ProShares UltraShort Backtesting

SDP -- USA Etf  

USD 28.18  0.23  0.83%

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

April 22, 2018
0.00
No Change 0.00  0.0%
In 30 days
May 22, 2018
0.00
If you would invest  0.00  in ProShares UltraShort on April 22, 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 iShares Nasdaq, First Trust, iShares MSCI, iShares Exponential, Guggenheim SP, iShares PHLX, and First Trust. 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 Deviation2.49
Information Ratio0.0968
Maximum Drawdown7.33
Value At Risk2.79
Potential Upside2.94
  

ProShares UltraShort Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.0746

ProShares UltraShort Backtested Returns

We consider ProShares UltraShort not too volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.099 which implies ProShares UltraShort had 0.099% 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. We have found twenty-one technical indicators for ProShares UltraShort which you can use to evaluate future volatility of the etf. Please check ProShares UltraShort Coefficient Of Variation of 1032.95, Semi Deviation of 1.7 and Risk Adjusted Performance of 0.01 to confirm if risk estimate we provide are consistent with the epected return of 0.1942%. The etf holds Beta of 0.0 which implies the returns on MARKET and ProShares UltraShort are completely uncorrelated. Although it is extremely important to respect ProShares UltraShort current trending patterns, it is better to be realistic regarding the information on 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. By analyzing ProShares UltraShort technical indicators you can presently evaluate if the expected return of 0.1942% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.46) 

Modest reverse predictability

ProShares UltraShort Utilities has modest reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from April 22, 2018 to May 7, 2018 and May 7, 2018 to May 22, 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 -0.46 indicates that about 46.0% 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 -0.46
Spearman Rank Test -0.59
Price Variance 0.54
Lagged Price Variance 0.28

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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.