United States Risk Analysis

United States Oil -- USA Etf  

USD 10.48  0.01  0.1%

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 Trend
Check current 30 days United States correlation with market (DOW)
β = -2.3795
United States Large Negative BetaUnited States Oil Beta Legend

Projected Return Density Against Market

Considering 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
= 0.46 
βBeta against DOW=(2.38) 
σ
Overall volatility
= 1.36 
 IrInformation ratio = 0.028 

Actual Return Volatility

United States Oil has volatility of 1.3564% on return distribution over 30 days investment horizon. DOW inherits 0.2252% 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

Below average

30 Days Economic Sensitivity

Completely opposite to 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 1.36 and is 5.91 times more volatile than DOW. 12% 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 12 (%) of all global equities and portfolios over the last 30 days. Use United States Oil to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of United States to be traded at $10.38 in 30 days. 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.

United States correlation with market

Very 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.