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 TrendCheck current 30 days ProShares UltraShort correlation with market (DOW)|
β = -1.4218
ProShares UltraShort Technical Analysis
Projected Return Density Against MarketConsidering 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).
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