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 (60.6%) in the period of the last 5 years, the total return, or increase in value of -2.3% of ProShares UltraShort Australian Dollar is smaller, thus worse.
• Compared with SPY (38%) in the period of the last 3 years, the total return of -0.5% is smaller, 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.'

• Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual return (CAGR) of -0.5% of ProShares UltraShort Australian Dollar is smaller, thus worse.
• Looking at compounded annual growth rate (CAGR) in of -0.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.3%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of ProShares UltraShort Australian Dollar is 17.7%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
• Compared with SPY (17.9%) in the period of the last 3 years, the historical 30 days volatility of 13.9% is lower, thus better.

DownVol:

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

• Compared with the benchmark SPY (15.5%) in the period of the last 5 years, the downside risk of 11.9% of ProShares UltraShort Australian Dollar is lower, thus better.
• Compared with SPY (12.5%) in the period of the last 3 years, the downside deviation of 9.5% is lower, thus better.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The Sharpe Ratio over 5 years of ProShares UltraShort Australian Dollar is -0.17, which is lower, thus worse compared to the benchmark SPY (0.35) in the same period.
• Looking at Sharpe Ratio in of -0.19 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.49).

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 ratio of annual return and downside deviation over 5 years of ProShares UltraShort Australian Dollar is -0.25, which is lower, thus worse compared to the benchmark SPY (0.48) in the same period.
• Compared with SPY (0.71) in the period of the last 3 years, the excess return divided by the downside deviation of -0.28 is lower, thus worse.

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.'

• The Ulcer Ratio over 5 years of ProShares UltraShort Australian Dollar is 33 , which is greater, thus worse compared to the benchmark SPY (9.55 ) in the same period.
• Looking at Downside risk index in of 10 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.'

• The maximum drop from peak to valley over 5 years of ProShares UltraShort Australian Dollar is -49.8 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum DrawDown in of -23.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (431 days) in the period of the last 5 years, the maximum days below previous high of 881 days of ProShares UltraShort Australian Dollar is higher, thus worse.
• During the last 3 years, the maximum days under water is 751 days, which is greater, thus worse than the value of 431 days from the benchmark.

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.'

• Compared with the benchmark SPY (105 days) in the period of the last 5 years, the average days below previous high of 328 days of ProShares UltraShort Australian Dollar is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 376 days, which is higher, thus worse than the value of 144 days from the benchmark.