ProShares Online Retail ETF (ONLN)

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.'

• Looking at the total return, or increase in value of 1.5% in the last 5 years of ProShares Online Retail ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (107.6%)
• During the last 3 years, the total return, or performance is 37.2%, which is smaller, thus worse than the value of 48.1% from the benchmark.

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 compounded annual growth rate (CAGR) over 5 years of ProShares Online Retail ETF is 0.3%, which is lower, thus worse compared to the benchmark SPY (15.8%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 11.2%, which is smaller, thus worse than the value of 14% from the benchmark.

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 historical 30 days volatility over 5 years of ProShares Online Retail ETF is 34.1%, which is larger, thus worse compared to the benchmark SPY (17.9%) in the same period.
• Looking at 30 days standard deviation in of 33.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.3%).

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.'

• Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the downside deviation of 23.9% of ProShares Online Retail ETF is higher, thus worse.
• During the last 3 years, the downside volatility is 23.3%, which is higher, thus worse than the value of 12.4% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of -0.06 in the last 5 years of ProShares Online Retail ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.74)
• Looking at risk / return profile (Sharpe) in of 0.26 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.63).

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 Online Retail ETF is -0.09, which is lower, thus worse compared to the benchmark SPY (1.06) in the same period.
• Compared with SPY (0.93) in the period of the last 3 years, the downside risk / excess return profile of 0.37 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Index over 5 years of ProShares Online Retail ETF is 50 , which is higher, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• Looking at Downside risk index in of 15 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (5.54 ).

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.'

• Looking at the maximum reduction from previous high of -71.8 days in the last 5 years of ProShares Online Retail ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -34.1 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 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 (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 1064 days of ProShares Online Retail ETF is greater, thus worse.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 412 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 (119 days) in the period of the last 5 years, the average days under water of 475 days of ProShares Online Retail ETF is higher, thus worse.
• Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 127 days is greater, thus worse.