ProShares UltraPro Backtesting

ProShares UltraPro 3x Crude Oil -- USA Etf  

USD 24.57  0.23  0.94%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraPro 3x Crude Oil 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
Investment Horizon     30 Days    Login   to change

ProShares UltraPro 'What if' Analysis

September 20, 2017
No Change 0.00  0.0%
In 31 days
October 20, 2017
If you would invest  0.00  in ProShares UltraPro on September 20, 2017 and sell it all today you would earn a total of 0.00 from holding ProShares UltraPro 3x Crude Oil or generate 0.0% return on investment in ProShares UltraPro over 30 days. ProShares UltraPro is related to or competes with VelocityShares 3x, ProShares Ultra, DB Gold, VelocityShares 3x, ProShares Ultra, and UBS ETRACS. 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


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

We consider ProShares UltraPro not very volatile. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of 0.0366 which implies ProShares UltraPro 3x had 0.0366% 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-eight technical indicators for ProShares UltraPro 3x which you can use to evaluate future volatility of the etf. Please check ProShares UltraPro 3x Coefficient Of Variation of 2674.38, Semi Deviation of 3.76 and Risk Adjusted Performance of 0.018 to confirm if risk estimate we provide are consistent with the epected return of 0.1499%. The etf holds Beta of -5.1262 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 extremely important to respect ProShares UltraPro 3x current trending patternss, it is better to be realistic regarding the information on 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 0.1499% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.01) 

Very weak reverse predictability

ProShares UltraPro 3x Crude Oil has very weak reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraPro time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 2017. 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 -0.01 indicates that just 1.0% of current ProShares UltraPro price fluctuation can be explain by its past prices. Given that ProShares UltraPro 3x Crude Oil 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 -0.01
Spearman Rank Test -0.47
Price Variance 1.14
Lagged Price Variance 1.08

ProShares UltraPro Lagged Returns

 Regressed Prices 

ProShares UltraPro Performance vs DOW

The median price of ProShares UltraPro for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 24.34 with a coefficient of variation of 4.69. The daily time series for the period is distributed with a sample standard deviation of 1.14, arithmetic mean of 24.24, and mean deviation of 0.9. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)