United States Risk Analysis

United States 12 Month Oil -- USA Etf  

USD 19.9  0.01  0.0503%

We consider United States not too volatile. United States 12 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0466 which indicates United States 12 had 0.0466% of return per unit of risk over the last 1 month. 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-eight technical indicators for United States 12 Month Oil which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 1.05, Coefficient Of Variation of 1102.32 and Risk Adjusted Performance of 0.0489 to confirm if risk estimate we provide are consistent with the epected return of 0.0512%.
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 at a much smaller rate. During bear market, United States is likely to outperform the market.
One Month Beta |Analyze United States 12 Demand Trend
Check current 30 days United States correlation with market (DOW)
β = -0.6704
United States Almost negative betaUnited States 12 Beta Legend

United States 12 Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. United States 12 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 12 Month Oil has beta of -0.6704 . This entails as returns on benchmark increase, returns on holding United States are expected to decrease at a much smaller rate. During bear market, however, United States 12 Month Oil is likely to outperform the market. Moreover, United States 12 Month Oil has an alpha of 0.2631 implying that it can potentially generate 0.2631% 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 2147.4. The daily returns are destributed with a variance of 1.21 and standard deviation of 1.1. The mean deviation of United States 12 Month Oil is currently at 0.87. For similar time horizon, the selected benchmark (DOW) has volatility of 0.47
α
Alpha over DOW
=0.26
βBeta against DOW=0.67
σ
Overall volatility
=1.1
 IrInformation ratio =0.14

Actual Return Volatility

United States 12 Month Oil has volatility of 1.1004% on return distribution over 30 days investment horizon. DOW inherits 0.4606% 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

Slightly opposite to market

Total Liabilities

United States 12 Total Liabilities History

Total Liabilities

Largest Trends

United States Largest Period Trend

Investment Outlook

United States Investment Opportunity
United States 12 Month Oil has a volatility of 1.1 and is 2.39 times more volatile than DOW. 10% 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 12 Month Oil is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use United States 12 Month Oil to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of United States to be traded at $20.9 in 30 days. As returns on market increase, returns on owning United States are expected to decrease at a much smaller rate. During bear market, United States is likely to outperform the market.

United States correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding United States 12 Month Oil and equity matching DJI index in the same portfolio.