ProShares Ultra Backtesting

ProShares Ultra Bloomberg Crude Oil -- USA Etf  

USD 17.77  0.24  1.37%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares Ultra Bloomberg Crude Oil and determine expected loss or profit from investing in ProShares Ultra over given investment horizon. Also please take a look at 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
Investment Horizon     30 Days    Login   to change

ProShares Ultra 'What if' Analysis

September 23, 2017
No Change 0.00  0.0%
In 31 days
October 23, 2017
If you would invest  0.00  in ProShares Ultra on September 23, 2017 and sell it all today you would earn a total of 0.00 from holding ProShares Ultra Bloomberg Crude Oil or generate 0.0% return on investment in ProShares Ultra over 30 days. ProShares Ultra is related to or competes with Direxion Daily, ProShares UltraShort, ProShares UltraShort, and ProShares Trust. The investment seeks to provide daily investment results that correspond to twice the daily performance of the Bloomberg...

ProShares Ultra Upside/Downside Indicators


ProShares Ultra Market Premium Indicators

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 Bloo Backtested Returns

Macroaxis considers ProShares Ultra to be not very volatile. ProShares Ultra Bloo maintains Sharpe Ratio (i.e. Efficiency) of -0.0409 which implies ProShares Ultra Bloo had -0.0409% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. ProShares Ultra Bloo exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check ProShares Ultra Bloo Coefficient Of Variation of 1637.25, Semi Deviation of 2.47 and Risk Adjusted Performance of 0.0256 to confirm risk estimate we provide. The etf holds Beta of 0.4878 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.. Even though it is essential to pay attention to ProShares Ultra Bloo current trending patternss, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. ProShares Ultra Bloo exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.72) 

Almost perfect reverse predictability

ProShares Ultra Bloomberg Crude Oil has almost perfect reverse predictability. Overlapping area represents the amount of predictability between ProShares Ultra time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 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 Ultra Bloo price movement. The serial correlation of -0.72 indicates that around 72.0% of current ProShares Ultra price fluctuation can be explain by its past prices. Given that ProShares Ultra Bloomberg Crude Oil 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 -0.72
Spearman Rank Test -0.59
Price Variance 0.19
Lagged Price Variance 0.48

ProShares Ultra Lagged Returns

 Regressed Prices 

ProShares Ultra Performance vs DOW

The median price of ProShares Ultra for the period between Sat, Sep 23, 2017 and Mon, Oct 23, 2017 is 17.54 with a coefficient of variation of 3.16. The daily time series for the period is distributed with a sample standard deviation of 0.55, arithmetic mean of 17.45, and mean deviation of 0.45. The Etf received some media coverage during the period.
Price Growth (%)  
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