ProShares UltraShort Backtesting

SDP -- USA Etf  

USD 15.73  0.05  0.32%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ProShares UltraShort Utilities and determine expected loss or profit from investing in ProShares UltraShort over given investment horizon. Also please take a look at ProShares UltraShort Hype Analysis, ProShares UltraShort Correlation, Portfolio Optimization, ProShares UltraShort Volatility as well as analyze ProShares UltraShort Alpha and Beta and ProShares UltraShort Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

ProShares UltraShort 'What if' Analysis

June 19, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 17, 2019
0.00
If you would invest  0.00  in ProShares UltraShort on June 19, 2019 and sell it all today you would earn a total of 0.00 from holding ProShares UltraShort Utilities or generate 0.0% return on investment in ProShares UltraShort over 90 days. ProShares UltraShort is related to or competes with ProShares Short, ProShares UltraShort, ProShares Short, ProShares UltraPro, Direxion Daily, Direxion Daily, and ProShares Short. The investment seeks daily investment results, before fees and expenses, that correspond to two times the inverse of the...

ProShares UltraShort Upside/Downside Indicators

Information Ratio(0.09)
Maximum Drawdown7.12
Value At Risk(2.29)
Potential Upside2.61

ProShares UltraShort Market Premium Indicators

Risk Adjusted Performance(0.06)
Jensen Alpha(0.11)
Total Risk Alpha(0.14)
Treynor Ratio(1.16)

ProShares UltraShort Backtested Returns

Macroaxis considers ProShares UltraShort to be somewhat reliable. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of -0.0754 which implies the entity had -0.0754% 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 Coefficient Of Variation of (1,407) and Risk Adjusted Performance of (0.06) to confirm risk estimate we provide. The etf holds Beta of 0.0923 which implies 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. Even though it is essential to pay attention to ProShares UltraShort current trending patterns, it is always good to be careful when utilizing equity existing price patterns. Macroaxis philosophy towards forecasting future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. ProShares UltraShort exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.12) 
correlation synergy

Insignificant reverse predictability

ProShares UltraShort Utilities has insignificant reverse predictability. Overlapping area represents the amount of predictability between ProShares UltraShort time series from June 19, 2019 to August 3, 2019 and August 3, 2019 to September 17, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of ProShares UltraShort price movement. The serial correlation of -0.12 indicates that less than 12.0% of current ProShares UltraShort price fluctuation can be explain by its past prices. Given that ProShares UltraShort Utilities has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ProShares UltraShort for similar time interval.
Correlation Coefficient-0.12
Spearman Rank Test-0.31
Residual Average0.0
Price Variance0.34

ProShares UltraShort lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ProShares UltraShort regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ProShares UltraShort Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at ProShares UltraShort Hype Analysis, ProShares UltraShort Correlation, Portfolio Optimization, ProShares UltraShort Volatility as well as analyze ProShares UltraShort Alpha and Beta and ProShares UltraShort Performance. Please also try Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
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