ProShares UltraShort Risk Analysis And Volatility Evaluation

SDD -- USA Etf  

USD 11.92  0.0043  0.0361%

Macroaxis considers ProShares UltraShort to be not very risky. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.298 which implies ProShares UltraShort had -0.298% 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-one 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 961.36 and Risk Adjusted Performance of 0.041467 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

ProShares UltraShort Market Sensitivity

As returns on market increase, returns on owning ProShares UltraShort are expected to decrease at a much smaller rate. During bear market, ProShares UltraShort is likely to outperform the market.
One Month Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = -0.1744
ProShares UltraShort Almost negative 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 SmallCap600 has beta of -0.1744 . This entails as returns on benchmark increase, returns on holding ProShares UltraShort are expected to decrease at a much smaller rate. During bear market, however, ProShares UltraShort SmallCap600 is likely to outperform the market. Additionally, ProShares UltraShort SmallCap600 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 -335.57. The daily returns are destributed with a variance of 1.79 and standard deviation of 1.34. The mean deviation of ProShares UltraShort SmallCap600 is currently at 0.88. For similar time horizon, the selected benchmark (DOW) has volatility of 0.46
α
Alpha over DOW
=0.14
β
Beta against DOW=0.17
σ
Overall volatility
=1.34
Ir
Information ratio =0.19

Actual Return Volatility

ProShares UltraShort SmallCap600 has volatility of 1.3383% on return distribution over 30 days investment horizon. DOW inherits 0.5115% 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

High

30 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort SmallCap600 has a volatility of 1.34 and is 2.63 times more volatile than DOW. 12% 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 SmallCap600 is lower than 12 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort SmallCap600 to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of ProShares UltraShort to be traded at $12.52 in 30 days. As returns on market increase, returns on owning ProShares UltraShort are expected to decrease at a much smaller rate. During bear market, ProShares UltraShort is likely to outperform the market.

ProShares UltraShort correlation with market

Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort SmallCap6 and equity matching DJI index in the same portfolio.
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