ProShares Ultra Risk Analysis And Volatility Evaluation

BOIL -- USA Etf  

USD 29.21  0.58  1.95%

We consider ProShares Ultra not very risky. ProShares Ultra Bloo maintains Sharpe Ratio (i.e. Efficiency) of 0.0416 which implies ProShares Ultra Bloo had 0.0416% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ProShares Ultra Bloo which you can use to evaluate future volatility of the etf. Please check ProShares Ultra Bloo Coefficient Of Variation of 10165.92, Semi Deviation of 2.84 and Risk Adjusted Performance of 0.013 to confirm if risk estimate we provide are consistent with the epected return of 0.1257%.
Horizon     30 Days    Login   to change

ProShares Ultra Market Sensitivity

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.
One Month Beta |Analyze ProShares Ultra Bloo Demand Trend
Check current 30 days ProShares Ultra correlation with market (DOW)
β = 0.2924
ProShares Ultra Small 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, ProShares Ultra has beta of 0.2924 . This suggests as returns on market go up, ProShares Ultra average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ProShares Ultra Bloomberg Natural Gas will be expected to be much smaller as well. 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 2404.22. The daily returns are destributed with a variance of 9.14 and standard deviation of 3.02. The mean deviation of ProShares Ultra Bloomberg Natural Gas is currently at 2.15. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.03
β
Beta against DOW=0.29
σ
Overall volatility
=3.02
Ir
Information ratio =0.05

ProShares Ultra Return Volatility

ProShares Ultra Bloomberg Natural Gas inherits 3.0231% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4487% 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

Slowly supersedes market

Investment Outlook

ProShares Ultra Investment Opportunity

ProShares Ultra Bloomberg Natural Gas has a volatility of 3.02 and is 6.71 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 protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of ProShares Ultra to be traded at $28.33 in 30 days. 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.

ProShares Ultra correlation with market

Significant 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 Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
Search macroaxis.com