ProShares UltraShort Risk Analysis

ProShares UltraShort SP500 -- USA Etf  

USD 39.92  0.03  0.0752%

We consider ProShares UltraShort not too volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.0138 which implies ProShares UltraShort had 0.0138% of return per unit of risk over the last 2 months. 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. 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 2523.64, Semi Deviation of 2.19 and Risk Adjusted Performance of 0.0687 to confirm if risk estimate we provide are consistent with the epected return of 0.0329%.
 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.
2 Months Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = 0.1894
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 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.

Projected Return Density Against Market

Considering 30-days investment horizon, ProShares UltraShort has beta of 0.1894 . 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. Moreover, ProShares UltraShort SP500 has an alpha of 0.0947 implying that it can potentially generate 0.0947% 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 7235.06. The daily returns are destributed with a variance of 5.68 and standard deviation of 2.38. The mean deviation of ProShares UltraShort SP500 is currently at 1.83. For similar time horizon, the selected benchmark (DOW) has volatility of 1.66
α
Alpha over DOW
=0.0947
β
Beta against DOW=0.19
σ
Overall volatility
=2.38
Ir
Information ratio =0.0596

Actual Return Volatility

ProShares UltraShort SP500 has volatility of 2.3839% on return distribution over 30 days investment horizon. DOW inherits 1.4105% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Quite high

60 Days Economic Sensitivity

Indifferent to market move

Investment Outlook

ProShares UltraShort Investment Opportunity
ProShares UltraShort SP500 has a volatility of 2.38 and is 1.69 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 SP500 is lower than 21 (%) 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 $41.92 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

Average 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.

Volatility Indicators

ProShares UltraShort Current Risk Indicators
Also please take a look at World Market Map. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.