ProShares UltraShort Risk Analysis

ProShares UltraShort Bloomberg Crude Oil -- USA Etf  

USD 22.91  0.19  0.82%

Macroaxis considers ProShares UltraShort not very risky given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.0955 which implies ProShares UltraShort had 0.0955% 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-one technical indicators for ProShares UltraShort which you can use to evaluate future volatility of the etf. Please employ ProShares UltraShort Coefficient Of Variation of 1115.28, Semi Deviation of 2.68 and Risk Adjusted Performance of 0.1574 to confirm if our risk estimates are consistent with your expectations.
 Time Horizon     30 Days    Login   to change

ProShares UltraShort Market Sensitivity

One Month Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = -0.9022
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.

Projected Return Density Against Market

Considering 30-days investment horizon, ProShares UltraShort Bloomberg Crude Oil has beta of -0.9022 . This entails Moreover, ProShares UltraShort Bloomberg Crude Oil has an alpha of 0.1379 implying that it can potentially generate 0.1379% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of ProShares UltraShort is 1046.62. The daily returns are destributed with a variance of 9.56 and standard deviation of 3.09. The mean deviation of ProShares UltraShort Bloomberg Crude Oil is currently at 2.56. For similar time horizon, the selected benchmark (DOW) has volatility of 1.71
α
Alpha over DOW
=0.14
β
Beta against DOW=0.9
σ
Overall volatility
=3.09
Ir
Information ratio =0.13

Actual Return Volatility

ProShares UltraShort Bloomberg Crude Oil has volatility of 3.0915% on return distribution over 30 days investment horizon. DOW inherits 1.7402% 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

Quite high

30 Days Economic Sensitivity

Totally opposite to market

Largest Trends

ProShares UltraShort Largest Period Trend

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort Bloomberg Crude Oil has a volatility of 3.09 and is 1.78 times more volatile than DOW. 28% 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 28 (%) 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 $22.45 in 30 days.

ProShares UltraShort correlation with market

Excellent 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.

Volatility Indicators

ProShares UltraShort Current Risk Indicators