DB Crude Risk Analysis

DB Crude Oil Double Short ETN -- USA Etf  

USD 78  1.78  2.24%

Macroaxis considers DB Crude to be not too risky. DB Crude Oil retains Efficiency (Sharpe Ratio) of -0.4987 which denotes DB Crude Oil had -0.4987% of return per unit of price deviation over the last 1 month. Macroaxis way in which we are predicting risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. DB Crude exposes twenty-six different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm DB Crude Oil Double Short ETN Standard Deviation of 1.83 and Market Risk Adjusted Performance of (3.04) to check risk estimate we provide.
 Time Horizon     30 Days    Login   to change

DB Crude Market Sensitivity

As returns on market increase, DB Crude returns are expected to increase less than the market. However during bear market, the loss on holding DB Crude will be expected to be smaller as well.
One Month Beta |Analyze DB Crude Oil Demand Trend
Check current 30 days DB Crude correlation with market (DOW)
β = 0.2659
DB Crude Small BetaDB Crude Oil Beta Legend

DB Crude Oil Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. DB Crude Oil 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

Considering 30-days investment horizon, DB Crude has beta of 0.2659 suggesting as returns on market go up, DB Crude average returns are expected to increase less than the benchmark. However during bear market, the loss on holding DB Crude Oil Double Short ETN will be expected to be much smaller as well. Additionally, DB Crude Oil Double Short ETN has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of DB Crude is -200.51. The daily returns are destributed with a variance of 3.67 and standard deviation of 1.91. The mean deviation of DB Crude Oil Double Short ETN is currently at 1.52. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.87
β
Beta against DOW=0.27
σ
Overall volatility
=1.91
Ir
Information ratio =0.56

Actual Return Volatility

DB Crude Oil Double Short ETN has volatility of 1.9148% on return distribution over 30 days investment horizon. DOW inherits 0.4629% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

DB Crude Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Quite high

30 Days Economic Sensitivity

Slowly supersedes market

Largest Trends

DB Crude Largest Period Trend

Investment Outlook

DB Crude Investment Opportunity
DB Crude Oil Double Short ETN has a volatility of 1.91 and is 4.15 times more volatile than DOW. 17% of all equities and portfolios are less risky than DB Crude. Compared to the overall equity markets, volatility of historical daily returns of DB Crude Oil Double Short ETN is lower than 17 (%) of all global equities and portfolios over the last 30 days. Use DB Crude Oil Double Short ETN to protect against small markets fluctuations. The etf experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of DB Crude to be traded at $74.88 in 30 days. As returns on market increase, DB Crude returns are expected to increase less than the market. However during bear market, the loss on holding DB Crude will be expected to be smaller as well.

DB Crude correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding DB Crude Oil Double Short ETN and equity matching DJI index in the same portfolio.