ProShares UltraShort Backtesting

ProShares UltraShort Bloomberg Natrl Gas -- USA Etf  

USD 36.69  1.01  2.83%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraShort Bloomberg Natrl Gas and determine expected loss or profit from investing in ProShares UltraShort over given investment horizon. Please see also ProShares UltraShort Hype Analysis, ProShares UltraShort Correlation, Portfolio Optimization, ProShares UltraShort Volatility as well as analyze ProShares UltraShort Alpha and Beta and ProShares UltraShort Performance
Investment Horizon     30 Days    Login   to change
SymbolX
Backtest

ProShares UltraShort 'What if' Analysis

September 19, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 19, 2017
 0.00 
If you would invest  0.00  in ProShares UltraShort on September 19, 2017 and sell it all today you would earn a total of 0.00 from holding ProShares UltraShort Bloomberg Natrl Gas or generate 0.0% return on investment in ProShares UltraShort over 30 days. ProShares UltraShort is related to or competes with ProShares UltraShort, VelocityShares 3x, DB Crude, ProShares UltraShort, DB Gold, and UBS ETRACS. The investment seeks results for a single day that match two times the inverse of the daily performance of the Bloomberg...

ProShares UltraShort Upside/Downside Indicators

  

ProShares UltraShort Market Premium Indicators

ProShares UltraShort lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ProShares UltraShort regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ProShares UltraShort Backtested Returns

Macroaxis considers ProShares UltraShort not too volatile given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.29 which implies ProShares UltraShort had 0.29% 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. By analyzing ProShares UltraShort technical indicators you can presently evaluate if the expected return of 0.8091% is justified by implied risk. Please employ ProShares UltraShort Coefficient Of Variation of 393.22, Semi Deviation of 2.16 and Risk Adjusted Performance of 0.0674 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of 2.5107 which implies as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ProShares UltraShort will likely underperform.. Although it is vital to follow to ProShares UltraShort current trending patternss, it is good to be conservative about what you can actually do with the information regarding equity existing price patterns. The philosophy towards forecasting future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty-eight technical indicators for ProShares UltraShort which you can use to evaluate performance of the etf.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.16 

Very weak predictability

ProShares UltraShort Bloomberg Natrl Gas has very weak predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from September 19, 2017 to October 4, 2017 and October 4, 2017 to October 19, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ProShares UltraShort price movement. The serial correlation of 0.16 indicates that over 16.0% of current ProShares UltraShort price fluctuation can be explain by its past prices.
Correlation Coefficient 0.16
Spearman Rank Test -0.33
Price Variance 0.92
Lagged Price Variance 2.43

ProShares UltraShort Lagged Returns

 Regressed Prices 
      Timeline 

ProShares UltraShort Performance vs DOW

The median price of ProShares UltraShort for the period between Tue, Sep 19, 2017 and Thu, Oct 19, 2017 is 34.95 with a coefficient of variation of 5.13. The daily time series for the period is distributed with a sample standard deviation of 1.78, arithmetic mean of 34.76, and mean deviation of 1.4. The Etf received some media coverage during the period.
Price Growth (%)  
      Timeline 
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ProShares Trust II Stake Lowered by Susquehanna Internationa...10/11/2017