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 TrendCheck current 30 days DB Crude correlation with market (DOW)|
β = 2.8113
Projected Return Density Against MarketConsidering 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
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