We consider Crude Oil not too volatile. Crude Oil Strategy secures Sharpe Ratio (or Efficiency) of 0.0455 which signifies that Crude Oil Strategy had 0.0455% 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-one 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 1.39, Risk Adjusted Performance of 0.0181 and Mean Deviation of 0.966 to double-check if risk estimate we provide are consistent with the epected return of 0.0619%.
|Investment Horizon||30 Days Login to change|
Crude Oil Market Sensitivity
|As returns on market increase, Crude Oil returns are expected to increase less than the market. However during bear market, the loss on holding Crude Oil will be expected to be smaller as well.One Month Beta |Analyze Crude Oil Strategy Demand TrendCheck current 30 days Crude Oil correlation with market (DOW)|
β = 0.1364
Projected Return Density Against MarketGiven the investment horizon of 30 days, Crude Oil has beta of 0.1364 . This implies as returns on market go up, Crude Oil average returns are expected to increase less than the benchmark. However during bear market, the loss on holding Crude Oil Strategy Proshares will be expected to be much smaller as well. Moreover, Crude Oil Strategy Proshares has an alpha of 0.0154 implying that it can potentially generate 0.0154% 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 2196.6. The daily returns are destributed with a variance of 1.85 and standard deviation of 1.36. The mean deviation of Crude Oil Strategy Proshares is currently at 0.96. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27