United States Risk Analysis

United States Gasoline -- USA Etf  

USD 29.42  0.23  0.78%

Macroaxis considers United States to be not too volatile. United States Gasoline owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0261 which indicates United States Gasoline had -0.0261% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. United States Gasoline exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate United States Semi Deviation of 1.8, Coefficient Of Variation of 2042.16 and Risk Adjusted Performance of 0.0218 to confirm risk estimate we provide.
Investment Horizon     30 Days    Login   to change

United States Market Sensitivity

As returns on market increase, returns on owning United States are expected to decrease by larger amounts. On the other hand, during market turmoil, United States is expected to significantly outperform it.
One Month Beta |Analyze United States Gasoline Demand Trend
Check current 30 days United States correlation with market (DOW)
β = -1.7875
United States Large Negative BetaUnited States Gasoline Beta Legend

Projected Return Density Against Market

Considering 30-days investment horizon, United States Gasoline has beta of -1.7875 . This entails as returns on its benchmark rise, returns on holding United States Gasoline are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, United States is expected to outperform its benchmark. Moreover, United States Gasoline has an alpha of 0.407 implying that it can potentially generate 0.407% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of United States is -3833.47. The daily returns are destributed with a variance of 2.9 and standard deviation of 1.7. The mean deviation of United States Gasoline is currently at 1.33. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=0.41
βBeta against DOW=1.79
σ
Overall volatility
=1.7
 IrInformation ratio =0.06

Actual Return Volatility

United States Gasoline has volatility of 1.7033% on return distribution over 30 days investment horizon. DOW inherits 0.2576% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

United States Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Very regressive towards market

Total Liabilities

United States Gasoline Total Liabilities History

Total Liabilities

Largest Trends

United States Largest Period Trend
 27.63 
  
 27.65 
0.02  0.072385%
Lowest period price (30 days)
 29.05 
  
 29.65 
0.6  2.07%
Highest period price (30 days)

Investment Outlook

United States Investment Opportunity
United States Gasoline has a volatility of 1.7 and is 6.54 times more volatile than DOW. 16% of all equities and portfolios are less risky than United States. Compared to the overall equity markets, volatility of historical daily returns of United States Gasoline is lower than 16 (%) of all global equities and portfolios over the last 30 days. Use United States Gasoline to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of United States to be traded at $28.83 in 30 days. As returns on market increase, returns on owning United States are expected to decrease by larger amounts. On the other hand, during market turmoil, United States is expected to significantly outperform it.

United States correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding United States Gasoline and equity matching DJI index in the same portfolio.