ProShares UltraShort Backtesting

SDS -- USA Etf  

USD 39.76  0.12  0.30%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

ProShares UltraShort 'What if' Analysis

October 11, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 10, 2018
0.00
If you would invest  0.00  in ProShares UltraShort on October 11, 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 60 days. ProShares UltraShort is related to or competes with ProShares Short, ProShares UltraPro, ProShares Short, ProShares UltraShort, Direxion Daily, 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 Deviation2.56
Information Ratio0.2049
Maximum Drawdown11.07
Value At Risk(4.15)
Potential Upside6.01
  

ProShares UltraShort Market Premium Indicators

Risk Adjusted Performance0.2032
Jensen Alpha0.255
Total Risk Alpha0.7637
Sortino Ratio0.2245
Treynor Ratio(0.52)

ProShares UltraShort Backtested Returns

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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.16) 
correlation synergy

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.
Correlation Coefficient-0.16
Spearman Rank Test0.35
Residual Average0.0
Price Variance1.6

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 - SDS

ProShares UltraShort Investor Sentiment

Greater number of Macroaxis users are at this time bullish on ProShares UltraShort SP500. What is your perspective on investing in ProShares UltraShort SP500? 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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
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