ProShares Ultra QQQ (QLD)

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 (80.9%) in the period of the last 5 years, the total return of 126.6% of ProShares Ultra QQQ is higher, thus better.
• Compared with SPY (78.3%) in the period of the last 3 years, the total return, or increase in value of 200.5% is greater, thus better.

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 return (CAGR) over 5 years of ProShares Ultra QQQ is 17.8%, which is larger, thus better compared to the benchmark SPY (12.6%) in the same period.
• Compared with SPY (21.4%) in the period of the last 3 years, the annual return (CAGR) of 44.7% is larger, thus better.

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 30 days standard deviation of 44.7% in the last 5 years of ProShares Ultra QQQ, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17%)
• Looking at volatility in of 38.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (15%).

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 risk of 31.3% in the last 5 years of ProShares Ultra QQQ, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.7%)
• Compared with SPY (10%) in the period of the last 3 years, the downside volatility of 26.4% 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.'

• Looking at the risk / return profile (Sharpe) of 0.34 in the last 5 years of ProShares Ultra QQQ, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.6)
• During the last 3 years, the risk / return profile (Sharpe) is 1.09, which is lower, thus worse than the value of 1.26 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.'

• The excess return divided by the downside deviation over 5 years of ProShares Ultra QQQ is 0.49, which is lower, thus worse compared to the benchmark SPY (0.86) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is 1.6, which is lower, thus worse than the value of 1.88 from the benchmark.

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.'

• Looking at the Downside risk index of 28 in the last 5 years of ProShares Ultra QQQ, we see it is relatively higher, thus worse in comparison to the benchmark SPY (8.42 )
• During the last 3 years, the Ulcer Ratio is 10 , which is greater, thus worse than the value of 3.4 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -63.7 days of ProShares Ultra QQQ is lower, thus worse.
• During the last 3 years, the maximum reduction from previous high is -42.3 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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 (488 days) in the period of the last 5 years, the maximum days below previous high of 629 days of ProShares Ultra QQQ is larger, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 143 days, which is greater, thus worse than the value of 87 days from the benchmark.

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 below previous high of 187 days of ProShares Ultra QQQ is larger, thus worse.
• During the last 3 years, the average days under water is 40 days, which is larger, thus worse than the value of 19 days from the benchmark.