ProShares UltraShort Risk Analysis

ProShares UltraShort Bloomberg Natrl Gas -- USA Etf  

USD 44.52  0.77  1.7%

ProShares UltraShort is not very risky given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.2908 which implies ProShares UltraShort had 0.2908% of return per unit of risk over the last 1 month. Our philosophy towards forecasting risk of a etf is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.3499% are justified by taking the suggested risk. Use ProShares UltraShort Coefficient Of Variation of 312.28, Semi Deviation of 2.99 and Risk Adjusted Performance of 0.168 to evaluate company specific risk that cannot be diversified away.
Investment Horizon     30 Days    Login   to change

ProShares UltraShort Market Sensitivity

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.
One Month Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = 0.5904
ProShares UltraShort Small BetaProShares UltraShort Beta Legend

ProShares UltraShort Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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 0.5904 indicating as returns on market go up, ProShares UltraShort average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ProShares UltraShort Bloomberg Natrl Gas will be expected to be much smaller as well. In addition to that, ProShares UltraShort Bloomberg Natrl Gas has an alpha of 1.3193 implying that it can potentially generate 1.3193% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of ProShares UltraShort is 343.93. The daily returns are destributed with a variance of 21.56 and standard deviation of 4.64. The mean deviation of ProShares UltraShort Bloomberg Natrl Gas is currently at 3.72. For similar time horizon, the selected benchmark (DOW) has volatility of 0.5
α
Alpha over DOW
=1.32
βBeta against DOW=0.59
σ
Overall volatility
=4.64
 IrInformation ratio =0.28

Actual Return Volatility

ProShares UltraShort Bloomberg Natrl Gas inherits 4.6429% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.5153% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

30 Days Market Risk

Not very risky

Chance of Distress in 24 months

Very low

30 Days Economic Sensitivity

Follows market closely

Largest Trends

ProShares UltraShort Largest Period Trend

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort Bloomberg Natrl Gas has a volatility of 4.64 and is 8.92 times more volatile than DOW. 43% 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 43 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort Bloomberg Natrl Gas to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of ProShares UltraShort to be traded at $43.18 in 30 days. 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.

ProShares UltraShort correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort Bloomberg and equity matching DJI index in the same portfolio.