ProShares UltraPro Risk Analysis

ProShares UltraPro 3x Short Crude Oil -- USA Etf  

USD 17.34  0.07  0.41%

We consider ProShares UltraPro not very volatile. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of 0.0406 which implies ProShares UltraPro 3x had 0.0406% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ProShares UltraPro 3x which you can use to evaluate future volatility of the etf. Please check ProShares UltraPro 3x Coefficient Of Variation of (1,521) and Risk Adjusted Performance of (0.008477) to confirm if risk estimate we provide are consistent with the epected return of 0.1488%.
Investment Horizon     30 Days    Login   to change

ProShares UltraPro Market Sensitivity

As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ProShares UltraPro will likely underperform.
One Month Beta |Analyze ProShares UltraPro 3x Demand Trend
Check current 30 days ProShares UltraPro correlation with market (DOW)
β = 7.2639
ProShares UltraPro Large BetaProShares UltraPro 3x Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, the etf has beta coefficient of 7.2639 . This implies as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, ProShares UltraPro will likely underperform. Additionally, ProShares UltraPro 3x Short Crude Oil 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 UltraPro is 2461.84. The daily returns are destributed with a variance of 13.41 and standard deviation of 3.66. The mean deviation of ProShares UltraPro 3x Short Crude Oil is currently at 2.62. For similar time horizon, the selected benchmark (DOW) has volatility of 0.27
α
Alpha over DOW
=1.62
βBeta against DOW=7.26
σ
Overall volatility
=3.66
 IrInformation ratio =0.11

Actual Return Volatility

ProShares UltraPro 3x Short Crude Oil inherits 3.6621% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2576% 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

Below average

30 Days Economic Sensitivity

Hypersensitive to market

Largest Trends

ProShares UltraPro Largest Period Trend

Investment Outlook

ProShares UltraPro Investment Opportunity
ProShares UltraPro 3x Short Crude Oil has a volatility of 3.66 and is 14.08 times more volatile than DOW. 34% 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 Short Crude Oil is lower than 34 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraPro 3x Short Crude Oil to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of ProShares UltraPro to be traded at $18.21 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ProShares UltraPro will likely underperform.

ProShares UltraPro correlation with market

Very weak diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraPro 3x Short Cr and equity matching DJI index in the same portfolio.

Volatility Indicators

ProShares UltraPro Current Risk Indicators