United States Risk Analysis And Volatility Evaluation

USOU -- USA Etf  

USD 63.24  0.78  1.22%

Macroaxis considers United States not very risky given 1 month investment horizon. United States 3x owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.147 which indicates United States 3x had 0.147% 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. By inspecting United States 3x technical indicators you can presently evaluate if the expected return of 0.9778% is justified by implied risk. Please operate United States Semi Deviation of 5.94, Coefficient Of Variation of 690.91 and Risk Adjusted Performance of 0.0785 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

United States Market Sensitivity

One Month Beta |Analyze United States 3x Demand Trend
Check current 30 days United States correlation with market (DOW)
β = -0.9621
United States llmost one BetaUnited States 3x Beta Legend

United States 3x Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. United States 3x 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

Given the investment horizon of 30 days, United States 3x Oil has beta of -0.9621 . This entails In addition to that, United States 3x Oil has an alpha of 1.0223 implying that it can potentially generate 1.0223% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of United States is 680.36. The daily returns are destributed with a variance of 44.26 and standard deviation of 6.65. The mean deviation of United States 3x Oil is currently at 4.29. For similar time horizon, the selected benchmark (DOW) has volatility of 0.48
α
Alpha over DOW
=1.02
β
Beta against DOW=0.96
σ
Overall volatility
=6.65
Ir
Information ratio =0.13

Actual Return Volatility

United States 3x Oil inherits 6.6526% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5751% 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

Totally opposite to market

Investment Outlook

United States Investment Opportunity
United States 3x Oil has a volatility of 6.65 and is 11.47 times more volatile than DOW. 61% 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 3x Oil is higher than 61 (%) of all global equities and portfolios over the last 30 days. Use United States 3x 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 $61.34 in 30 days.

United States correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding United States 3x Oil and equity matching DJI index in the same portfolio.
Also please take a look at World Market Map. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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