ProShares UltraShort Backtesting

SDP -- USA Etf  

USD 22.21  0.63  2.92%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraShort Utilities 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

October 19, 2018
0.00
No Change 0.00  0.0%
In 30 days
November 18, 2018
0.00
If you would invest  0.00  in ProShares UltraShort on October 19, 2018 and sell it all today you would earn a total of 0.00 from holding ProShares UltraShort Utilities or generate 0.0% return on investment in ProShares UltraShort over 30 days. ProShares UltraShort is related to or competes with ProShares Short, ProShares UltraShort, ProShares Short, ProShares UltraShort, Direxion Daily, ProShares Short, and ProShares Short. The investment seeks daily investment results, before fees and expenses, that correspond to two times the inverse of the...

ProShares UltraShort Upside/Downside Indicators

Downside Deviation3.32
Information Ratio0.0738
Maximum Drawdown10.04
Value At Risk3.58
Potential Upside4.17
  

ProShares UltraShort Market Premium Indicators

Risk Adjusted Performance0.0635
Jensen Alpha0.1536
Total Risk Alpha0.2752
Sortino Ratio0.0572
Treynor Ratio0.2119

ProShares UltraShort Backtested Returns

Macroaxis considers ProShares UltraShort to be not very risky. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.0024 which implies ProShares UltraShort had -0.0024% 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 2099.43, Semi Deviation of 2.68 and Risk Adjusted Performance of 0.0635 to confirm risk estimate we provide. The etf holds Beta of 0.531 which implies as returns on market increase, ProShares UltraShort returns are expected to increase less than the market. However during bear market, the loss on holding ProShares UltraShort will be expected to be smaller as well.. 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(0.59) 
correlation synergy

Good reverse predictability

ProShares UltraShort Utilities has good reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from October 19, 2018 to November 3, 2018 and November 3, 2018 to November 18, 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 -0.59 indicates that roughly 59.0% of current ProShares UltraShort price fluctuation can be explain by its past prices. Given that ProShares UltraShort Utilities 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-0.59
Spearman Rank Test-0.26
Residual Average0.0
Price Variance0.12

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 - SDP

ProShares UltraShort Investor Sentiment

Greater number of Macroaxis users are at this time bullish on ProShares UltraShort Utilities. What is your perspective on investing in ProShares UltraShort Utilities? 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 Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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