ProShares UltraPro Risk Analysis And Volatility Evaluation

OILD -- USA Etf  

USD 27.37  3.79  16.07%

Macroaxis considers ProShares UltraPro moderately volatile given 1 month investment horizon. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of 0.0689 which implies ProShares UltraPro 3x had 0.0689% 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 employ ProShares UltraPro 3x Coefficient Of Variation of 982.38, Semi Deviation of 5.28 and Risk Adjusted Performance of 0.01 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

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 has beta of 0.0 . This implies unless we do not have required data, the returns on DOW and ProShares UltraPro are completely uncorrelated. Furthermore, ProShares UltraPro 3x Shrt Crude Oil ETFIt does not look like ProShares UltraPro alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of ProShares UltraPro is 1450.56. The daily returns are destributed with a variance of 35.15 and standard deviation of 5.93. The mean deviation of ProShares UltraPro 3x Shrt Crude Oil ETF is currently at 4.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=5.93
Ir
Information ratio =0.10

Actual Return Volatility

ProShares UltraPro 3x Shrt Crude Oil ETF inherits 5.9288% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5982% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraPro Volatility Factors

30 Days Market Risk

Moderately volatile

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

ProShares UltraPro Investment Opportunity
ProShares UltraPro 3x Shrt Crude Oil ETF has a volatility of 5.93 and is 9.88 times more volatile than DOW. 54% 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 54 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

ProShares UltraPro Current Risk Indicators
Additionally take a look at Your Equity Center. Please also try Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.