Macroaxis considers ProShares UltraShort to be not too volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -2.0E-4 which implies ProShares UltraShort had -2.0E-4% 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 3319.08, Semi Deviation of 1.77 and Risk Adjusted Performance of 0.0374 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 TrendCheck current 30 days ProShares UltraShort correlation with market (DOW)|
β = 0.5164
ProShares UltraShort Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, ProShares UltraShort has beta of 0.5164 . 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 0.0797 implying that it can potentially generate 0.0797% 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 -551188.9. The daily returns are destributed with a variance of 3.41 and standard deviation of 1.85. The mean deviation of ProShares UltraShort SP500 is currently at 1.41. For similar time horizon, the selected benchmark (DOW) has volatility of 1.12