We consider Crude Oil not too volatile. Crude Oil Strategy secures Sharpe Ratio (or Efficiency) of 0.1236 which signifies that Crude Oil Strategy had 0.1236% 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 1.47, Risk Adjusted Performance of 0.0616 and Mean Deviation of 0.9957 to double-check if risk estimate we provide are consistent with the epected return of 0.1556%.
|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 = -0.4676
Crude Oil Strategy Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, Crude Oil Strategy Proshares has beta of -0.4676 . 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 0.2555 implying that it can potentially generate 0.2555% 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 808.8. The daily returns are destributed with a variance of 1.58 and standard deviation of 1.26. The mean deviation of Crude Oil Strategy Proshares is currently at 0.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47