ProShares UltraShort Risk Analysis

ProShares UltraShort SmallCap600 -- USA Etf  

USD 14.68  0.0055  0.0375%

Macroaxis considers ProShares UltraShort to be not too volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.327 which implies ProShares UltraShort had -0.327% 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 (399.54) and Risk Adjusted Performance of (0.11) 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 by larger amounts. On the other hand, during market turmoil, ProShares UltraShort is expected to significantly outperform it.
One Month Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = -1.4218
ProShares UltraShort Large 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 -1.4218 . This entails as returns on its benchmark rise, returns on holding ProShares UltraShort SmallCap600 are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, ProShares UltraShort is expected to outperform its benchmark. Moreover, ProShares UltraShort SmallCap600 has an alpha of 0.0645 implying that it can potentially generate 0.0645% 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 -305.78. The daily returns are destributed with a variance of 1.02 and standard deviation of 1.01. The mean deviation of ProShares UltraShort SmallCap600 is currently at 0.71. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.0645
β
Beta against DOW=1.42
σ
Overall volatility
=1.01
Ir
Information ratio =0.49

Actual Return Volatility

ProShares UltraShort SmallCap600 has volatility of 1.0115% on return distribution over 30 days investment horizon. DOW inherits 0.4629% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

High

30 Days Economic Sensitivity

Very regressive towards market

Largest Trends

ProShares UltraShort Largest Period Trend

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort SmallCap600 has a volatility of 1.01 and is 2.2 times more volatile than DOW. 9% 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 9 (%) 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 $15.41 in 30 days. As returns on market increase, returns on owning ProShares UltraShort are expected to decrease by larger amounts. On the other hand, during market turmoil, ProShares UltraShort is expected to significantly outperform it.

ProShares UltraShort correlation with market

Excellent 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.

Volatility Indicators

ProShares UltraShort Current Risk Indicators