We consider United States not too volatile. United States 12 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1153 which indicates United States 12 had 0.1153% 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 0.8856, Coefficient Of Variation of 1342.91 and Risk Adjusted Performance of 0.0252 to confirm if risk estimate we provide are consistent with the epected return of 0.1378%.
|Investment Horizon||30 Days Login to change|
United States Market Sensitivity
|One Month Beta |Analyze United States 12 Demand TrendCheck current 30 days United States correlation with market (DOW)|
β = -0.9623
Projected Return Density Against MarketConsidering 30-days investment horizon, United States 12 Month Oil has beta of -0.9623 . This entails Moreover, United States 12 Month Oil has an alpha of 0.2008 implying that it can potentially generate 0.2008% 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 867.63. The daily returns are destributed with a variance of 1.43 and standard deviation of 1.2. The mean deviation of United States 12 Month Oil is currently at 0.9. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23