Macroaxis considers ProShares UltraShort to be not very risky. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.0826 which implies ProShares UltraShort had -0.0826% 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
(1,128) and Risk Adjusted Performance of (0.011102) to confirm risk estimate we provide.
|Investment Horizon||30 Days Login to change|
ProShares UltraShort Market Sensitivity
|As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ProShares UltraShort will likely underperform.One Month Beta |Analyze ProShares UltraShort Demand TrendCheck current 30 days ProShares UltraShort correlation with market (DOW)|
β = 2.413
Projected Return Density Against MarketConsidering 30-days investment horizon, the etf has beta coefficient of 2.413 . This entails as the benchmark fluctuates upward, the company is expected to outperform it on average. However, if the benchmark returns are expected to be negative, ProShares UltraShort will likely underperform. 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
Considering 30-days investment horizon, the coefficient of variation of ProShares UltraShort is -1210.11. The daily returns are destributed with a variance of 7.86 and standard deviation of 2.8. The mean deviation of ProShares UltraShort Bloomberg Crude Oil is currently at 2.1. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23