ProShares UltraPro Backtesting

ProShares UltraPro 3x Crude Oil ETF -- USA Etf  

USD 45.82  0.89  1.97%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraPro 3x 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

February 21, 2018
No Change 0.00  0.0%
In 31 days
March 23, 2018
If you would invest  0.00  in ProShares UltraPro on February 21, 2018 and sell it all today you would earn a total of 0.00 from holding ProShares UltraPro 3x 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, iPath SP, PowerShares DB, United States, ProShares UltraShort, and VelocityShares 3x.

ProShares UltraPro Upside/Downside Indicators


ProShares UltraPro Market Premium Indicators

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 3x Backtested Returns

Macroaxis considers ProShares UltraPro not very risky given 1 month investment horizon. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of 0.1722 which implies ProShares UltraPro 3x had 0.1722% 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 UltraPro 3x technical indicators you can presently evaluate if the expected return of 0.8072% is justified by implied risk. Please employ ProShares UltraPro 3x Coefficient Of Variation of 635.05, Semi Deviation of 3.8 and Risk Adjusted Performance of 0.1639 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of -0.9374 which implies . 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. We have found twenty-six technical indicators for ProShares UltraPro 3x which you can use to evaluate performance of the etf.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.37) 

Poor reverse predictability

ProShares UltraPro 3x Crude Oil ETF has poor reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraPro time series from February 21, 2018 to March 8, 2018 and March 8, 2018 to March 23, 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 -0.37 indicates that just about 37.0% of current ProShares UltraPro price fluctuation can be explain by its past prices. Given that ProShares UltraPro 3x 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 -0.37
Spearman Rank Test -0.46
Price Variance 9.8
Lagged Price Variance 4.36

ProShares UltraPro Lagged Returns

 Regressed Prices 

ProShares UltraPro Performance vs DOW

The median price of ProShares UltraPro for the period between Wed, Feb 21, 2018 and Fri, Mar 23, 2018 is 41.04 with a coefficient of variation of 6.2. The daily time series for the period is distributed with a sample standard deviation of 2.55, arithmetic mean of 41.1, and mean deviation of 2.03. The Etf received some media coverage during the period.
 Price Growth (%)  
Volatility drives first ETF outflows in two years03/12/2018