ProShares Ultra Backtesting

BOIL -- USA Etf  

USD 30.02  0.33  1.09%

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

ProShares Ultra 'What if' Analysis

July 16, 2018
No Change 0.00  0.0%
In 31 days
August 15, 2018
If you would invest  0.00  in ProShares Ultra on July 16, 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 30 days. ProShares Ultra is related to or competes with United States, ProShares UltraShort, VelocityShares 3x, United States, United States, ELEMENTS Rogers, and OILD. 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 Deviation1.51
Information Ratio0.3799
Maximum Drawdown5.31
Value At Risk2.08
Potential Upside3.27

ProShares Ultra Market Premium Indicators

Risk Adjusted Performance0.1859
Jensen Alpha0.6937
Total Risk Alpha0.5815
Sortino Ratio0.4532
Treynor Ratio0.9833

ProShares Ultra Bloo Backtested Returns

Macroaxis considers ProShares Ultra not too volatile given 1 month investment horizon. ProShares Ultra Bloo maintains Sharpe Ratio (i.e. Efficiency) of 0.404 which implies ProShares Ultra Bloo had 0.404% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing ProShares Ultra Bloo technical indicators you can presently evaluate if the expected return of 0.7281% is justified by implied risk. Please employ ProShares Ultra Bloo Coefficient Of Variation of 247.5, Semi Deviation of 0.8464 and Risk Adjusted Performance of 0.1859 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of 0.7303 which implies as returns on market increase, ProShares Ultra returns are expected to increase less than the market. However during bear market, the loss on holding ProShares Ultra will be expected to be smaller as well.. Although it is vital to follow to ProShares Ultra Bloo current trending patterns, it is good to be conservative about what you can actually do with the information regarding equity existing price patterns. The philosophy towards forecasting future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty-one technical indicators for ProShares Ultra Bloo which you can use to evaluate performance of the etf.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 

Good predictability

ProShares Ultra Bloomberg Natural Gas has good predictability. Overlapping area represents the amount of predictability between ProShares Ultra time series from July 16, 2018 to July 31, 2018 and July 31, 2018 to August 15, 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 0.62 indicates that roughly 62.0% of current ProShares Ultra price fluctuation can be explain by its past prices.
Correlation Coefficient 0.62
Spearman Rank Test 0.55
Price Variance 1.84
Lagged Price Variance 0.37

ProShares Ultra Bloo lagged returns against current returns

 Current and Lagged Values 

ProShares Ultra regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ProShares Ultra Lagged Returns

 Regressed Prices 

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Commodity Channel Index

Use Commodity Channel Index to analyze current equity momentum
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for ProShares Ultra and United States Oil. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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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 Pair Correlation module to compare performance and examine historical correlation between any two equity instruments.