Crude Oil Risk Analysis

Crude Oil Strategy Proshares -- USA Etf  

USD 20.01  0.21  1.06%

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 Trend
Check current 30 days Crude Oil correlation with market (DOW)
β = 0.1364
Crude Oil Small BetaCrude Oil Strategy Beta Legend

Projected Return Density Against Market

Given 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.0154 
βBeta against DOW= 0.14 
σ
Overall volatility
= 1.36 
 IrInformation ratio =(0.11) 

Actual Return Volatility

Crude Oil Strategy Proshares inherits 1.3607% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2475% 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

About average

30 Days Economic Sensitivity

Barely shadows 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 5.44 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 enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of Crude Oil to be traded at $22.01 in 30 days. 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.

Crude Oil correlation with market

Significant 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.