ProShares UltraPro Risk Analysis

ProShares UltraPro 3x Shrt Crude Oil ETF -- USA Etf  

USD 25.79  0.05  0.19%

ProShares UltraPro is extremely volatile given 2 months investment horizon. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of 0.1351 which implies ProShares UltraPro 3x had 0.1351% of return per unit of risk over the last 2 months. Our philosophy towards forecasting volatility of a etf is to use ProShares UltraPro 3x market data together with company specific technical indicators. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 5.7128% are justified by taking the suggested risk. Use ProShares UltraPro Coefficient Of Variation of 745.85, Semi Deviation of 3.8 and Risk Adjusted Performance of 0.2344 to evaluate company specific risk that cannot be diversified away.
 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.
2 Months Beta |Analyze ProShares UltraPro 3x Demand Trend
Check current 30 days ProShares UltraPro correlation with market (DOW)
β = -2.6008
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 thirty-nine. 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 -2.6008 . 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. In addition to that, ProShares UltraPro 3x Shrt Crude Oil ETF has an alpha of 5.3428 implying that it can potentially generate 5.3428% 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 740.28. The daily returns are destributed with a variance of 1788.54 and standard deviation of 42.29. The mean deviation of ProShares UltraPro 3x Shrt Crude Oil ETF is currently at 12.79. For similar time horizon, the selected benchmark (DOW) has volatility of 1.68
α
Alpha over DOW
=5.34
β
Beta against DOW=2.6
σ
Overall volatility
=42.29
Ir
Information ratio =0.14

Actual Return Volatility

ProShares UltraPro 3x Shrt Crude Oil ETF inherits 42.2912% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.3999% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraPro Volatility Factors

60 Days Market Risk

Extremely volatile

Chance of Distress in 24 months

Quite high

60 Days Economic Sensitivity

Completely opposite to market

Investment Outlook

ProShares UltraPro Investment Opportunity
ProShares UltraPro 3x Shrt Crude Oil ETF has a volatility of 42.29 and is 30.21 times more volatile than DOW. 96% 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 higher than 96 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraPro 3x Shrt Crude Oil ETF to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of ProShares UltraPro to be traded at $27.08 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.