Description of ProShares UltraShort Consumer Services

ProShares UltraShort Consumer Services ETF

Statistics of ProShares UltraShort Consumer Services (YTD)

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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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (66%) in the period of the last 5 years, the total return, or performance of -78.5% of ProShares UltraShort Consumer Services is lower, thus worse.
  • During the last 3 years, the total return, or increase in value is -62%, which is lower, thus worse than the value of 45.6% 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.'

Applying this definition to our asset in some examples:
  • Looking at the annual performance (CAGR) of -26.5% in the last 5 years of ProShares UltraShort Consumer Services, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.7%)
  • Looking at compounded annual growth rate (CAGR) in of -27.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (13.3%).

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.'

Which means for our asset as example:
  • The volatility over 5 years of ProShares UltraShort Consumer Services is 28.9%, which is higher, thus worse compared to the benchmark SPY (13.4%) in the same period.
  • Looking at historical 30 days volatility in of 25.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.3%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside deviation of 35.7% of ProShares UltraShort Consumer Services is higher, thus worse.
  • During the last 3 years, the downside deviation is 32.9%, which is greater, thus worse than the value of 13.8% 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.'

Applying this definition to our asset in some examples:
  • The Sharpe Ratio over 5 years of ProShares UltraShort Consumer Services is -1, which is smaller, thus worse compared to the benchmark SPY (0.61) in the same period.
  • Compared with SPY (0.88) in the period of the last 3 years, the Sharpe Ratio of -1.17 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.81 of ProShares UltraShort Consumer Services is smaller, thus worse.
  • Looking at excess return divided by the downside deviation in of -0.91 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.78).

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.'

Using this definition on our asset we see for example:
  • The Ulcer Ratio over 5 years of ProShares UltraShort Consumer Services is 56 , which is greater, thus worse compared to the benchmark SPY (3.99 ) in the same period.
  • Looking at Downside risk index in of 42 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.04 ).

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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -81.6 days in the last 5 years of ProShares UltraShort Consumer Services, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum reduction from previous high is -66.7 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). 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'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of ProShares UltraShort Consumer Services is 1197 days, which is higher, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 676 days is larger, 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.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of 575 days in the last 5 years of ProShares UltraShort Consumer Services, we see it is relatively higher, thus worse in comparison to the benchmark SPY (41 days)
  • Looking at average time in days below previous high water mark in of 315 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).

Performance of ProShares UltraShort Consumer Services (YTD)

Historical returns have been extended using synthetic data.

Allocations of ProShares UltraShort Consumer Services
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Allocations

Returns of ProShares UltraShort Consumer Services (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of ProShares UltraShort Consumer Services 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.