ProShares UltraShort Risk Analysis And Volatility Evaluation

KOLD -- USA Etf  

USD 37.52  0.61  1.60%

We consider ProShares UltraShort not too volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.0229 which implies ProShares UltraShort had 0.0229% 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 technical indicators for ProShares UltraShort which you can use to evaluate future volatility of the etf. Please check ProShares UltraShort Coefficient Of Variation of 22284.38, Semi Deviation of 2.34 and Risk Adjusted Performance of 0.01 to confirm if risk estimate we provide are consistent with the epected return of 0.0568%.
 Time Horizon     30 Days    Login   to change

ProShares UltraShort Technical Analysis

Transformation
null. The output start index for this execution was zero with a total number of output elements of zero. ProShares UltraShort Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

Projected Return Density Against Market

Given the investment horizon of 30 days, ProShares UltraShort has beta of 0.0 indicating unless we do not have required data, the returns on DOW and ProShares UltraShort are completely uncorrelated. Furthermore, ProShares UltraShort Bloomberg Natrl GasIt does not look like ProShares UltraShort alpha can have any bearing on the equity current valuation.
Given the investment horizon of 30 days, the coefficient of variation of ProShares UltraShort is 4360.98. The daily returns are destributed with a variance of 6.14 and standard deviation of 2.48. The mean deviation of ProShares UltraShort Bloomberg Natrl Gas is currently at 1.99. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=2.48
Ir
Information ratio =0.00

Actual Return Volatility

ProShares UltraShort Bloomberg Natrl Gas inherits 2.4781% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort Bloomberg Natrl Gas has a volatility of 2.48 and is 9.223372036854776E16 times more volatile than DOW. 22% of all equities and portfolios are less risky than ProShares UltraShort. Compared to the overall equity markets, volatility of historical daily returns of ProShares UltraShort Bloomberg Natrl Gas is lower than 22 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

ProShares UltraShort Current Risk Indicators
Please see also Stocks Correlation. Please also try Fund Screener module to find activelly-traded funds from around the world traded on over 30 global exchanges.