ProShares UltraShort Risk Analysis And Volatility

SDS -- USA Etf  

USD 38.42  0.72  0.02%

Macroaxis considers ProShares UltraShort to be not very risky. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.0138 which implies the entity had -0.0138% of return per unit of risk over the last 2 months. 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 3869.88, Risk Adjusted Performance of 0.0541 and Semi Deviation of 2.95 to confirm risk estimate we provide.
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 Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = -0.4741

ProShares UltraShort Central Daily Price Deviation

ProShares UltraShort Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. 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.

ProShares UltraShort Projected Return Density Against Market

Considering 30-days investment horizon, ProShares UltraShort SP500 has beta of -0.4741 . 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 SP500 is likely to outperform the market. Moreover, The company has an alpha of 0.0449 implying that it can potentially generate 0.0449% 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 -7222.45. The daily returns are destributed with a variance of 10.71 and standard deviation of 3.27. The mean deviation of ProShares UltraShort SP500 is currently at 2.3. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.0449
β
Beta against DOW=0.47
σ
Overall volatility
=3.27
Ir
Information ratio =0.0407

ProShares UltraShort Return Volatility

the ETF has volatility of 3.272% on return distribution over 30 days investment horizon. the entity inherits 1.9737% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

60 Days Market Risk

Not very risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Almost neglects market trends

Investment Outlook

ProShares UltraShort Investment Opportunity

ProShares UltraShort SP500 has a volatility of 3.27 and is 1.66 times more volatile than DOW. 29% 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 SP500 is lower than 29 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort SP500 to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of ProShares UltraShort to be traded at $40.34 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

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort SP500 and equity matching DJI index in the same portfolio.

ProShares UltraShort Volatility Indicators

ProShares UltraShort SP500 Current Risk Indicators

Also please take a look at World Market Map. Please also try Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Search macroaxis.com