ProShares Risk Analysis And Volatility Evaluation

OILK -- USA Etf  

USD 26.36  0.24  0.90%

Macroaxis considers ProShares not too volatile given 1 month investment horizon. ProShares K 1 maintains Sharpe Ratio (i.e. Efficiency) of 0.1431 which implies ProShares K 1 had 0.1431% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for ProShares K 1 which you can use to evaluate future volatility of the etf. Please employ ProShares K 1 Coefficient Of Variation of 698.56, Semi Deviation of 1.44 and Risk Adjusted Performance of 0.072 to confirm if our risk estimates are consistent with your expectations.
Horizon     30 Days    Login   to change

ProShares Market Sensitivity

As returns on market increase, returns on owning ProShares are expected to decrease at a much smaller rate. During bear market, ProShares is likely to outperform the market.
One Month Beta |Analyze ProShares K 1 Demand Trend
Check current 30 days ProShares correlation with market (DOW)
β = -0.1355
ProShares Almost negative betaProShares K 1 Beta Legend

ProShares K 1 Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. ProShares K 1 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 Projected Return Density Against Market

Given the investment horizon of 30 days, ProShares K 1 Free Crude Oil Strategy has beta of -0.1355 . This implies as returns on benchmark increase, returns on holding ProShares are expected to decrease at a much smaller rate. During bear market, however, ProShares K 1 Free Crude Oil Strategy is likely to outperform the market. Moreover, ProShares K 1 Free Crude Oil Strategy has an alpha of 0.2227 implying that it can potentially generate 0.2227% 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 is 698.59. The daily returns are destributed with a variance of 2.16 and standard deviation of 1.47. The mean deviation of ProShares K 1 Free Crude Oil Strategy is currently at 1.06. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.22
β
Beta against DOW=0.14
σ
Overall volatility
=1.47
Ir
Information ratio =0.0232

ProShares Return Volatility

ProShares K 1 Free Crude Oil Strategy inherits 1.4681% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.444% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

ProShares Investment Opportunity

ProShares K 1 Free Crude Oil Strategy has a volatility of 1.47 and is 3.34 times more volatile than DOW. 13% of all equities and portfolios are less risky than ProShares. Compared to the overall equity markets, volatility of historical daily returns of ProShares K 1 Free Crude Oil Strategy is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use ProShares K 1 Free Crude Oil Strategy to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of ProShares to be traded at $25.83 in 30 days. As returns on market increase, returns on owning ProShares are expected to decrease at a much smaller rate. During bear market, ProShares is likely to outperform the market.

ProShares correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares K 1 Free Crude Oil S and equity matching DJI index in the same portfolio.

ProShares Volatility Indicators

ProShares K 1 Free Crude Oil Strategy Current Risk Indicators

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