Description of ProShares UltraShort Technology

ProShares UltraShort Technology ETF

Statistics of ProShares UltraShort Technology (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Looking at the total return of -87.5% in the last 5 years of ProShares UltraShort Technology, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (66.9%)
  • Compared with SPY (50.6%) in the period of the last 3 years, the total return, or increase in value of -79% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Which means for our asset as example:
  • Compared with the benchmark SPY (10.8%) in the period of the last 5 years, the annual performance (CAGR) of -36% of ProShares UltraShort Technology is smaller, thus worse.
  • Compared with SPY (14.7%) in the period of the last 3 years, the annual performance (CAGR) of -42.5% is lower, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 38.3% in the last 5 years of ProShares UltraShort Technology, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.5%)
  • Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 39.1% is larger, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside deviation of 33.9% of ProShares UltraShort Technology is larger, thus worse.
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside deviation of 33.8% is greater, 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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of return and volatility (Sharpe) of -1.01 in the last 5 years of ProShares UltraShort Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.61)
  • Looking at Sharpe Ratio in of -1.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.95).

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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of ProShares UltraShort Technology is -1.14, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
  • Compared with SPY (0.83) in the period of the last 3 years, the excess return divided by the downside deviation of -1.33 is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 62 of ProShares UltraShort Technology is larger, thus worse.
  • Looking at Ulcer Index in of 59 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.1 ).

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.'

Which means for our asset as example:
  • The maximum DrawDown over 5 years of ProShares UltraShort Technology is -88.5 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum drop from peak to valley is -79.2 days, which is lower, thus worse than the value of -19.3 days from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 998 days of ProShares UltraShort Technology is larger, thus worse.
  • Looking at maximum days below previous high in of 710 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:
  • The average days under water over 5 years of ProShares UltraShort Technology is 436 days, which is higher, thus worse compared to the benchmark SPY (42 days) in the same period.
  • Looking at average days below previous high in of 355 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).

Performance of ProShares UltraShort Technology (YTD)

Historical returns have been extended using synthetic data.

Allocations of ProShares UltraShort Technology
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Allocations

Returns of ProShares UltraShort Technology (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of ProShares UltraShort Technology are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.