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.'

• The total return over 5 years of ProShares Ultra QQQ is 116.8%, which is higher, thus better compared to the benchmark SPY (90.3%) in the same period.
• During the last 3 years, the total return, or increase in value is 199.9%, which is higher, thus better than the value of 73.1% 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.'

• The annual return (CAGR) over 5 years of ProShares Ultra QQQ is 16.8%, which is larger, thus better compared to the benchmark SPY (13.8%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 44.5%, which is higher, thus better than the value of 20.2% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of ProShares Ultra QQQ is 45.1%, which is larger, thus worse compared to the benchmark SPY (17%) in the same period.
• During the last 3 years, the historical 30 days volatility is 39.1%, which is larger, thus worse than the value of 15.1% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside risk of 31.6% in the last 5 years of ProShares Ultra QQQ, we see it is relatively higher, thus worse in comparison to the benchmark SPY (11.7%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside deviation of 26.6% is larger, thus worse.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The Sharpe Ratio over 5 years of ProShares Ultra QQQ is 0.32, which is lower, thus worse compared to the benchmark SPY (0.66) in the same period.
• Compared with SPY (1.17) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.07 is lower, thus worse.

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 0.45 in the last 5 years of ProShares Ultra QQQ, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.96)
• During the last 3 years, the ratio of annual return and downside deviation is 1.58, which is lower, thus worse than the value of 1.74 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.'

• Compared with the benchmark SPY (8.42 ) in the period of the last 5 years, the Downside risk index of 28 of ProShares Ultra QQQ is greater, thus worse.
• Compared with SPY (3.49 ) in the period of the last 3 years, the Ulcer Index of 10 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.'

• Looking at the maximum reduction from previous high of -63.7 days in the last 5 years of ProShares Ultra QQQ, we see it is relatively lower, 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 drop from peak to valley of -42.3 days is smaller, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• 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 greater, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum days below previous high of 143 days is greater, 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 under water of 186 days in the last 5 years of ProShares Ultra QQQ, we see it is relatively greater, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days under water in of 37 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (20 days).