ProShares Ultra Backtesting

ProShares Ultra Bloomberg Natural Gas -- USA Etf  

USD 26.09  1.27  4.64%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares Ultra Bloomberg Natural Gas and determine expected loss or profit from investing in ProShares Ultra over given investment horizon. Check also ProShares Ultra Hype Analysis, ProShares Ultra Correlation, Portfolio Optimization, ProShares Ultra Volatility as well as analyze ProShares Ultra Alpha and Beta and ProShares Ultra Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

ProShares Ultra 'What if' Analysis

February 20, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 21, 2018
0.00
If you would invest  0.00  in ProShares Ultra on February 20, 2018 and sell it all today you would earn a total of 0.00 from holding ProShares Ultra Bloomberg Natural Gas or generate 0.0% return on investment in ProShares Ultra over 60 days. ProShares Ultra is related to or competes with United States, iPath SP, United States, VelocityShares 3x, VelocityShares 3x, United States, and iPath Series. The investment seeks results for a single day that match two times the daily performance of the Bloomberg Natural Gas Su...

ProShares Ultra Upside/Downside Indicators

Downside Deviation2.49
Information Ratio0.1517
Maximum Drawdown412.2
Value At Risk3.55
Potential Upside3.7
  

ProShares Ultra Market Premium Indicators

Risk Adjusted Performance0.2614
Jensen Alpha9.51
Total Risk Alpha11.98
Sortino Ratio3.75
Treynor Ratio2.59

ProShares Ultra Bloo Backtested Returns

ProShares Ultra is abnormally risky given 2 months investment horizon. ProShares Ultra Bloo maintains Sharpe Ratio (i.e. Efficiency) of 0.1515 which implies ProShares Ultra Bloo had 0.1515% of return per unit of risk over the last 2 months. Our philosophy towards forecasting volatility of a etf is to use ProShares Ultra Bloo market data together with company specific technical indicators. We found twenty different technical indicators which can help you to evaluate if expected returns of 9.4202% are justified by taking the suggested risk. Use ProShares Ultra Standard Deviation of 61.48, Downside Deviation of 2.49 and Risk Adjusted Performance of 0.2614 to evaluate company specific risk that cannot be diversified away. The etf holds Beta of 3.5687 which implies as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ProShares Ultra will likely underperform.. Although it is essential to pay attention to ProShares Ultra Bloo current trending patterns, it is also good to be reasonable about what you can actually do with equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any etf is to look not only at its past charts but also at the business as a whole, including all available fundamental and technical indicators. To evaluate if ProShares Ultra Bloo expected return of 9.4202 will be sustainable into the future, we have found twenty different technical indicators which can help you to check if the expected returns are sustainable.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.19) 

Insignificant reverse predictability

ProShares Ultra Bloomberg Natural Gas has insignificant reverse predictability. Overlapping area represents the amount of predictability between ProShares Ultra time series from February 20, 2018 to March 22, 2018 and March 22, 2018 to April 21, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ProShares Ultra Bloo price movement. The serial correlation of -0.19 indicates that over 19.0% of current ProShares Ultra price fluctuation can be explain by its past prices. Given that ProShares Ultra Bloomberg Natural Gas has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ProShares Ultra for similar time interval.
Correlation Coefficient -0.19
Spearman Rank Test -0.26
Price Variance 0.33
Lagged Price Variance 20.75

ProShares Ultra Bloo lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ProShares Ultra regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ProShares Ultra Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Portfolio Anywhere Now
   

Portfolio Anywhere

Track or share privately all of your investments from the convenience of any device
View All  NextLaunch Portfolio Anywhere

BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
Check also ProShares Ultra Hype Analysis, ProShares Ultra Correlation, Portfolio Optimization, ProShares Ultra Volatility as well as analyze ProShares Ultra Alpha and Beta and ProShares Ultra Performance. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.