ProShares UltraShort Risk Analysis And Volatility

PR
SDS -- USA Etf  

USD 24.13  0.52  2.11%

Macroaxis considers ProShares UltraShort to be not too volatile. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.2559 which implies the entity had -0.2559% of return per unit of risk over the last 3 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-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to check ProShares UltraShort Risk Adjusted Performance of (0.19) and Coefficient Of Variation of (354.70) to confirm risk estimate we provide.

90 Days Market Risk

Not too volatile

Chance of Distress

High

90 Days Economic Sensitivity

Moves slightly opposite to market
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.
3 Months Beta |Analyze ProShares UltraShort Demand Trend
Check current 30 days ProShares UltraShort correlation with market (DOW)
β = -0.6136

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 sixty-one. Developed by Larry Williams, the Weighted Close is the average of ProShares UltraShort high, low and close of a chart with the close values weighted twice. It can be used to smooth an indicator that normally takes only ProShares UltraShort closing price as input. View also all equity analysis or get more info about weighted close price price transform indicator.

ProShares UltraShort Projected Return Density Against Market

Considering 30-days investment horizon, ProShares UltraShort SP500 has beta of -0.6136 . 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. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. ProShares UltraShort is significantly underperforming DOW.
 Predicted Return Density 
    
  Returns 
Considering 30-days investment horizon, the coefficient of variation of ProShares UltraShort is -390.84. The daily returns are destributed with a variance of 1.02 and standard deviation of 1.01. The mean deviation of ProShares UltraShort SP500 is currently at 0.75. For similar time horizon, the selected benchmark (DOW) has volatility of 0.68
α
Alpha over DOW
=0.23
β
Beta against DOW=0.61
σ
Overall volatility
=1.01
Ir
Information ratio =0.39

ProShares UltraShort Return Volatility

the ETF has volatility of 1.0083% on return distribution over 30 days investment horizon. the entity inherits 0.6887% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
    
  Timeline 

ProShares UltraShort Investment Opportunity

ProShares UltraShort SP500 has a volatility of 1.01 and is 1.46 times more volatile than DOW. 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 9 () of all global equities and portfolios over the last 30 days. Use ProShares UltraShort SP500 to protect your portfolios against small markets fluctuations. The etf experiences unexpected downward movement. The market is reacting to new fundamentals. Check odds of ProShares UltraShort to be traded at $23.16 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 Current Risk Indicators

ProShares UltraShort Suggested Diversification Pairs

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