ProShares UltraShort Risk Analysis And Volatility Evaluation

SCO -- USA Etf  

USD 14.73  0.13  0.87%

Macroaxis considers ProShares UltraShort to be not very volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.1656 which implies ProShares UltraShort had -0.1656% 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-eight 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 1,594 and Risk Adjusted Performance of 0.016219 to confirm risk estimate we provide.
Horizon     30 Days    Login   to change

ProShares UltraShort Market Sensitivity

ProShares UltraShort returns are very sensitive to returns on the market. As market goes up or down, ProShares UltraShort is expected to follow.
One Month Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = 1.0405
ProShares UltraShort llmost one 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.

ProShares UltraShort Projected Return Density Against Market

Considering 30-days investment horizon, the etf has beta coefficient of 1.0405 . This entails ProShares UltraShort Bloomberg Crude Oil market returns are very sensitive to returns on the market. As the market benchmark goes up or down, ProShares UltraShort is expected to follow. Additionally, ProShares UltraShort Bloomberg Crude Oil has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of ProShares UltraShort is -604.0. The daily returns are destributed with a variance of 5.25 and standard deviation of 2.29. The mean deviation of ProShares UltraShort Bloomberg Crude Oil is currently at 1.89. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39
α
Alpha over DOW
=0.28
β
Beta against DOW=1.04
σ
Overall volatility
=2.29
Ir
Information ratio =0.1

ProShares UltraShort Return Volatility

ProShares UltraShort Bloomberg Crude Oil has volatility of 2.2915% on return distribution over 30 days investment horizon. DOW inherits 0.4208% 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 volatile

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Almost mirrors market

Investment Outlook

ProShares UltraShort Investment Opportunity

ProShares UltraShort Bloomberg Crude Oil has a volatility of 2.29 and is 5.45 times more volatile than DOW. 20% 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 Crude Oil is lower than 20 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort Bloomberg Crude Oil to protect against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of ProShares UltraShort to be traded at $14.44 in 30 days. ProShares UltraShort returns are very sensitive to returns on the market. As market goes up or down, ProShares UltraShort is expected to follow.

ProShares UltraShort correlation with market

Average 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.

ProShares UltraShort Volatility Indicators

ProShares UltraShort Bloomberg Crude Oil Current Risk Indicators

Also please take a look at World Market Map. Please also try Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
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