Description

The investment seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the U.S. dollar price of the Australian dollar. The fund obtains short exposures to its benchmark through futures contracts on its underlying currency. It may also invest in forward contracts if the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) or in situations where the Sponsor deems it impractical or inadvisable to buy or sell futures contracts.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • Looking at the total return of 2.1% in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively lower, thus worse in comparison to the benchmark SPY (62.6%)
  • Compared with SPY (32.1%) in the period of the last 3 years, the total return, or performance of -14.1% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:
  • The annual return (CAGR) over 5 years of ProShares UltraShort Australian Dollar is 0.4%, which is lower, thus worse compared to the benchmark SPY (10.2%) in the same period.
  • Looking at compounded annual growth rate (CAGR) in of -4.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9.7%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • Looking at the historical 30 days volatility of 19% in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively lower, thus better in comparison to the benchmark SPY (21.5%)
  • Looking at volatility in of 20.9% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (24.8%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Using this definition on our asset we see for example:
  • Looking at the downside deviation of 12.8% in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.6%)
  • Looking at downside risk in of 14.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.9%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of ProShares UltraShort Australian Dollar is -0.11, which is lower, thus worse compared to the benchmark SPY (0.36) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -0.36, which is lower, thus worse than the value of 0.29 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Using this definition on our asset we see for example:
  • The excess return divided by the downside deviation over 5 years of ProShares UltraShort Australian Dollar is -0.16, which is smaller, thus worse compared to the benchmark SPY (0.5) in the same period.
  • Looking at downside risk / excess return profile in of -0.53 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.4).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Which means for our asset as example:
  • The Ulcer Index over 5 years of ProShares UltraShort Australian Dollar is 29 , which is higher, thus worse compared to the benchmark SPY (8.52 ) in the same period.
  • Looking at Ulcer Ratio in of 38 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Which means for our asset as example:
  • Looking at the maximum reduction from previous high of -49.8 days in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-33.7 days)
  • Looking at maximum DrawDown in of -49.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Applying this definition to our asset in some examples:
  • The maximum time in days below previous high water mark over 5 years of ProShares UltraShort Australian Dollar is 685 days, which is larger, thus worse compared to the benchmark SPY (235 days) in the same period.
  • Compared with SPY (235 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 685 days is higher, thus worse.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Applying this definition to our asset in some examples:
  • Looking at the average days under water of 209 days in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively greater, thus worse in comparison to the benchmark SPY (55 days)
  • During the last 3 years, the average days under water is 320 days, which is larger, thus worse than the value of 59 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of ProShares UltraShort Australian Dollar are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.