United States Risk Analysis

United States Oil -- USA Etf  

USD 12.78  0.19  1.51%

Macroaxis considers United States to be not very risky. United States Oil owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1044 which indicates United States Oil had -0.1044% 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-eight 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 1,280 and Risk Adjusted Performance of 0.14 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

United States Market Sensitivity

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.
One Month Beta |Analyze United States Oil Demand Trend
Check current 30 days United States correlation with market (DOW)
β = 0.4723
United States Small 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 has beta of 0.4723 . 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 Oil will be expected to be much smaller as well. Additionally, United States Oil has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of United States is -958.29. The daily returns are destributed with a variance of 2.36 and standard deviation of 1.54. The mean deviation of United States Oil is currently at 1.26. For similar time horizon, the selected benchmark (DOW) has volatility of 1.72
α
Alpha over DOW
=0.03
β
Beta against DOW=0.47
σ
Overall volatility
=1.54
Ir
Information ratio =0.0533

Actual Return Volatility

United States Oil has volatility of 1.5359% on return distribution over 30 days investment horizon. DOW inherits 1.7188% 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

Almost imposible

30 Days Economic Sensitivity

Slowly supersedes market

Total Liabilities

United States Oil Total Liabilities History

Total Liabilities

Largest Trends

United States Largest Period Trend

Investment Outlook

United States Investment Opportunity
DOW has a standard deviation of returns of 1.72 and is 1.12 times more volatile than United States Oil. 14% 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 14 (%) of all global equities and portfolios over the last 30 days. Use United States Oil to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of United States to be traded at $14.06 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

Very weak 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.