ProShares UltraPro Risk Analysis And Volatility Evaluation

OILD -- USA Etf  

USD 22.54  0.35  1.53%

Macroaxis considers ProShares UltraPro to be not very volatile. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of -0.0248 which implies ProShares UltraPro 3x had -0.0248% 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 UltraPro 3x exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check ProShares UltraPro 3x Coefficient Of Variation of 1045.65, Semi Deviation of 2.82 and Risk Adjusted Performance of 0.0512 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

ProShares UltraPro Market Sensitivity

As returns on market increase, returns on owning ProShares UltraPro are expected to decrease by larger amounts. On the other hand, during market turmoil, ProShares UltraPro is expected to significantly outperform it.
One Month Beta |Analyze ProShares UltraPro 3x Demand Trend
Check current 30 days ProShares UltraPro correlation with market (DOW)
β = -1.9007
ProShares UltraPro Large Negative BetaProShares UltraPro 3x Beta Legend

ProShares UltraPro 3x Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. ProShares UltraPro 3x 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 UltraPro 3x Shrt Crude Oil ETF has beta of -1.9007 . This implies as returns on its benchmark rise, returns on holding ProShares UltraPro 3x Shrt Crude Oil ETF are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, ProShares UltraPro is expected to outperform its benchmark. Moreover, ProShares UltraPro 3x Shrt Crude Oil ETF has an alpha of 0.4544 implying that it can potentially generate 0.4544% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of ProShares UltraPro is -4025.27. The daily returns are destributed with a variance of 12.24 and standard deviation of 3.5. The mean deviation of ProShares UltraPro 3x Shrt Crude Oil ETF is currently at 2.49. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.45
β
Beta against DOW=1.9
σ
Overall volatility
=3.50
Ir
Information ratio =0.09

Actual Return Volatility

ProShares UltraPro 3x Shrt Crude Oil ETF inherits 3.4992% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4414% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraPro Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Very regressive towards market

Investment Outlook

ProShares UltraPro Investment Opportunity
ProShares UltraPro 3x Shrt Crude Oil ETF has a volatility of 3.5 and is 7.95 times more volatile than DOW. 31% of all equities and portfolios are less risky than ProShares UltraPro. Compared to the overall equity markets, volatility of historical daily returns of ProShares UltraPro 3x Shrt Crude Oil ETF is lower than 31 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraPro 3x Shrt Crude Oil ETF to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of ProShares UltraPro to be traded at $21.86 in 30 days. As returns on market increase, returns on owning ProShares UltraPro are expected to decrease by larger amounts. On the other hand, during market turmoil, ProShares UltraPro is expected to significantly outperform it.

ProShares UltraPro correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraPro 3x Shrt Cru and equity matching DJI index in the same portfolio.
Additionally take a look at Your Equity Center. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.