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 TrendCheck current 30 days ProShares UltraPro correlation with market (DOW)|
β = 0.1924
Projected Return Density Against MarketGiven 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
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