ProShares UltraShort Backtesting

SDS -- USA Etf  

USD 32.93  0.07  0.21%

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

August 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 22, 2018
0.00
If you would invest  0.00  in ProShares UltraShort on August 23, 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 ProShares Short, Direxion Daily, ProShares UltraShort, ProShares Short, ProShares Short, and Direxion Dly. 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 Ratio0.33
Maximum Drawdown3.69
Value At Risk1.62
Potential Upside1.2
  

ProShares UltraShort Market Premium Indicators

Risk Adjusted Performance0.07
Jensen Alpha0.05
Total Risk Alpha0.55
Treynor Ratio0.2362

ProShares UltraShort Backtested Returns

Macroaxis considers ProShares UltraShort to be not too risky. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.2272 which implies ProShares UltraShort had -0.2272% 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-one 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 635.33 and Risk Adjusted Performance of 0.07 to confirm risk estimate we provide. The etf holds Beta of -0.7313 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-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.05) 

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 August 23, 2018 to September 7, 2018 and September 7, 2018 to September 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 -0.05 indicates that only as little as 5.0% 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-0.05
Spearman Rank Test-0.14
Residual Average0.0
Price Variance0.16

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 Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
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