You are investing in the ProShare ETFs in your trading account. The ultra ETFs are designed to provide twice the daily return of the underlying benchmark indexes. (10 points)

(i) Is the risk of the ultra-ETFs, measured by standard deviation of the daily return, twice the risk of the underlying index? Show your result.

(ii) Explain why the monthly return of the ProShare ultra-ETF may not equal twice the monthly return of the index.