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 TrendCheck current 30 days Crude Oil correlation with market (DOW)|
β = -0.0965
Crude Oil Strategy Technical Analysis
Projected Return Density Against MarketGiven 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).
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