ProShares UltraShort Technology (REW)

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.'

• The total return, or performance over 5 years of ProShares UltraShort Technology is -93.4%, which is smaller, thus worse compared to the benchmark SPY (63%) in the same period.
• During the last 3 years, the total return, or increase in value is -82.3%, which is lower, thus worse than the value of 33.5% 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 UltraShort Technology is -41.9%, which is lower, thus worse compared to the benchmark SPY (10.3%) in the same period.
• During the last 3 years, the annual performance (CAGR) is -43.8%, which is lower, thus worse than the value of 10.1% 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.'

• Looking at the volatility of 55.6% in the last 5 years of ProShares UltraShort Technology, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21.6%)
• Looking at 30 days standard deviation in of 62.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (25.1%).

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.'

• The downside volatility over 5 years of ProShares UltraShort Technology is 39.4%, which is greater, thus worse compared to the benchmark SPY (15.6%) in the same period.
• Compared with SPY (18.1%) in the period of the last 3 years, the downside volatility of 44.6% is greater, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the ratio of return and volatility (Sharpe) of -0.8 in the last 5 years of ProShares UltraShort Technology, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
• Looking at risk / return profile (Sharpe) in of -0.74 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.3).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The ratio of annual return and downside deviation over 5 years of ProShares UltraShort Technology is -1.13, which is smaller, thus worse compared to the benchmark SPY (0.5) in the same period.
• Looking at downside risk / excess return profile in of -1.04 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.42).

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 (8.88 ) in the period of the last 5 years, the Ulcer Ratio of 74 of ProShares UltraShort Technology is larger, thus worse.
• During the last 3 years, the Downside risk index is 79 , which is higher, thus worse than the value of 11 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.'

• The maximum reduction from previous high over 5 years of ProShares UltraShort Technology is -95.3 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum DrawDown is -90.6 days, which is lower, thus worse than the value of -33.7 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.'

• Looking at the maximum days below previous high of 1255 days in the last 5 years of ProShares UltraShort Technology, we see it is relatively larger, thus worse in comparison to the benchmark SPY (273 days)
• During the last 3 years, the maximum days under water is 730 days, which is higher, thus worse than the value of 273 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 (57 days) in the period of the last 5 years, the average time in days below previous high water mark of 627 days of ProShares UltraShort Technology is greater, thus worse.
• During the last 3 years, the average days under water is 355 days, which is higher, thus worse than the value of 73 days from the benchmark.