Macroaxis considers ProShares UltraShort not too volatile given 2 months investment horizon. ProShares UltraShort
maintains Sharpe Ratio (i.e. Efficiency) of 0.0851 which implies ProShares UltraShort
had 0.0851% of return per unit of risk over the last 2 months. 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. We have found twenty-eight technical indicators
for ProShares UltraShort which you can use to evaluate future volatility of the etf. Please employ ProShares UltraShort Coefficient Of Variation
of 697.76, Semi Deviation
of 2.13 and Risk Adjusted Performance
of 0.2032 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of -0.7517 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 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 0.2274% will be sustainable into the future.
|15 days auto-correlation||(0.16) |
Insignificant reverse predictability
ProShares UltraShort SP500 has insignificant reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from October 11, 2018 to November 10, 2018 and November 10, 2018 to December 10, 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 -0.16 indicates that over 16.0% of current ProShares UltraShort price fluctuation can be explain by its past prices. Given that ProShares UltraShort SP500 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.
|Spearman Rank Test||0.35|