ProShares UltraPro Risk Analysis

ProShares UltraPro 3x Short Crude Oil -- USA Etf  

USD 9.59  0.10  1.03%

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 Trend
Check current 30 days ProShares UltraPro correlation with market (DOW)
β = -1.4014
ProShares UltraPro Large Negative BetaProShares UltraPro 3x Beta Legend

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 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.21
β
Beta against DOW=1.4
σ
Overall volatility
=4.70
Ir
Information ratio =0.12

Actual Return Volatility

ProShares UltraPro 3x Short Crude Oil inherits 4.7044% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.7402% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraPro Volatility Factors

30 Days Market Risk

Unusually risky

Chance of Distress in 24 months

Below average

30 Days Economic Sensitivity

Very regressive towards market

Largest Trends

ProShares UltraPro Largest Period Trend

Investment Outlook

ProShares UltraPro Investment Opportunity
ProShares UltraPro 3x Short Crude Oil has a volatility of 4.7 and is 2.7 times more volatile than DOW. 43% 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 43 (%) 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 somewhat bearish sentiment, but market may correct it shortly. Check odds of ProShares UltraPro to be traded at $9.3 in 30 days. 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.

ProShares UltraPro correlation with market

Excellent 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.