ProShares UltraShort Backtesting

SDP -- USA Etf  

USD 22.71  0.77  3.26%

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.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

ProShares UltraShort 'What if' Analysis

July 17, 2018
0.00
No Change 0.00  0.0%
In 31 days
August 16, 2018
0.00
If you would invest  0.00  in ProShares UltraShort on July 17, 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 Financial Select, Technology Select, Vanguard Information, Energy Select, Health Care, iShares Nasdaq, and CONSUMER STAP. The investment seeks daily investment results, before fees and expenses, that correspond to two times the inverse of the...

ProShares UltraShort Upside/Downside Indicators

Information Ratio0.16
Maximum Drawdown4.41
Value At Risk2.66
Potential Upside1.95
  

ProShares UltraShort Market Premium Indicators

Risk Adjusted Performance0.06
Jensen Alpha0.24
Total Risk Alpha0.24
Treynor Ratio0.6909

ProShares UltraShort Backtested Returns

Macroaxis considers ProShares UltraShort to be not too volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.1495 which implies ProShares UltraShort had -0.1495% 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-eight 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 654.33 and Risk Adjusted Performance of 0.06 to confirm risk estimate we provide. The etf holds Beta of -0.348 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-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.18 

Very weak predictability

ProShares UltraShort Utilities has very weak predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from July 17, 2018 to August 1, 2018 and August 1, 2018 to August 16, 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 0.18 indicates that over 18.0% of current ProShares UltraShort price fluctuation can be explain by its past prices.
Correlation Coefficient 0.18
Spearman Rank Test 0.5
Price Variance 0.16
Lagged Price Variance 0.06

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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Volatility Analysis

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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 Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.