ProShares Etf Volatility

SMN
 Etf
  

USD 9.94  0.11  1.09%   

ProShares UltraShort maintains Sharpe Ratio (i.e., Efficiency) of -0.0542, which implies the entity had -0.0542% of return per unit of risk over the last 3 months. Macroaxis standpoint towards forecasting the risk of any etf is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. ProShares UltraShort exposes twenty-eight 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 (1,103), and Risk Adjusted Performance of (0.13) to confirm the risk estimate we provide.
  
ProShares UltraShort Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of ProShares daily returns, and it is calculated using variance and standard deviation. We also use ProShares's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of ProShares UltraShort volatility.

30 Days Market Risk

Somewhat reliable

Chance of Distress

Average

30 Days Economic Sensitivity

Moves indifferently to market moves
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as ProShares UltraShort can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of ProShares UltraShort at lower prices. For example, an investor can purchase ProShares stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of ProShares UltraShort's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.

Moving together with ProShares UltraShort

+0.84SHProShares Short SP500 Aggressive PushPairCorr
+0.89SPXUProShares UltraPro Short Aggressive PushPairCorr
+0.87SDSProShares UltraShort Aggressive PushPairCorr
+0.89SPXSDirexion Daily SP Aggressive PushPairCorr
+0.62QIDProShares UltraShort QQQ Aggressive PushPairCorr
+0.87RWMProShares Short RussPairCorr

Moving against ProShares UltraShort

-0.93LVHILegg Mason InternationalPairCorr
-0.8DIGProShares Ultra OilPairCorr
-0.72NRGUMicroSectors US BigPairCorr

ProShares UltraShort Market Sensitivity And Downside Risk

ProShares UltraShort's beta coefficient measures the volatility of ProShares etf compared to the systematic risk of the entire stock market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents ProShares etf's returns against your selected market. In other words, ProShares UltraShort's beta of -0.18 provides an investor with an approximation of how much risk ProShares UltraShort etf can potentially add to one of your existing portfolios.
ProShares UltraShort Basic exhibits very low volatility with skewness of -0.4 and kurtosis of -0.2. However, we advise investors to further study ProShares UltraShort Basic technical indicators to ensure that all market info is available and is reliable. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure ProShares UltraShort's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact ProShares UltraShort's etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different stocks as prices fall.
3 Months Beta |Analyze ProShares UltraShort Demand Trend
Check current 90 days ProShares UltraShort correlation with market (NYSE Composite)

ProShares Beta

    
  -0.18  
ProShares standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.

Standard Deviation

    
  3.82  
It is essential to understand the difference between upside risk (as represented by ProShares UltraShort's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of ProShares UltraShort's daily returns or price. Since the actual investment returns on holding a position in proshares etf tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in ProShares UltraShort.

Using ProShares Put Option to Manage Risk

Put options written on ProShares UltraShort grant holders of the option the right to sell a specified amount of ProShares UltraShort at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of ProShares Etf cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge ProShares UltraShort's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding ProShares UltraShort will be realized, the loss incurred will be offset by the profits made with the option trade.

ProShares UltraShort's PUT expiring on 2022-12-16

   Profit   
Share
       ProShares UltraShort Price At Expiration  

Current ProShares UltraShort Insurance Chain

DeltaGammaOpen IntExpirationCurrent SpreadLast Price
Put
2022-12-16 PUT at $11.0-0.74630.257112022-12-161.0 - 1.251.13View
View All ProShares UltraShort Options

ProShares UltraShort Etf Volatility Analysis

Volatility refers to the frequency at which ProShares UltraShort etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with ProShares UltraShort's price changes. Investors will then calculate the volatility of ProShares UltraShort's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of ProShares UltraShort's volatility:

Historical Volatility

This type of etf volatility measures ProShares UltraShort's fluctuations based on previous trends. It's commonly used to predict ProShares UltraShort's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.

Implied Volatility

This type of volatility provides a positive outlook on future price fluctuations for ProShares UltraShort's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on ProShares UltraShort's to be redeemed at a future date.
Transformation
The output start index for this execution was zero with a total number of output elements of sixty-one. 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.
.

ProShares UltraShort Projected Return Density Against Market

Considering the 90-day investment horizon ProShares UltraShort Basic has a beta of -0.1824 . This usually implies as returns on benchmark increase, returns on holding ProShares UltraShort are expected to decrease at a much lower rate. During the bear market, however, ProShares UltraShort Basic is likely to outperform the market.
Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to ProShares UltraShort or ProShares sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that ProShares UltraShort's price will be affected by overall etf market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a ProShares etf's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
The company has a negative alpha, implying that the risk taken by holding this instrument is not justified. ProShares UltraShort is significantly underperforming NYSE Composite.
   Predicted Return Density   
       Returns  
ProShares UltraShort's volatility is measured either by using standard deviation or beta. Standard deviation will reflect the average amount of how proshares etf's price will differ from the mean after some time.To get its calculation, you should first determine the mean price during the specified period then subtract that from each price point.

What Drives a ProShares UltraShort Price Volatility?

Several factors can influence a etf's market volatility:

Industry

Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.

Political and Economic environment

When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.

The Company's Performance

Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.

ProShares UltraShort Etf Risk Measures

Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to ProShares UltraShort or ProShares sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that ProShares UltraShort's price will be affected by overall etf market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a ProShares etf's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision. Considering the 90-day investment horizon the coefficient of variation of ProShares UltraShort is -1845.82. The daily returns are distributed with a variance of 14.63 and standard deviation of 3.82. The mean deviation of ProShares UltraShort Basic is currently at 3.0. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 1.5
α
Alpha over NYSE Composite
-0.34
β
Beta against NYSE Composite-0.18
σ
Overall volatility
3.82
Ir
Information ratio -0.11

ProShares UltraShort Etf Return Volatility

ProShares UltraShort historical daily return volatility represents how much of ProShares UltraShort etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF venture has volatility of 3.8249% on return distribution over 90 days investment horizon. By contrast, NYSE Composite accepts 1.4955% volatility on return distribution over the 90 days horizon.
 Performance (%) 
       Timeline  

About ProShares UltraShort Volatility

Volatility is a rate at which the price of ProShares UltraShort or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of ProShares UltraShort may increase or decrease. In other words, similar to ProShares's beta indicator, it measures the risk of ProShares UltraShort and helps estimate the fluctuations that may happen in a short period of time. So if prices of ProShares UltraShort fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.
The fund invests in financial instruments that ProShare Advisors believes, in combination, should produce daily returns consistent with the funds investment objective. Ultrashort Basic is traded on NYSEARCA Exchange in the United States.

ProShares UltraShort Investment Opportunity

ProShares UltraShort Basic has a volatility of 3.82 and is 2.55 times more volatile than NYSE Composite. 33  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 Basic is lower than 33 () of all global equities and portfolios over the last 90 days. Use ProShares UltraShort Basic to protect your portfolios against small market fluctuations. Benchmarks are essential to demonstrate the utility of optimization algorithms. The etf experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of ProShares UltraShort to be traded at $9.64 in 90 days.

Good diversification

The correlation between ProShares UltraShort Basic and NYA is -0.07 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding ProShares UltraShort Basic and NYA in the same portfolio, assuming nothing else is changed.

ProShares UltraShort Additional Risk Indicators

The analysis of ProShares UltraShort's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in ProShares UltraShort's investment and either accepting that risk or mitigating it. Along with some common measures of ProShares UltraShort etf's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

ProShares UltraShort Suggested Diversification Pairs

Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against ProShares UltraShort as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. ProShares UltraShort's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, ProShares UltraShort's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to ProShares UltraShort Basic.
Additionally, take a look at World Market Map. You can also try Equity Valuation module to check real value of public entities based on technical and fundamental data.

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The market value of ProShares UltraShort is measured differently than its book value, which is the value of ProShares that is recorded on the company's balance sheet. Investors also form their own opinion of ProShares UltraShort's value that differs from its market value or its book value, called intrinsic value, which is ProShares UltraShort's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because ProShares UltraShort's market value can be influenced by many factors that don't directly affect ProShares UltraShort's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between ProShares UltraShort's value and its price as these two are different measures arrived at by different means. Investors typically determine ProShares UltraShort value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, ProShares UltraShort's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.