United States Risk Analysis

United States Gasoline -- USA Etf  

USD 33.36  0.24  0.72%

We consider United States not too risky. United States Gasoline owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1372 which indicates United States Gasoline had 0.1372% of return per unit of risk over the last 2 months. Our philosophy towards measuring 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 United States Gasoline which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 1.06, Coefficient Of Variation of 725.22 and Risk Adjusted Performance of 0.2282 to confirm if risk estimate we provide are consistent with the epected return of 0.1783%.
 Time Horizon     30 Days    Login   to change

United States Market Sensitivity

As returns on market increase, United States returns are expected to increase less than the market. However during bear market, the loss on holding United States will be expected to be smaller as well.
2 Months Beta |Analyze United States Gasoline Demand Trend
Check current 30 days United States correlation with market (DOW)
β = 0.186
United States Small BetaUnited States Gasoline Beta Legend

United States Gasoline Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. United States Gasoline Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Considering 30-days investment horizon, United States has beta of 0.186 . This entails as returns on market go up, United States average returns are expected to increase less than the benchmark. However during bear market, the loss on holding United States Gasoline will be expected to be much smaller as well. Moreover, United States Gasoline has an alpha of 0.1852 implying that it can potentially generate 0.1852% 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 729.09. The daily returns are destributed with a variance of 1.69 and standard deviation of 1.3. The mean deviation of United States Gasoline is currently at 1.02. For similar time horizon, the selected benchmark (DOW) has volatility of 1.68
α
Alpha over DOW
=0.19
β
Beta against DOW=0.19
σ
Overall volatility
=1.30
Ir
Information ratio =0.21

Actual Return Volatility

United States Gasoline has volatility of 1.2999% on return distribution over 30 days investment horizon. DOW inherits 1.3999% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

United States Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Almost imposible

60 Days Economic Sensitivity

Barely shadows market

Total Liabilities

United States Gasoline Total Liabilities History

Total Liabilities

Investment Outlook

United States Investment Opportunity
DOW has a standard deviation of returns of 1.4 and is 1.08 times more volatile than United States Gasoline. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use United States Gasoline to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of United States to be traded at $36.7 in 30 days. As returns on market increase, United States returns are expected to increase less than the market. However during bear market, the loss on holding United States will be expected to be smaller as well.

United States correlation with market

Modest 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.
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