Crude Oil Risk Analysis

Crude Oil Strategy Proshares -- USA Etf  

USD 19.78  0.23  1.15%

We consider Crude Oil not too volatile. Crude Oil Strategy secures Sharpe Ratio (or Efficiency) of 0.0903 which signifies that Crude Oil Strategy had 0.0903% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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-eight technical indicators for Crude Oil Strategy Proshares which you can use to evaluate future volatility of the entity. Please confirm Crude Oil Strategy Downside Deviation of 1.51, Risk Adjusted Performance of 0.0387 and Mean Deviation of 0.9736 to double-check if risk estimate we provide are consistent with the epected return of 0.1224%.
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 by larger amounts. On the other hand, during market turmoil, Crude Oil is expected to significantly outperform it.
One Month Beta |Analyze Crude Oil Strategy Demand Trend
Check current 30 days Crude Oil correlation with market (DOW)
β = -2.5241
Crude Oil Large Negative BetaCrude Oil Strategy Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, Crude Oil Strategy Proshares has beta of -2.5241 . This implies as returns on its benchmark rise, returns on holding Crude Oil Strategy Proshares are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, Crude Oil is expected to outperform its benchmark. Moreover, Crude Oil Strategy Proshares has an alpha of 0.483 implying that it can potentially generate 0.483% 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 1107.85. The daily returns are destributed with a variance of 1.84 and standard deviation of 1.36. The mean deviation of Crude Oil Strategy Proshares is currently at 0.98. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.48 
βBeta against DOW=(2.52) 
σ
Overall volatility
= 1.36 
 IrInformation ratio = 0.0341 

Actual Return Volatility

Crude Oil Strategy Proshares inherits 1.3562% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2303% 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

Close to average

30 Days Economic Sensitivity

Completely opposite to market

Largest Trends

Crude Oil Largest Period Trend

Investment Outlook

Crude Oil Investment Opportunity
Crude Oil Strategy Proshares has a volatility of 1.36 and is 5.91 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 $19.19 in 30 days. As returns on market increase, returns on owning Crude Oil are expected to decrease by larger amounts. On the other hand, during market turmoil, Crude Oil is expected to significantly outperform it.

Crude Oil correlation with market

Very 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.