ProShares UltraPro Risk Analysis And Volatility Evaluation

OILD -- USA Etf  

USD 18.78  1.40  6.94%

Macroaxis considers ProShares UltraPro to be moderately volatile. ProShares UltraPro maintains Sharpe Ratio (i.e. Efficiency) of -0.1492 which implies ProShares UltraPro had -0.1492% 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 exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check ProShares UltraPro Coefficient Of Variation of 599.68 and Risk Adjusted Performance of 0.06 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

ProShares UltraPro Market Sensitivity

As returns on market increase, returns on owning ProShares UltraPro are expected to decrease at a much smaller rate. During bear market, ProShares UltraPro is likely to outperform the market.
One Month Beta |Analyze ProShares UltraPro Demand Trend
Check current 30 days ProShares UltraPro correlation with market (DOW)
β = -0.1084
ProShares UltraPro Almost negative betaProShares UltraPro Beta Legend

ProShares UltraPro Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. ProShares UltraPro 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 UltraPro Projected Return Density Against Market

Given the investment horizon of 30 days, ProShares UltraPro 3x Shrt Crude Oil ETF has beta of -0.1084 . This implies as returns on benchmark increase, returns on holding ProShares UltraPro are expected to decrease at a much smaller rate. During bear market, however, ProShares UltraPro 3x Shrt Crude Oil ETF is likely to outperform the market. Additionally, ProShares UltraPro 3x Shrt Crude Oil ETF 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 -670.15. The daily returns are destributed with a variance of 15.37 and standard deviation of 3.92. The mean deviation of ProShares UltraPro 3x Shrt Crude Oil ETF is currently at 2.8. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.65
β
Beta against DOW=0.11
σ
Overall volatility
=3.92
Ir
Information ratio =0.19

ProShares UltraPro Return Volatility

ProShares UltraPro 3x Shrt Crude Oil ETF inherits 3.9204% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.3914% 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

Quite high

30 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

ProShares UltraPro Investment Opportunity

ProShares UltraPro 3x Shrt Crude Oil ETF has a volatility of 3.92 and is 10.05 times more volatile than DOW. 35% 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 35 (%) 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 very speculative upward sentiment.. Check odds of ProShares UltraPro to be traded at $17.84 in 30 days. As returns on market increase, returns on owning ProShares UltraPro are expected to decrease at a much smaller rate. During bear market, ProShares UltraPro is likely to outperform the market.

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.

ProShares UltraPro Volatility Indicators

ProShares UltraPro 3x Shrt Crude Oil ETF Current Risk Indicators

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