ProShares Ultra Risk Analysis And Volatility Evaluation

BOIL -- USA Etf  

USD 29.21  1.41  5.07%

Macroaxis considers ProShares Ultra to be not very risky. ProShares Ultra Bloo maintains Sharpe Ratio (i.e. Efficiency) of -0.0207 which implies ProShares Ultra Bloo had -0.0207% 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 963.17 and Risk Adjusted Performance of 0.032388 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

ProShares Ultra Market Sensitivity

ProShares Ultra returns are very sensitive to returns on the market. As market goes up or down, ProShares Ultra is expected to follow.
One Month Beta |Analyze ProShares Ultra Bloo Demand Trend
Check current 30 days ProShares Ultra correlation with market (DOW)
β = 1.1019
ProShares Ultra llmost one BetaProShares Ultra Bloo Beta Legend

ProShares Ultra Bloo Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. ProShares Ultra Bloo Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

ProShares Ultra Projected Return Density Against Market

Given the investment horizon of 30 days, the etf has beta coefficient of 1.1019 . This suggests ProShares Ultra Bloomberg Natural Gas market returns are very sensitive to returns on the market. As the market benchmark goes up or down, ProShares Ultra is expected to follow. Additionally, ProShares Ultra Bloomberg Natural Gas has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of ProShares Ultra is -4827.54. The daily returns are destributed with a variance of 9.38 and standard deviation of 3.06. The mean deviation of ProShares Ultra Bloomberg Natural Gas is currently at 2.2. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.4
β
Beta against DOW=1.10
σ
Overall volatility
=3.06
Ir
Information ratio =0.14

ProShares Ultra Return Volatility

ProShares Ultra Bloomberg Natural Gas inherits 3.062% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3914% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares Ultra Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

ProShares Ultra Investment Opportunity

ProShares Ultra Bloomberg Natural Gas has a volatility of 3.06 and is 7.85 times more volatile than DOW. 27% of all equities and portfolios are less risky than ProShares Ultra. Compared to the overall equity markets, volatility of historical daily returns of ProShares Ultra Bloomberg Natural Gas is lower than 27 (%) of all global equities and portfolios over the last 30 days. Use ProShares Ultra Bloomberg Natural Gas to enhance returns of your portfolios. The etf experiences very speculative upward sentiment.. Check odds of ProShares Ultra to be traded at $36.51 in 30 days. ProShares Ultra returns are very sensitive to returns on the market. As market goes up or down, ProShares Ultra is expected to follow.

ProShares Ultra correlation with market

Average diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares Ultra Bloomberg Natu and equity matching DJI index in the same portfolio.

ProShares Ultra Volatility Indicators

ProShares Ultra Bloomberg Natural Gas Current Risk Indicators

Check also Trending Equities. Please also try Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.
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