ProShares UltraPro Risk Analysis

ProShares UltraPro 3x Short Crude Oil -- USA Etf  

USD 17.09  0.05  0.29%

Macroaxis considers ProShares UltraPro to be moderately volatile. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of -0.1006 which implies ProShares UltraPro 3x had -0.1006% 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 (972.68) and Risk Adjusted Performance of (0.014061) to confirm risk estimate we provide.
Investment Horizon     30 Days    Login   to change

ProShares UltraPro Market Sensitivity

As returns on market increase, ProShares UltraPro returns are expected to increase less than the market. However during bear market, the loss on holding ProShares UltraPro will be expected to be smaller as well.
One Month Beta |Analyze ProShares UltraPro 3x Demand Trend
Check current 30 days ProShares UltraPro correlation with market (DOW)
β = 0.1924
ProShares UltraPro Small BetaProShares UltraPro 3x Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, ProShares UltraPro has beta of 0.1924 . This implies as returns on market go up, ProShares UltraPro average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ProShares UltraPro 3x Short Crude Oil will be expected to be much smaller as well. 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 -993.75. The daily returns are destributed with a variance of 16.79 and standard deviation of 4.1. The mean deviation of ProShares UltraPro 3x Short Crude Oil is currently at 2.96. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
=(0.46) 
βBeta against DOW= 0.19 
σ
Overall volatility
= 4.1 
 IrInformation ratio =(0.13) 

Actual Return Volatility

ProShares UltraPro 3x Short Crude Oil inherits 4.0973% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2252% 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

Below average

30 Days Economic Sensitivity

Barely shadows market

Largest Trends

ProShares UltraPro Largest Period Trend

Investment Outlook

ProShares UltraPro Investment Opportunity
ProShares UltraPro 3x Short Crude Oil has a volatility of 4.1 and is 17.83 times more volatile than DOW. 38% 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 38 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraPro 3x Short Crude Oil to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of ProShares UltraPro to be traded at $16.92 in 30 days. As returns on market increase, ProShares UltraPro returns are expected to increase less than the market. However during bear market, the loss on holding ProShares UltraPro will be expected to be smaller as well.

ProShares UltraPro correlation with market

Significant 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