ProShares UltraShort Risk Analysis And Volatility Evaluation

SDS -- USA Etf  

USD 36.58  0.07  0.19%

Macroaxis considers ProShares UltraShort to be not too risky. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.2098 which implies ProShares UltraShort had -0.2098% 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 586.35 and Risk Adjusted Performance of 0.01 to confirm risk estimate we provide.
 Time Horizon     30 Days    Login   to change

ProShares UltraShort Technical Analysis

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 0.0 . This entails unless we do not have required data, the returns on DOW and ProShares UltraShort are completely uncorrelated. Furthermore, ProShares UltraShort SP500It does not look like ProShares UltraShort alpha can have any bearing on the equity current valuation.
 Predicted Return Density 
Considering 30-days investment horizon, the coefficient of variation of ProShares UltraShort is -476.56. The daily returns are destributed with a variance of 1.36 and standard deviation of 1.17. The mean deviation of ProShares UltraShort SP500 is currently at 0.86. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
Alpha over DOW
Beta against DOW=0.00
Overall volatility
Information ratio =0.17

Actual Return Volatility

ProShares UltraShort SP500 has volatility of 1.1658% on return distribution over 30 days investment horizon. DOW inherits 1.4339% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 

Market Risk Breakdown

ProShares UltraShort Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

About average

30 Days Economic Sensitivity

Market Insensitive

Investment Outlook

ProShares UltraShort Investment Opportunity
DOW has a standard deviation of returns of 1.43 and is 1.22 times more volatile than ProShares UltraShort SP500. 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.

Volatility Indicators

ProShares UltraShort Current Risk Indicators
Also please take a look at World Market Map. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.