ProShares UltraShort Risk Analysis And Volatility Evaluation

SDS -- USA Etf  

USD 35.62  0.36  1.00%

Macroaxis considers ProShares UltraShort to be not too risky. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.1463 which implies ProShares UltraShort had -0.1463% 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-one 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 1,121 and Risk Adjusted Performance of 0.048048 to confirm risk estimate we provide.
 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 = 0.1106
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 0.1106 . 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 SP500 will be expected to be much smaller as well. Additionally, ProShares UltraShort SP500 has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of ProShares UltraShort is -683.46. The daily returns are destributed with a variance of 1.37 and standard deviation of 1.17. The mean deviation of ProShares UltraShort SP500 is currently at 0.87. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.13
β
Beta against DOW=0.11
σ
Overall volatility
=1.17
Ir
Information ratio =0.2

Actual Return Volatility

ProShares UltraShort SP500 has volatility of 1.1706% on return distribution over 30 days investment horizon. DOW inherits 0.5855% 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 risky

Chance of Distress in 24 months

Above average

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort SP500 has a volatility of 1.17 and is 1.98 times more volatile than DOW. 10% 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 10 (%) of all global equities and portfolios over the last 30 days. Use ProShares UltraShort SP500 to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of ProShares UltraShort to be traded at $34.55 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 SP500 and equity matching DJI index in the same portfolio.
Also please take a look at World Market Map. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
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