ProShares UltraShort Backtesting

ProShares UltraShort SP500 -- USA Etf  

USD 39.10  3.74  8.73%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraShort SP500 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

ProShares UltraShort 'What if' Analysis

February 22, 2018
No Change 0.00  0.0%
In 30 days
March 24, 2018
If you would invest  0.00  in ProShares UltraShort on February 22, 2018 and sell it all today you would earn a total of 0.00 from holding ProShares UltraShort SP500 or generate 0.0% return on investment in ProShares UltraShort over 30 days. ProShares UltraShort is related to or competes with SPDR SP, iShares Core, iShares Core, iShares Russell, iShares Russell, and iShares Core. ProShares UltraShort SP500 is USA based ETF administrated by J.P

ProShares UltraShort Upside/Downside Indicators


ProShares UltraShort Market Premium Indicators

ProShares UltraShort lagged returns against current returns

 Current and Lagged Values 

ProShares UltraShort regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ProShares UltraShort Backtested Returns

Macroaxis considers ProShares UltraShort not too volatile given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.1712 which implies ProShares UltraShort had 0.1712% 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 employ ProShares UltraShort Coefficient Of Variation of 584.12, Semi Deviation of 1.51 and Risk Adjusted Performance of 0.1751 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of 0.5676 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.. 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. By analyzing ProShares UltraShort technical indicators you can presently evaluate if the expected return of 0.3817% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.08) 

Very weak reverse predictability

ProShares UltraShort SP500 has very weak reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from February 22, 2018 to March 9, 2018 and March 9, 2018 to March 24, 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 -0.08 indicates that barely 8.0% 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.
Correlation Coefficient -0.08
Spearman Rank Test 0.21
Price Variance 2.65
Lagged Price Variance 0.59

ProShares UltraShort Lagged Returns

 Regressed Prices 

ProShares UltraShort Performance vs DOW

The median price of ProShares UltraShort for the period between Thu, Feb 22, 2018 and Sat, Mar 24, 2018 is 38.82 with a coefficient of variation of 3.35. The daily time series for the period is distributed with a sample standard deviation of 1.3, arithmetic mean of 38.91, and mean deviation of 0.92. The Etf received some media coverage during the period.
 Price Growth (%)  
Opinion Investors, it time to get serious about a game plan03/05/2018