We consider ProShares UltraShort not very risky. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.0713 which implies ProShares UltraShort had 0.0713% of return per unit of risk over the last 2 months. Our philosophy towards forecasting volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for ProShares UltraShort which you can use to evaluate future volatility of the etf. Please check ProShares UltraShort Coefficient Of Variation of 1334.51, Semi Deviation of 1.62 and Risk Adjusted Performance of 0.1489 to confirm if risk estimate we provide are consistent with the epected return of 0.1704%.
|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. 2 Months Beta |Analyze ProShares UltraShort Demand TrendCheck current 30 days ProShares UltraShort correlation with market (DOW)|
β = -0.1831
ProShares UltraShort Central Daily Price Deviation
ProShares UltraShort Technical Analysis
ProShares UltraShort Projected Return Density Against MarketConsidering 30-days investment horizon, ProShares UltraShort Utilities has beta of -0.1831 . 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 Utilities is likely to outperform the market. Moreover, ProShares UltraShort Utilities has an alpha of 0.1329 implying that it can potentially generate 0.1329% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density
Considering 30-days investment horizon, the coefficient of variation of ProShares UltraShort is 1401.94. The daily returns are destributed with a variance of 5.71 and standard deviation of 2.39. The mean deviation of ProShares UltraShort Utilities is currently at 1.67. For similar time horizon, the selected benchmark (DOW) has volatility of 1.97
|Alpha over DOW||=||0.13|
|Beta against DOW||=||0.18|
ProShares UltraShort Return VolatilityProShares UltraShort Utilities has volatility of 2.3889% on return distribution over 30 days investment horizon. DOW inherits 2.0465% risk (volatility on return distribution) over the 30 days horizon.
ProShares UltraShort Utilities has a volatility of 2.39 and is 1.17 times more volatile than DOW. 21% 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 Utilities is lower than 21 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort Utilities to protect your portfolios against small markets fluctuations. The etf experiences moderate downward daily trend and can be a good diversifier. Check odds of ProShares UltraShort to be traded at $22.25 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