Macroaxis considers United States not too volatile given 1 month investment horizon. United States 12 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1943 which indicates United States 12 had 0.1943% 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-one technical indicators for United States 12 Month Oil which you can use to evaluate future volatility of the etf. Please operate United States Semi Deviation of 2.19, Coefficient Of Variation of 1283.16 and Risk Adjusted Performance of 0.0494 to confirm if our risk estimates are consistent with your expectations.
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 has beta of 0.4387 . 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 12 Month Oil will be expected to be much smaller as well. Moreover, United States 12 Month Oil has an alpha of 0.087 implying that it can potentially generate 0.087% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of United States is 514.79. The daily returns are destributed with a variance of 3.0 and standard deviation of 1.73. The mean deviation of United States 12 Month Oil is currently at 1.15. For similar time horizon, the selected benchmark (DOW) has volatility of 0.54
United States 12 Month Oil has a volatility of 1.73 and is 2.66 times more volatile than DOW. 15% 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 15 (%) 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 $25.9 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
Average diversificationOverlapping 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.