Macroaxis considers ProShares UltraShort not too volatile given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.4245 which implies ProShares UltraShort had 0.4245% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing ProShares UltraShort technical indicators you can presently evaluate if the expected return of 0.548% is justified by implied risk. Please employ ProShares UltraShort Standard Deviation of 1.45, Downside Deviation of 0.873 and Risk Adjusted Performance of 0.2614 to confirm if our risk estimates are consistent with your expectations.
|Time Horizon||30 Days Login to change|
ProShares UltraShort Market Sensitivity
|As returns on market increase, ProShares UltraShort returns are expected to increase less than the market. However during bear market, the loss on holding ProShares UltraShort will be expected to be smaller as well.One Month Beta |Analyze ProShares UltraShort Demand TrendCheck current 30 days ProShares UltraShort correlation with market (DOW)|
β = 0.1193
ProShares UltraShort Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, ProShares UltraShort has beta of 0.1193 . This entails as returns on market go up, ProShares UltraShort average returns are expected to increase less than the benchmark. However during bear market, the loss on holding ProShares UltraShort Utilities will be expected to be much smaller as well. Moreover, ProShares UltraShort Utilities has an alpha of 0.8128 implying that it can potentially generate 0.8128% 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 235.55. The daily returns are destributed with a variance of 1.67 and standard deviation of 1.29. The mean deviation of ProShares UltraShort Utilities is currently at 1.06. For similar time horizon, the selected benchmark (DOW) has volatility of 0.43