Macroaxis considers United States not too volatile given 1 month investment horizon. United States 12 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1828 which indicates United States 12 had 0.1828% 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 1.03, Coefficient Of Variation of 547.09 and Risk Adjusted Performance of 0.1868 to confirm if our risk estimates are consistent with your expectations.
|Time 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 TrendCheck current 30 days United States correlation with market (DOW)|
β = -0.4556
United States 12 Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, United States 12 Month Oil has beta of -0.4556 . 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 0.1601 implying that it can potentially generate 0.1601% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of United States is 547.09. The daily returns are destributed with a variance of 2.07 and standard deviation of 1.44. The mean deviation of United States 12 Month Oil is currently at 1.14. For similar time horizon, the selected benchmark (DOW) has volatility of 1.01