Macroaxis considers ProShares Ultra to be relatively risky. ProShares Ultra Bloo maintains Sharpe Ratio (i.e. Efficiency) of -0.2129 which implies ProShares Ultra Bloo had -0.2129% 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
(459.3) and Risk Adjusted Performance of (0.047462) to confirm risk estimate we provide.
|Investment Horizon||30 Days Login to change|
ProShares Ultra Market Sensitivity
|As returns on market increase, returns on owning ProShares Ultra are expected to decrease at a much smaller rate. During bear market, ProShares Ultra is likely to outperform the market.One Month Beta |Analyze ProShares Ultra Bloo Demand TrendCheck current 30 days ProShares Ultra correlation with market (DOW)|
β = -0.8066
Projected Return Density Against MarketGiven the investment horizon of 30 days, ProShares Ultra Bloomberg Natural Gas has beta of -0.8066 . This suggests as returns on benchmark increase, returns on holding ProShares Ultra are expected to decrease at a much smaller rate. During bear market, however, ProShares Ultra Bloomberg Natural Gas is likely to outperform the market. 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
Given the investment horizon of 30 days, the coefficient of variation of ProShares Ultra is -469.64. The daily returns are destributed with a variance of 7.82 and standard deviation of 2.8. The mean deviation of ProShares Ultra Bloomberg Natural Gas is currently at 2.04. For similar time horizon, the selected benchmark (DOW) has volatility of 0.26