Macroaxis considers ProShares UltraPro unusually risky given 1 month investment horizon. ProShares UltraPro 3x maintains Sharpe Ratio (i.e. Efficiency) of 0.0924 which implies ProShares UltraPro 3x had 0.0924% 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 1121.9, Semi Deviation of 4.11 and Risk Adjusted Performance of 0.1584 to confirm if our risk estimates are consistent with your expectations.
|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.One Month Beta |Analyze ProShares UltraPro 3x Demand TrendCheck current 30 days ProShares UltraPro correlation with market (DOW)|
β = -1.4014
ProShares UltraPro 3x Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, ProShares UltraPro 3x Short Crude Oil has beta of -1.4014 . This implies as returns on its benchmark rise, returns on holding ProShares UltraPro 3x Short Crude Oil are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, ProShares UltraPro is expected to outperform its benchmark. Moreover, ProShares UltraPro 3x Short Crude Oil has an alpha of 0.2078 implying that it can potentially generate 0.2078% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of ProShares UltraPro is 1082.21. The daily returns are destributed with a variance of 22.13 and standard deviation of 4.7. The mean deviation of ProShares UltraPro 3x Short Crude Oil is currently at 3.86. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71