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 (121.6%) in the period of the last 5 years, the total return, or increase in value of -5.8% of ProShares UltraShort Australian Dollar is lower, thus worse.
• Looking at total return in of -3.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (64.5%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Looking at the annual return (CAGR) of -1.2% in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively lower, thus worse in comparison to the benchmark SPY (17.3%)
• Compared with SPY (18.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -1.1% is lower, thus worse.

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.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the 30 days standard deviation of 19.4% of ProShares UltraShort Australian Dollar is larger, thus worse.
• Compared with SPY (22.5%) in the period of the last 3 years, the historical 30 days volatility of 21.3% is lower, thus better.

DownVol:

'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.'

• Looking at the downside deviation of 13.1% in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.5%)
• During the last 3 years, the downside risk is 14.3%, which is lower, thus better than the value of 16.4% from the benchmark.

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.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.19 of ProShares UltraShort Australian Dollar is smaller, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.17, which is lower, thus worse than the value of 0.69 from the benchmark.

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.'

• Looking at the downside risk / excess return profile of -0.28 in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.09)
• During the last 3 years, the excess return divided by the downside deviation is -0.25, which is smaller, thus worse than the value of 0.95 from the benchmark.

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.'

• Looking at the Downside risk index of 22 in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively higher, thus worse in comparison to the benchmark SPY (5.58 )
• Compared with SPY (6.83 ) in the period of the last 3 years, the Ulcer Ratio of 27 is greater, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum reduction from previous high over 5 years of ProShares UltraShort Australian Dollar is -49.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum DrawDown in of -49.8 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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 (139 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 593 days of ProShares UltraShort Australian Dollar is higher, thus worse.
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 342 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.'

• Looking at the average days below previous high of 198 days in the last 5 years of ProShares UltraShort Australian Dollar, we see it is relatively higher, thus worse in comparison to the benchmark SPY (33 days)
• During the last 3 years, the average days below previous high is 97 days, which is higher, thus worse than the value of 35 days from the benchmark.