ProShares UltraShort Risk Analysis

ProShares UltraShort Bloomberg Crude Oil -- USA Etf  

USD 33.72  0.49  1.47%

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 Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = 2.413
ProShares UltraShort Large BetaProShares UltraShort Beta Legend

Projected Return Density Against Market

Considering 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
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=(0.56) 
βBeta against DOW= 2.41 
σ
Overall volatility
= 2.8 
 IrInformation ratio =(0.14) 

Actual Return Volatility

ProShares UltraShort Bloomberg Crude Oil has volatility of 2.8041% on return distribution over 30 days investment horizon. DOW inherits 0.2342% 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

30 Days Economic Sensitivity

Barely shadows market

Largest Trends

ProShares UltraShort Largest Period Trend

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort Bloomberg Crude Oil has a volatility of 2.8 and is 12.17 times more volatile than DOW. 26% 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 26 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort Bloomberg Crude Oil to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of ProShares UltraShort to be traded at $37.09 in 30 days. As market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, ProShares UltraShort will likely underperform.

ProShares UltraShort correlation with market

Modest 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