97 | E903 | Lyxor 1 | PairCorr |
| 0.96 | FTGG | First Trust Global | PairCorr |
| 0.89 | LYBK | Lyxor UCITS Stoxx | PairCorr |
| 0.89 | EXX1 | iShares EURO STOXX | PairCorr |
| 0.87 | EXX1 | iShares EURO STOXX | PairCorr |
| 0.91 | S7XE | Invesco EURO STOXX | PairCorr |
| 0.93 | EXV1 | iShares STOXX Europe | PairCorr |
| 0.92 | SC0U | Invesco Markets plc | PairCorr |
| 0.89 | AMEE | Amundi ETF MSCI | PairCorr |
| 0.84 | ETLX | LG Gold Mining | PairCorr |
| 0.81 | UBUD | UBS ETF Public | PairCorr |
| 0.84 | ETLX | LG Gold Mining | PairCorr |
| 0.92 | LM9E | BNP Paribas Easy | PairCorr |
| 0.87 | IUS2 | iShares SP Banks | PairCorr |
| 0.83 | WGES | Amundi MSCI World | PairCorr |
| 0.96 | ETSZ | Easy ETF | PairCorr |
| 0.92 | T3MP | JPMorgan ETFs ICAV | PairCorr |
| 0.82 | S0LR | Invesco Solar Energy | PairCorr |
| 0.85 | EGV3 | MULTI UNITS LUXEMBOURG | PairCorr |
Deka DAXplus Market Sensitivity And Downside Risk
Deka DAXplus' beta coefficient measures the volatility of Deka etf compared to the systematic risk of the entire 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 Deka etf's returns against your selected market. In other words, Deka DAXplus's beta of 0.17 provides an investor with an approximation of how much risk Deka DAXplus etf can potentially add to one of your existing portfolios. Deka DAXplus Maximum has low volatility with Treynor Ratio of 0.91, Maximum Drawdown of 4.38 and kurtosis of 2.51. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Deka DAXplus' etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Deka DAXplus' etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Deka DAXplus Maximum Demand TrendCheck current 90 days Deka DAXplus correlation with market (Dow Jones Industrial)Deka DAXplus Volatility and Downside Risk
Deka standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity 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.
Deka DAXplus Maximum Etf Volatility Analysis
Volatility refers to the frequency at which Deka DAXplus etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Deka DAXplus' price changes. Investors will then calculate the volatility of Deka DAXplus' 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 Deka DAXplus' volatility:
Historical Volatility
This type of etf volatility measures Deka DAXplus' fluctuations based on previous trends. It's commonly used to predict Deka DAXplus' 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 Deka DAXplus' 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 Deka DAXplus' to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Deka DAXplus Maximum 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.
Deka DAXplus Projected Return Density Against Market
Assuming the 90 days trading horizon Deka DAXplus has a beta of 0.1676 suggesting as returns on the market go up, Deka DAXplus average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Deka DAXplus Maximum will be expected to be much smaller as well.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 Deka DAXplus or Deka Investment GmbH 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 Deka DAXplus' 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 Deka 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 Deka DAXplus 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.Deka DAXplus Etf Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Deka DAXplus is 328.75. The daily returns are distributed with a variance of 0.45 and standard deviation of 0.67. The mean deviation of Deka DAXplus Maximum is currently at 0.48. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.81
α | Alpha over Dow Jones | 0.14 | |
β | Beta against Dow Jones | 0.17 | |
σ | Overall volatility | 0.67 | |
Ir | Information ratio | 0.12 |
Deka DAXplus Etf Return Volatility
Deka DAXplus historical daily return volatility represents how much of Deka DAXplus etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The Exchange Traded Fund assumes 0.6731% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7551% volatility on return distribution over the 90 days horizon. Performance |
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Related Correlations Analysis
Deka DAXplus Constituents Risk-Adjusted Indicators
There is a big difference between Deka Etf performing well and Deka DAXplus 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 Deka DAXplus' 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 | ||
|---|---|---|---|---|---|---|---|---|---|---|
| EXS1 | 0.56 | 0.05 | 0.01 | 0.19 | 0.70 | 1.25 | 3.41 | |||
| EL4X | 0.55 | 0.14 | 0.11 | 0.91 | 0.59 | 1.39 | 4.38 | |||
| CG1G | 0.56 | 0.05 | 0.01 | 0.20 | 0.70 | 1.15 | 3.40 | |||
| C003 | 0.65 | 0.08 | 0.02 | 0.59 | 0.95 | 1.19 | 5.61 | |||
| FTGG | 0.70 | 0.19 | 0.18 | 0.54 | 0.61 | 1.61 | 4.21 |
About Deka DAXplus Volatility
Volatility is a rate at which the price of Deka DAXplus 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 Deka DAXplus may increase or decrease. In other words, similar to Deka's beta indicator, it measures the risk of Deka DAXplus and helps estimate the fluctuations that may happen in a short period of time. So if prices of Deka DAXplus 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.3 ways to utilize Deka DAXplus' volatility to invest better
Higher Deka DAXplus' etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Deka DAXplus Maximum 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. Deka DAXplus Maximum 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 Deka DAXplus Maximum investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Deka DAXplus' 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 Deka DAXplus' etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Deka DAXplus Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.76 and is 1.13 times more volatile than Deka DAXplus Maximum. Compared to the overall equity markets, volatility of historical daily returns of Deka DAXplus Maximum is lower than 6 percent of all global equities and portfolios over the last 90 days. You can use Deka DAXplus Maximum to protect your portfolios against small market fluctuations. The etf experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Deka DAXplus to be traded at €56.94 in 90 days.Very poor diversification
The correlation between Deka DAXplus Maximum and DJI is 0.89 (i.e., Very poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Deka DAXplus Maximum and DJI in the same portfolio, assuming nothing else is changed.
Deka DAXplus Additional Risk Indicators
The analysis of Deka DAXplus' 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 Deka DAXplus' investment and either accepting that risk or mitigating it. Along with some common measures of Deka DAXplus 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 | 0.1658 | |||
| Market Risk Adjusted Performance | 0.9184 | |||
| Mean Deviation | 0.5543 | |||
| Semi Deviation | 0.5875 | |||
| Downside Deviation | 0.8429 | |||
| Coefficient Of Variation | 485.86 | |||
| Standard Deviation | 0.7883 |
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.
Deka DAXplus 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 Deka DAXplus 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. Deka DAXplus' 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, Deka DAXplus' 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 Deka DAXplus Maximum.
Other Information on Investing in Deka Etf
Deka DAXplus financial ratios help investors to determine whether Deka 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 Deka with respect to the benefits of owning Deka DAXplus security.