Crude Oil Risk Analysis

Crude Oil Strategy Proshares -- USA Etf  

USD 21.62  0.31  1.41%

Macroaxis considers Crude Oil to be not too volatile. Crude Oil Strategy secures Sharpe Ratio (or Efficiency) of -0.0124 which signifies that Crude Oil Strategy had -0.0124% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing 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. Crude Oil Strategy Proshares exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Crude Oil Strategy Downside Deviation of 1.41, Risk Adjusted Performance of 0.0203 and Mean Deviation of 1.03 to double-check risk estimate we provide.
Investment Horizon     30 Days    Login   to change

Crude Oil Market Sensitivity

As returns on market increase, returns on owning Crude Oil are expected to decrease at a much smaller rate. During bear market, Crude Oil is likely to outperform the market.
One Month Beta |Analyze Crude Oil Strategy Demand Trend
Check current 30 days Crude Oil correlation with market (DOW)
β = -0.0965
Crude Oil Almost negative betaCrude Oil Strategy Beta Legend

Crude Oil Strategy Technical Analysis

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

Given the investment horizon of 30 days, Crude Oil Strategy Proshares has beta of -0.0965 . This implies as returns on benchmark increase, returns on holding Crude Oil are expected to decrease at a much smaller rate. During bear market, however, Crude Oil Strategy Proshares is likely to outperform the market. Moreover, Crude Oil Strategy Proshares has an alpha of 0.0462 implying that it can potentially generate 0.0462% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of Crude Oil is -8084.74. The daily returns are destributed with a variance of 1.8 and standard deviation of 1.34. The mean deviation of Crude Oil Strategy Proshares is currently at 1.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
α
Alpha over DOW
=0.0462
βBeta against DOW=0.1
σ
Overall volatility
=1.34
 IrInformation ratio =0.13

Actual Return Volatility

Crude Oil Strategy Proshares inherits 1.3402% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4961% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

Crude Oil Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Indifferent to market move

Largest Trends

Crude Oil Largest Period Trend

Investment Outlook

Crude Oil Investment Opportunity
Crude Oil Strategy Proshares has a volatility of 1.34 and is 2.68 times more volatile than DOW. 12% of all equities and portfolios are less risky than Crude Oil. Compared to the overall equity markets, volatility of historical daily returns of Crude Oil Strategy Proshares is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use Crude Oil Strategy Proshares to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of Crude Oil to be traded at $20.97 in 30 days. As returns on market increase, returns on owning Crude Oil are expected to decrease at a much smaller rate. During bear market, Crude Oil is likely to outperform the market.

Crude Oil correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding Crude Oil Strategy Proshares and equity matching DJI index in the same portfolio.