ProShares UltraShort Risk Analysis And Volatility Evaluation

SCO -- USA Etf  

USD 18.73  0.31  1.63%

ProShares UltraShort is not very volatile given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.3182 which implies ProShares UltraShort had 0.3182% 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-six different technical indicators which can help you to evaluate if expected returns of 1.0302% are justified by taking the suggested risk. Use ProShares UltraShort Coefficient Of Variation of 386.62, Semi Deviation of 2.21 and Risk Adjusted Performance of 0.01 to evaluate company specific risk that cannot be diversified away.
 Time Horizon     30 Days    Login   to change

ProShares UltraShort Technical Analysis

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 has beta of 0.0 . This entails unless we do not have required data, the returns on DOW and ProShares UltraShort are completely uncorrelated. Furthermore, ProShares UltraShort Bloomberg Crude OilIt does not look like ProShares UltraShort alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Considering 30-days investment horizon, the coefficient of variation of ProShares UltraShort is 314.27. The daily returns are destributed with a variance of 10.48 and standard deviation of 3.24. The mean deviation of ProShares UltraShort Bloomberg Crude Oil is currently at 2.42. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.26

Actual Return Volatility

ProShares UltraShort Bloomberg Crude Oil has volatility of 3.2377% on return distribution over 30 days investment horizon. DOW inherits 1.3896% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

30 Days Market Risk

Not very volatile

Chance of Distress in 24 months

About average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort Bloomberg Crude Oil has a volatility of 3.24 and is 2.33 times more volatile than DOW. 29% 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 29 (%) of all global equities and portfolios over the last 30 days.

Volatility Indicators

ProShares UltraShort Current Risk Indicators
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