ProShares UltraShort Backtesting

SCO -- USA Etf  

USD 16.67  0.06  0.36%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraShort Bloomberg Crude Oil and determine expected loss or profit from investing in ProShares UltraShort over given investment horizon. Also please take a look at 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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

ProShares UltraShort 'What if' Analysis

June 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 23, 2018
0.00
If you would invest  0.00  in ProShares UltraShort on June 23, 2018 and sell it all today you would earn a total of 0.00 from holding ProShares UltraShort Bloomberg Crude Oil or generate 0.0% return on investment in ProShares UltraShort over 30 days. ProShares UltraShort is related to or competes with United States, United States, PowerShares DB, VelocityShares 3x, PowerShares DB, VelocityShares 3x, and UNITED STATES. The investment seeks to provide daily investment results that correspond to twice the inverse of the daily performance o...

ProShares UltraShort Upside/Downside Indicators

Information Ratio0.15
Maximum Drawdown11.7
Value At Risk6.11
Potential Upside6.99
  

ProShares UltraShort Market Premium Indicators

Risk Adjusted Performance0.045002
Jensen Alpha0.38
Total Risk Alpha1.43
Treynor Ratio0.6197

ProShares UltraShort Backtested Returns

Macroaxis considers ProShares UltraShort to be moderately volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.0525 which implies ProShares UltraShort had -0.0525% of return per unit of risk over the last 1 month. Macroaxis philosophy towards forecasting risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. ProShares UltraShort exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check ProShares UltraShort Coefficient Of Variation of 863.02 and Risk Adjusted Performance of 0.045002 to confirm risk estimate we provide. The etf holds Beta of -0.7531 which implies as returns on market increase, returns on owning ProShares UltraShort are expected to decrease at a much smaller rate. During bear market, ProShares UltraShort is likely to outperform the market.. Even though it is essential to pay attention to ProShares UltraShort current trending patterns, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. ProShares UltraShort exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.74) 

Almost perfect reverse predictability

ProShares UltraShort Bloomberg Crude Oil has almost perfect reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from June 23, 2018 to July 8, 2018 and July 8, 2018 to July 23, 2018. 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 -0.74 indicates that around 74.0% of current ProShares UltraShort price fluctuation can be explain by its past prices. Given that ProShares UltraShort Bloomberg Crude Oil has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ProShares UltraShort for similar time interval.
Correlation Coefficient -0.74
Spearman Rank Test -0.28
Price Variance 0.57
Lagged Price Variance 0.54

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 Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at 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. Please also try Idea Breakdown module to analyze constituents of all macroaxis ideas. macroaxis investment ideas are predefined, sector-focused investing themes.
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