We consider United States not very volatile. United States 3x owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0387 which indicates United States 3x had 0.0387% 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 3x Oil Fund which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 3.68, Coefficient Of Variation of 2527.15 and Risk Adjusted Performance of 0.0197 to confirm if risk estimate we provide are consistent with the epected return of 0.1571%.
|Investment 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 3x Demand TrendCheck current 30 days United States correlation with market (DOW)|
β = 0.8291
Projected Return Density Against MarketGiven the investment horizon of 30 days, United States has beta of 0.8291 . 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 3x Oil Fund will be expected to be much smaller as well. Moreover, United States 3x Oil Fund has an alpha of 0.0381 implying that it can potentially generate 0.0381% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of United States is 2581.29. The daily returns are destributed with a variance of 16.45 and standard deviation of 4.06. The mean deviation of United States 3x Oil Fund is currently at 2.77. For similar time horizon, the selected benchmark (DOW) has volatility of 0.26