United States Risk Analysis

United States Oil -- USA Etf  

USD 11.33  0.11  0.96%

Macroaxis considers United States to be not very risky. United States Oil owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0069 which indicates United States Oil had -0.0069% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. United States Oil exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate United States Coefficient Of Variation of (14,393) and Risk Adjusted Performance of 0.0031 to confirm risk estimate we provide.
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 Oil Demand Trend
Check current 30 days United States correlation with market (DOW)
β = -0.2315
United States Almost negative betaUnited States Oil Beta Legend

United States Oil Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. United States Oil 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 Oil has beta of -0.2315 . 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 Oil is likely to outperform the market. Moreover, United States Oil has an alpha of 0.0282 implying that it can potentially generate 0.0282% 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 -14405.7. The daily returns are destributed with a variance of 2.09 and standard deviation of 1.44. The mean deviation of United States Oil is currently at 1.16. For similar time horizon, the selected benchmark (DOW) has volatility of 0.49
α
Alpha over DOW
=0.0282
βBeta against DOW=0.23
σ
Overall volatility
=1.44
 IrInformation ratio =0.16

Actual Return Volatility

United States Oil has volatility of 1.4445% on return distribution over 30 days investment horizon. DOW inherits 0.4946% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

United States Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Almost neglects market

Total Liabilities

United States Oil Total Liabilities History

Total Liabilities

Largest Trends

United States Largest Period Trend

Investment Outlook

United States Investment Opportunity
United States Oil has a volatility of 1.44 and is 2.94 times more volatile than DOW. 13% 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 Oil is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use United States Oil to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of United States to be traded at $11.1 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

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

Volatility Indicators

United States Current Risk Indicators