ProShares UltraShort Australian Dollar (CROC)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (129.1%) in the period of the last 5 years, the total return, or increase in value of -7.2% of ProShares UltraShort Australian Dollar is lower, thus worse.
• Compared with SPY (71.3%) in the period of the last 3 years, the total return, or performance of -14.4% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the compounded annual growth rate (CAGR) of -1.5% in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively lower, thus worse in comparison to the benchmark SPY (18.1%)
• Compared with SPY (19.7%) in the period of the last 3 years, the annual performance (CAGR) of -5.1% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of ProShares UltraShort Australian Dollar is 19.4%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
• Looking at historical 30 days volatility in of 21.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (22.5%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• The downside volatility over 5 years of ProShares UltraShort Australian Dollar is 13.2%, which is lower, thus better compared to the benchmark SPY (13.6%) in the same period.
• During the last 3 years, the downside deviation is 14.4%, which is lower, thus better than the value of 16.3% from the benchmark.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of ProShares UltraShort Australian Dollar is -0.2, which is lower, thus worse compared to the benchmark SPY (0.83) in the same period.
• Compared with SPY (0.76) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.36 is smaller, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The excess return divided by the downside deviation over 5 years of ProShares UltraShort Australian Dollar is -0.3, which is lower, thus worse compared to the benchmark SPY (1.15) in the same period.
• Looking at excess return divided by the downside deviation in of -0.52 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.05).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• The Ulcer Ratio over 5 years of ProShares UltraShort Australian Dollar is 24 , which is greater, thus worse compared to the benchmark SPY (5.59 ) in the same period.
• Compared with SPY (6.38 ) in the period of the last 3 years, the Ulcer Index of 29 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -49.8 days of ProShares UltraShort Australian Dollar is smaller, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -49.8 days is lower, thus worse.

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.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 593 days of ProShares UltraShort Australian Dollar is higher, thus worse.
• Compared with SPY (119 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 396 days is larger, thus worse.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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.'

• Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average days under water of 214 days of ProShares UltraShort Australian Dollar is larger, thus worse.
• During the last 3 years, the average days under water is 123 days, which is higher, thus worse than the value of 25 days from the benchmark.