ProShares UltraShort Risk Analysis

ProShares UltraShort Utilities -- USA Etf  

USD 28.01  0.46  1.65%

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 Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = 0.1193
ProShares UltraShort Small 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 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).
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.81
β
Beta against DOW=0.12
σ
Overall volatility
=1.29
Ir
Information ratio =0.39

Actual Return Volatility

ProShares UltraShort Utilities has volatility of 1.2908% on return distribution over 30 days investment horizon. DOW inherits 0.4364% 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

Below average

30 Days Economic Sensitivity

Barely shadows market

Largest Trends

ProShares UltraShort Largest Period Trend

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort Utilities has a volatility of 1.29 and is 2.93 times more volatile than DOW. 11% 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 11 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort Utilities to enhance returns of your portfolios. The etf experiences large bullish trend. Check odds of ProShares UltraShort to be traded at $30.81 in 30 days. 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.

ProShares UltraShort correlation with market

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

Volatility Indicators

ProShares UltraShort Current Risk Indicators