ProShares UltraShort Euro (EUO)

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 (107.8%) in the period of the last 5 years, the total return, or performance of 5.8% of ProShares UltraShort Euro is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 1.2%, which is lower, thus worse than the value of 43.5% from the benchmark.

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 annual return (CAGR) of 1.1% in the last 5 years of ProShares UltraShort Euro, we see it is relatively lower, thus worse in comparison to the benchmark SPY (15.8%)
• Compared with SPY (12.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 0.4% is lower, thus worse.

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.'

• Looking at the volatility of 15.6% in the last 5 years of ProShares UltraShort Euro, we see it is relatively smaller, thus better in comparison to the benchmark SPY (17.9%)
• During the last 3 years, the historical 30 days volatility is 16.8%, which is lower, thus better than the value of 18.4% from the benchmark.

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.'

• Looking at the downside deviation of 11.2% in the last 5 years of ProShares UltraShort Euro, we see it is relatively smaller, thus better in comparison to the benchmark SPY (12.5%)
• Compared with SPY (12.6%) in the period of the last 3 years, the downside volatility of 12.2% is smaller, thus better.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The risk / return profile (Sharpe) over 5 years of ProShares UltraShort Euro is -0.09, which is lower, thus worse compared to the benchmark SPY (0.74) in the same period.
• Looking at Sharpe Ratio in of -0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.56).

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 excess return divided by the downside deviation of -0.12 in the last 5 years of ProShares UltraShort Euro, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.07)
• During the last 3 years, the ratio of annual return and downside deviation is -0.17, which is lower, thus worse than the value of 0.82 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 Ulcer Index of 15 in the last 5 years of ProShares UltraShort Euro, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.48 )
• Compared with SPY (5.54 ) in the period of the last 3 years, the Ulcer Index of 15 is higher, thus worse.

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 Euro is -24.4 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -24.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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.'

• Looking at the maximum days under water of 655 days in the last 5 years of ProShares UltraShort Euro, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Looking at maximum time in days below previous high water mark in of 655 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 days).

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.'

• The average time in days below previous high water mark over 5 years of ProShares UltraShort Euro is 272 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (44 days) in the period of the last 3 years, the average days below previous high of 293 days is larger, thus worse.