ProShares UltraShort Euro (EUO)

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.'

• Compared with the benchmark SPY (92.4%) in the period of the last 5 years, the total return of 30.9% of ProShares UltraShort Euro is lower, thus worse.
• Looking at total return, or increase in value in of 0.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (85%).

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.'

• The annual performance (CAGR) over 5 years of ProShares UltraShort Euro is 5.6%, which is lower, thus worse compared to the benchmark SPY (14%) in the same period.
• Looking at annual return (CAGR) in of 0.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.9%).

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.'

• The historical 30 days volatility over 5 years of ProShares UltraShort Euro is 15.6%, which is smaller, thus better compared to the benchmark SPY (17%) in the same period.
• Looking at 30 days standard deviation in of 14.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.1%).

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 volatility of 11.1% in the last 5 years of ProShares UltraShort Euro, we see it is relatively smaller, thus better in comparison to the benchmark SPY (11.7%)
• Compared with SPY (10.1%) in the period of the last 3 years, the downside volatility of 10.6% is higher, thus worse.

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 ratio of return and volatility (Sharpe) over 5 years of ProShares UltraShort Euro is 0.2, which is lower, thus worse compared to the benchmark SPY (0.68) in the same period.
• Looking at risk / return profile (Sharpe) in of -0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.35).

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 0.27 in the last 5 years of ProShares UltraShort Euro, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.98)
• Compared with SPY (2.02) in the period of the last 3 years, the excess return divided by the downside deviation of -0.22 is lower, thus worse.

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 Euro is 15 , which is higher, thus worse compared to the benchmark SPY (8.44 ) in the same period.
• Looking at Downside risk index in of 13 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (3.5 ).

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.'

• Looking at the maximum reduction from previous high of -25.3 days in the last 5 years of ProShares UltraShort Euro, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -24.5 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.'

• Looking at the maximum days under water of 916 days in the last 5 years of ProShares UltraShort Euro, we see it is relatively larger, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 341 days is higher, 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 (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 354 days of ProShares UltraShort Euro is higher, thus worse.
• Looking at average time in days below previous high water mark in of 136 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).