United States Risk Analysis And Volatility Evaluation

USO -- USA Etf  

USD 14.96  0.29  1.90%

Macroaxis considers United States not very risky given 1 month investment horizon. United States Oil owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1888 which indicates United States Oil had 0.1888% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for United States Oil which you can use to evaluate future volatility of the etf. Please operate United States Semi Deviation of 0.7013, Coefficient Of Variation of 802.97 and Risk Adjusted Performance of 0.0658 to confirm if our risk estimates are consistent with your expectations.
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 = 0.4797
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.

United States Projected Return Density Against Market

Considering 30-days investment horizon, United States has beta of 0.4797 . 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. Moreover, United States Oil has an alpha of 0.0675 implying that it can potentially generate 0.0675% 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 529.6. The daily returns are destributed with a variance of 1.73 and standard deviation of 1.32. The mean deviation of United States Oil is currently at 1.09. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=0.07
β
Beta against DOW=0.48
σ
Overall volatility
=1.32
Ir
Information ratio =0.0083

United States Return Volatility

United States Oil has volatility of 1.3169% on return distribution over 30 days investment horizon. DOW inherits 0.4541% 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

Slowly supersedes market

Investment Outlook

United States Investment Opportunity

United States Oil has a volatility of 1.32 and is 2.93 times more volatile than DOW. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use United States Oil to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of United States to be traded at $14.51 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 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.

United States Volatility Indicators

United States Oil Current Risk Indicators

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