ProShares UltraPro Backtesting

OILD -- USA Etf  

USD 24.31  0.24  0.98%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraPro 3x Shrt Crude Oil ETF and determine expected loss or profit from investing in ProShares UltraPro over given investment horizon. Additionally take a look at ProShares UltraPro Hype Analysis, ProShares UltraPro Correlation, Portfolio Optimization, ProShares UltraPro Volatility as well as analyze ProShares UltraPro Alpha and Beta and ProShares UltraPro Performance.
 Time Horizon     30 Days    Login   to change

ProShares UltraPro 'What if' Analysis

July 21, 2018
No Change 0.00  0.0%
In 31 days
August 20, 2018
If you would invest  0.00  in ProShares UltraPro on July 21, 2018 and sell it all today you would earn a total of 0.00 from holding ProShares UltraPro 3x Shrt Crude Oil ETF or generate 0.0% return on investment in ProShares UltraPro over 30 days. ProShares UltraPro is related to or competes with United States, United States, PowerShares DB, VelocityShares 3x, PowerShares DB, VelocityShares 3x, and UNITED STATES. The investment seeks to return a multiple of the performance of the Bloomberg WTI Crude Oil Subindex for a single day

ProShares UltraPro Upside/Downside Indicators

Downside Deviation3.24
Information Ratio0.0683
Maximum Drawdown13.61
Value At Risk4.87
Potential Upside9.4

ProShares UltraPro Market Premium Indicators

Risk Adjusted Performance0.0613
Jensen Alpha0.5617
Total Risk Alpha0.36
Sortino Ratio0.0852
Treynor Ratio0.20

ProShares UltraPro 3x Backtested Returns

Macroaxis considers ProShares UltraPro not very volatile given 1 month investment horizon. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of 0.0901 which implies ProShares UltraPro 3x had 0.0901% 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. We have found twenty-one technical indicators for ProShares UltraPro 3x which you can use to evaluate future volatility of the etf. Please employ ProShares UltraPro 3x Coefficient Of Variation of 1047.36, Semi Deviation of 2.77 and Risk Adjusted Performance of 0.0613 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of -1.8573 which implies as returns on market increase, returns on owning ProShares UltraPro are expected to decrease by larger amounts. On the other hand, during market turmoil, ProShares UltraPro is expected to significantly outperform it.. Although it is vital to follow to ProShares UltraPro 3x 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. By analyzing ProShares UltraPro 3x technical indicators you can presently evaluate if the expected return of 0.3729% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.17) 

Insignificant reverse predictability

ProShares UltraPro 3x Shrt Crude Oil ETF has insignificant reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraPro time series from July 21, 2018 to August 5, 2018 and August 5, 2018 to August 20, 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 UltraPro 3x price movement. The serial correlation of -0.17 indicates that over 17.0% of current ProShares UltraPro price fluctuation can be explain by its past prices. Given that ProShares UltraPro 3x Shrt Crude Oil ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ProShares UltraPro for similar time interval.
Correlation Coefficient -0.17
Spearman Rank Test 0.1
Price Variance 1.32
Lagged Price Variance 0.37

ProShares UltraPro 3x lagged returns against current returns

 Current and Lagged Values 

ProShares UltraPro regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ProShares UltraPro Lagged Returns

 Regressed Prices 

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Additionally take a look at ProShares UltraPro Hype Analysis, ProShares UltraPro Correlation, Portfolio Optimization, ProShares UltraPro Volatility as well as analyze ProShares UltraPro Alpha and Beta and ProShares UltraPro Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.