ProShares UltraShort Backtesting

SDD -- USA Etf  

USD 14.60  0.49  3.47%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraShort SmallCap600 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

ProShares UltraShort 'What if' Analysis

September 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
October 23, 2018
0.00
If you would invest  0.00  in ProShares UltraShort on September 23, 2018 and sell it all today you would earn a total of 0.00 from holding ProShares UltraShort SmallCap600 or generate 0.0% return on investment in ProShares UltraShort over 30 days. ProShares UltraShort is related to or competes with Direxion Daily, ProShares UltraShort, Direxion Daily, Direxion Daily, Direxion Daily, ProShares Short, and ProShares UltraShort. The investment seeks daily investment results before fees and expenses that correspond to two times the inverse of the d...

ProShares UltraShort Upside/Downside Indicators

Information Ratio0.4802
Maximum Drawdown8.72
Value At Risk3.01
Potential Upside4.65
  

ProShares UltraShort Market Premium Indicators

Risk Adjusted Performance0.449
Jensen Alpha0.8628
Total Risk Alpha1.27
Treynor Ratio3.36

ProShares UltraShort Backtested Returns

Macroaxis considers ProShares UltraShort not very volatile given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.4239 which implies ProShares UltraShort had 0.4239% 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. By analyzing ProShares UltraShort technical indicators you can presently evaluate if the expected return of 0.9533% is justified by implied risk. Please employ ProShares UltraShort Coefficient Of Variation of 245.12 and Risk Adjusted Performance of 0.449 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of -0.2708 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.. Although it is vital to follow to ProShares UltraShort current trending patterns, 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 0.51 

Modest predictability

ProShares UltraShort SmallCap600 has modest predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from September 23, 2018 to October 8, 2018 and October 8, 2018 to October 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 0.51 indicates that about 51.0% of current ProShares UltraShort price fluctuation can be explain by its past prices.
Correlation Coefficient0.51
Spearman Rank Test0.75
Residual Average0.0
Price Variance0.25

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 

Current Sentiment - SDD

ProShares UltraShort Investor Sentiment

Greater number of Macroaxis users are at this time bullish on ProShares UltraShort SmallCap600. What is your perspective on investing in ProShares UltraShort SmallCap600? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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 Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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