DB Crude Risk Analysis

DB Crude Oil Double Short ETN -- USA Etf  

USD 118.81  2.64  2.17%

We consider DB Crude not too risky. DB Crude Oil retains Efficiency (Sharpe Ratio) of 0.0592 which denotes DB Crude Oil had 0.0592% of return per unit of price deviation over the last 1 month. Our way in which we are predicting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for DB Crude which you can use to evaluate future volatility of the entity. Please confirm DB Crude Oil Double Short ETN Standard Deviation of 2.56 and Market Risk Adjusted Performance of (0.054222) to check if risk estimate we provide are consistent with the epected return of 0.1262%.
Investment Horizon     30 Days    Login   to change

DB Crude Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, DB Crude will likely underperform.
One Month Beta |Analyze DB Crude Oil Demand Trend
Check current 30 days DB Crude correlation with market (DOW)
β = 2.8113
DB Crude Large BetaDB Crude Oil Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, the etf has beta coefficient of 2.8113 suggesting as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, DB Crude will likely underperform. 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 1689.61. The daily returns are destributed with a variance of 4.55 and standard deviation of 2.13. The mean deviation of DB Crude Oil Double Short ETN is currently at 1.58. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=0.7
βBeta against DOW=2.81
σ
Overall volatility
=2.13
 IrInformation ratio =0.14

Actual Return Volatility

DB Crude Oil Double Short ETN has volatility of 2.1324% on return distribution over 30 days investment horizon. DOW inherits 0.2576% 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

Very low

30 Days Economic Sensitivity

Hypersensitive to market

Largest Trends

DB Crude Largest Period Trend

Investment Outlook

DB Crude Investment Opportunity
DB Crude Oil Double Short ETN has a volatility of 2.13 and is 8.19 times more volatile than DOW. 20% 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 20 (%) 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 $114.06 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, DB Crude will likely underperform.

DB Crude correlation with market

Weak 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.

Volatility Indicators

DB Crude Current Risk Indicators