RBC Discount Bond ETF Volatility
| RUDB ETF | 21.66 -0.03 -0.14% |
Sharpe Ratio = 0.0258
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Estimated Market Risk
| 0.28 actual daily | 2 Higher volatility than 2% of comparable assets |
Expected Return
| 0.01 actual daily | 0 Below most comparable assets in expected return |
Risk-Adjusted Return
| 0.03 actual daily | 2 2nd percentile in risk-adjusted performance |
RBC Discount Bond posted Market Risk Adjusted Performance at 0.1%, Risk close to 0.28, and Value At Risk close to -0.55 for the reported period. The ETF is tracking at approximately 2% of its historical trend range per monthly averages.
Key indicators related to RBC Discount's volatility include:90 Days Market Risk | Chance Of Distress | 90 Days Economic Sensitivity |
Key risk metrics for RBC Discount (3 Months):
Beta -0.03 | Alpha -0.0033 | Risk 0.28 | Sharpe Ratio 0.03 | Expected Return 0.01 |
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| 0.41 | ZNQ-U | BMO NASDAQ 100 | PairCorr |
Sensitivity To Market
Beta analysis for RBC Discount Bond evaluates how its price movements correlate with the broader market. With a beta of -0.0281, RBC Discount reflects measurable exposure to systematic risk. Observed total volatility stands near 0.28%. Asymmetric risk in RBC Discount Bond is visible through downside-focused metrics. Downside deviation reads 0.33% and semi-deviation reads 0.27%, isolating the loss-side component of total return variability. ETF volatility often reflects both the underlying basket and the trading layer. Premium/discount to NAV is often expressed as (Price − NAV) / NAV × 100 when NAV is available. Spread stability also shapes short-term movement.
3 Months Beta |RBC Discount Bond Demand TrendCurrent 90-day RBC Discount correlation with market (Dow Jones Industrial)Downside Risk
The standard deviation reading for RBC Discount summarizes how concentrated or dispersed daily returns have been around their mean. Volatile instruments have higher standard deviations; stable ones have lower. When RBC Discount standard deviation rises relative to its historical range, it signals a regime change in price behavior.
Standard Deviation | 0.28 |
Standard deviation and downside deviation are complementary tools for assessing RBC Discount's risk. Downside deviation or semi-deviation of RBC Discount's returns isolates the loss-side component of total variability. For RBC Discount, understanding the difference between standard deviation and downside deviation is analytically important. RBC Discount Bond posted Downside Deviation at 0.33, Downside Variance close to 0.11, and a Maximum Drawdown of 1.46 for the reported period.
ETF Volatility Analysis
In evaluating RBC Discount as an investment, volatility is a primary indicator of risk. High volatility generally means the ETF price moves dramatically in a short period of time. Lower risk tolerance generally corresponds to preference for ETFs exhibiting lower volatility.
Transformation |
This analysis covers sixty-one data points across the selected time horizon. The Average Price transformation calculates the mean of RBC Discount Bond's open, high, low, and close for each trading period. By incorporating all four price components equally, it provides a balanced representation of each period's trading activity. Compared to using the closing price alone, the average price reduces the influence of end-of-day positioning and can serve as a smoother input for other technical indicators.
Projected Return Density Against Market
Over the selected 90-day horizon, RBC Discount Bond has a beta of -0.0281 indicating that as returns on the benchmark increase, returns on RBC Discount tend to move in the opposite direction, though by a smaller magnitude. During a bear market, however, RBC Discount Bond tends to outperform the market.Risk for RBC Discount can be divided into market-wide and asset-specific components. While diversification may mitigate unsystematic factors, systematic risk tied to the ETF market cannot be eliminated. Historical beta and volatility measures provide context. RBC Discount Bond posted Downside Deviation at 0.33, Mean Deviation close to 0.19, and Semi Deviation at 0.27 for the reported period.
Predicted Return Distribution |
| Density |
What Drives RBC Discount's Price Volatility?
Holdings and Allocation
Concentration changes and sector rotation within the Global Fixed Income category often influence how investors price RBC Discount's risk.Political and Economic Environment
Macro data and central-bank signals can change valuation assumptions and short-term positioning around RBC Discount.RBC Discount's Fund-Specific Factors
Creation and redemption activity, bid-ask spreads, and NAV premium or discount can trigger intraday volatility clusters.ETF Risk Measures
Over the selected 90-day horizon, the coefficient of variation of RBC Discount is 3880.07. The daily returns are distributed with a variance of 0.08 and standard deviation of 0.28. The mean deviation of RBC Discount Bond is currently at 0.19. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.9
α | Alpha over Dow Jones | -0.0033 | |
β | Beta against Dow Jones | -0.0281 | |
σ | Overall volatility | 0.28 | |
Ir | Information ratio | 0.05 |
ETF Return Volatility
Daily return volatility for RBC Discount measures how far ETF returns deviate from their average on a day-to-day basis. The ETF shows 0.2792% volatility of returns over 90 trading days. For comparison, Dow Jones Industrial reported 0.9156% volatility on return distribution over a 90-day investment horizon. Performance |
| Timeline |
Related Correlations Analysis
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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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RBC Discount Competition Risk-Adjusted Indicators
Evaluating RBC Discount ETF requires separating price momentum from underlying operating strength versus competitors. Without risk-adjusted context, short-term returns may appear stronger than the volatility required to achieve them would suggest. These indicators are quantitative in nature and measure volatility and risk-adjusted expected returns across different positions.| Mean Deviation | Jensen Alpha | Sortino Ratio | Potential Upside | Value @Risk | Drawdown | ||
|---|---|---|---|---|---|---|---|
| META | 1.70 | -0.10 | 0.00 | 2.61 | 15.22 | ||
| MSFT | 1.29 | 0.04 | 0.03 | 3.11 | 8.57 | ||
| UBER | 1.64 | 0.06 | 0.03 | 3.61 | 11.61 | ||
| F | 1.53 | -0.18 | 0.00 | 4.11 | 9.26 | ||
| T | 1.20 | -0.11 | 0.00 | 2.36 | 7.74 | ||
| A | 1.47 | -0.18 | 0.00 | 2.67 | 8.37 | ||
| CRM | 2.10 | -0.14 | 0.00 | 4.07 | 13.46 | ||
| JPM | 1.07 | -0.07 | 0.00 | 2.02 | 6.40 | ||
| MRK | 1.11 | -0.11 | 0.00 | 2.73 | 7.67 | ||
| XOM | 1.43 | 0.01 | 0.02 | 2.73 | 8.59 |
Risk Metrics, Assumptions & Methodology
Drawdown analysis for RBC Discount measures the largest peak-to-trough declines and their duration within the fund's price history. Historical price behavior shows relatively contained downside volatility compared to broader equities.
RBC Discount Bond metrics draw on fund disclosures and market reference feeds, standardized for cross-period comparison. Volatility and downside metrics are estimated from historical return dispersion.
Editorial review and methodology oversight provided by: Vlad Skutelnik, Macroaxis Contributor
Volatility Profile Summary
Recent data suggests that RBC Discount Bond is less volatile than Dow Jones Industrial by approximately 3.29x over the selected horizon. This differential reflects the relative dispersion of returns and frames how each asset responds to broader market conditions. Observed price behavior indicates modest directional movement within the current volatility regime. Across the current 90-day horizon, that places the security below 2% of the broader equity and portfolio universe on a pure volatility basis. This positioning reflects relative dispersion compared to peers rather than extreme instability.RBC Discount Bond exhibits characteristics that tend to dampen sensitivity to smaller market fluctuations within the current volatility regime. This directional read frames the latest price swing through a simple momentum and follow-through lens. It is intended to separate routine noise from more speculative bursts in price action. Observed price behavior reflects modest downward movement with limited trading activity. Return distributions derived from historical modeling outline a range of potential outcomes over the selected 90-day horizon. View RBC Discount probability analysis.
Strong inverse diversification
For the present investment horizon, the measured correlation between RBC Discount and Dow Jones stands at -0.27, or Strong inverse diversification. A -0.27 reading means RBC Discount and Dow Jones have partial price overlap, providing moderate risk reduction when paired.
Additional Risk Indicators
A broader risk-indicator set for RBC Discount Bond extends the analysis beyond standard volatility and risk measures. Cross-security comparison within similar growth and valuation profiles provides additional context for interpreting relative risk positioning.
| Risk Adjusted Performance | 9.0E-4 | |||
| Market Risk Adjusted Performance | 0.1098 | |||
| Mean Deviation | 0.1862 | |||
| Semi Deviation | 0.2655 | |||
| Downside Deviation | 0.3281 | |||
| Coefficient Of Variation | 3880.07 | |||
| Standard Deviation | 0.2792 |
RBC Discount Suggested Diversification Pairs
Pair analysis provides a framework for evaluating relative performance between RBC Discount Bond and comparable securities. This structure emphasizes relative performance differences between paired assets rather than broad market direction.
Pair diversification lowers aggregate risk, though certain risk categories remain unaffected regardless of how positions are paired. Systematic risk - the risk tied to the broad market - cannot be eliminated by pairing RBC Discount with another position. However, RBC Discount's company-specific risk can be partially offset by selecting a pair that does not move in lockstep with RBC Discount Bond.