ProShares Ultra Risk Analysis

ProShares Ultra Bloomberg Natural Gas -- USA Etf  

USD 8.26  0.08  0.98%

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 Trend
Check current 30 days ProShares Ultra correlation with market (DOW)
β = -0.8066
ProShares Ultra Almost negative betaProShares Ultra Bloo Beta Legend

Projected Return Density Against Market

Given 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
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=(0.52) 
βBeta against DOW=(0.81) 
σ
Overall volatility
= 2.8 
 IrInformation ratio =(0.27) 

Actual Return Volatility

ProShares Ultra Bloomberg Natural Gas inherits 2.7965% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2355% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares Ultra Volatility Factors

30 Days Market Risk

Relatively risky

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Totally opposite to market

Largest Trends

ProShares Ultra Largest Period Trend

Investment Outlook

ProShares Ultra Investment Opportunity
ProShares Ultra Bloomberg Natural Gas has a volatility of 2.8 and is 11.67 times more volatile than DOW. 26% 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 26 (%) 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 moderate upward volatility. Check odds of ProShares Ultra to be traded at $9.09 in 30 days. 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.

ProShares Ultra correlation with market

Good 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.

Volatility Indicators

ProShares Ultra Current Risk Indicators