We consider United States not very risky. United States Oil owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1058 which indicates United States Oil had 0.1058% 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 Oil which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 1.11, Coefficient Of Variation of 799.26 and Risk Adjusted Performance of 0.037 to confirm if risk estimate we provide are consistent with the epected return of 0.1436%.
|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 by larger amounts. On the other hand, during market turmoil, United States is expected to significantly outperform it.One Month Beta |Analyze United States Oil Demand TrendCheck current 30 days United States correlation with market (DOW)|
β = -2.3795
Projected Return Density Against MarketConsidering 30-days investment horizon, United States Oil has beta of -2.3795 . This entails as returns on its benchmark rise, returns on holding United States Oil are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, United States is expected to outperform its benchmark. Moreover, United States Oil has an alpha of 0.4575 implying that it can potentially generate 0.4575% 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 944.77. The daily returns are destributed with a variance of 1.84 and standard deviation of 1.36. The mean deviation of United States Oil is currently at 0.98. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23