ProShares Ultra Risk Analysis And Volatility Evaluation

BOIL -- USA Etf  

USD 30.17  0.55  1.86%

Macroaxis considers ProShares Ultra to be not too volatile. ProShares Ultra Bloo maintains Sharpe Ratio (i.e. Efficiency) of -0.0271 which implies ProShares Ultra Bloo had -0.0271% 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-one 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 7,834 and Risk Adjusted Performance of 0.01 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

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.

Projected Return Density Against Market

Given the investment horizon of 30 days, ProShares Ultra has beta of 0.0 . This suggests unless we do not have required data, the returns on DOW and ProShares Ultra are completely uncorrelated. Furthermore, ProShares Ultra Bloomberg Natural GasIt does not look like ProShares Ultra alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of ProShares Ultra is -3690.17. The daily returns are destributed with a variance of 6.2 and standard deviation of 2.49. The mean deviation of ProShares Ultra Bloomberg Natural Gas is currently at 1.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=2.49
Ir
Information ratio =0.01

Actual Return Volatility

ProShares Ultra Bloomberg Natural Gas inherits 2.4907% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5982% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares Ultra Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

ProShares Ultra Investment Opportunity
ProShares Ultra Bloomberg Natural Gas has a volatility of 2.49 and is 4.15 times more volatile than DOW. 22% 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 22 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

ProShares Ultra Current Risk Indicators
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