Western Asset Claymore Etf Volatility
At this stage we consider Western Etf to be very steady. Western Asset Claymore shows Sharpe Ratio of 0.16, which attests that the etf had a 0.16 % return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Western Asset Claymore, which you can use to evaluate the volatility of the etf. Please check out Western Asset's Market Risk Adjusted Performance of 0.7278, mean deviation of 0.4275, and Downside Deviation of 0.5333 to validate if the risk estimate we provide is consistent with the expected return of 0.0869%.
Western |
Western Asset 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 Western daily returns, and it is calculated using variance and standard deviation. We also use Western's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Western Asset volatility.
Western Asset Claymore Etf Volatility Analysis
Volatility refers to the frequency at which Western Asset etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Western Asset's price changes. Investors will then calculate the volatility of Western Asset'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 Western Asset's volatility:
Historical Volatility
This type of etf volatility measures Western Asset's fluctuations based on previous trends. It's commonly used to predict Western Asset'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 Western Asset'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 Western Asset's to be redeemed at a future date.Transformation |
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Western Asset Projected Return Density Against Market
Considering the 90-day investment horizon Western Asset has a beta of 0.1071 . This entails as returns on the market go up, Western Asset average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Western Asset Claymore 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 Western Asset or Financial Services 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 Western Asset'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 Western 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.
Western Asset Claymore has an alpha of 0.0921, implying that it can generate a 0.0921 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Western Asset 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 many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Western Asset Etf Risk Measures
Considering the 90-day investment horizon the coefficient of variation of Western Asset is 621.21. The daily returns are distributed with a variance of 0.29 and standard deviation of 0.54. The mean deviation of Western Asset Claymore is currently at 0.43. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.84
α | Alpha over Dow Jones | 0.09 | |
β | Beta against Dow Jones | 0.11 | |
σ | Overall volatility | 0.54 | |
Ir | Information ratio | 0.41 |
Western Asset Etf Return Volatility
Western Asset historical daily return volatility represents how much of Western Asset etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund has volatility of 0.5397% on return distribution over 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.882% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Western Asset Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.88 and is 1.63 times more volatile than Western Asset Claymore. Compared to the overall equity markets, volatility of historical daily returns of Western Asset Claymore is lower than 4 percent of all global equities and portfolios over the last 90 days. You can use Western Asset Claymore to protect your portfolios against small market fluctuations. The etf experiences a normal downward trend, but the immediate impact on correlations cannot be determined at the moment . Check odds of Western Asset to be traded at $0.0 in 90 days.Average diversification
The correlation between Western Asset Claymore and DJI is 0.18 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Western Asset Claymore and DJI in the same portfolio, assuming nothing else is changed.
Western Asset Additional Risk Indicators
The analysis of Western Asset'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 Western Asset's investment and either accepting that risk or mitigating it. Along with some common measures of Western Asset 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 | 0.1302 | |||
| Market Risk Adjusted Performance | 0.7278 | |||
| Mean Deviation | 0.4275 | |||
| Semi Deviation | 0.3901 | |||
| Downside Deviation | 0.5333 | |||
| Coefficient Of Variation | 621.21 | |||
| Standard Deviation | 0.5397 |
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.
Western Asset 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 Western Asset 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. Western Asset'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, Western Asset'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 Western Asset Claymore.
Other Information on Investing in Western Etf
Western Asset financial ratios help investors to determine whether Western 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 Western with respect to the benefits of owning Western Asset security.