ProShares UltraShort Consumer Services (SCC)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of -73.1% in the last 5 years of ProShares UltraShort Consumer Services, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (110.9%)
• Looking at total return, or performance in of -68.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (69.3%).

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.'

• Looking at the annual return (CAGR) of -23.2% in the last 5 years of ProShares UltraShort Consumer Services, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.1%)
• Looking at compounded annual growth rate (CAGR) in of -32.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (19.3%).

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.'

• Looking at the volatility of 43.6% in the last 5 years of ProShares UltraShort Consumer Services, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.5%)
• During the last 3 years, the historical 30 days volatility is 44.6%, which is greater, thus worse than the value of 17.5% from the benchmark.

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.'

• Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the downside risk of 30.7% of ProShares UltraShort Consumer Services is larger, thus worse.
• During the last 3 years, the downside risk is 32.8%, which is larger, thus worse than the value of 11.5% 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.'

• The Sharpe Ratio over 5 years of ProShares UltraShort Consumer Services is -0.59, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• Compared with SPY (0.96) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.78 is smaller, 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.'

• Compared with the benchmark SPY (1.13) in the period of the last 5 years, the excess return divided by the downside deviation of -0.84 of ProShares UltraShort Consumer Services is smaller, thus worse.
• During the last 3 years, the downside risk / excess return profile is -1.06, which is lower, thus worse than the value of 1.46 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.'

• The Ulcer Index over 5 years of ProShares UltraShort Consumer Services is 48 , which is higher, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.3 ) in the period of the last 3 years, the Ulcer Index of 45 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.'

• The maximum DrawDown over 5 years of ProShares UltraShort Consumer Services is -75.3 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -70.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-18.8 days).

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.'

• The maximum time in days below previous high water mark over 5 years of ProShares UltraShort Consumer Services is 1255 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days under water is 752 days, which is larger, thus worse than the value of 199 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 (120 days) in the period of the last 5 years, the average days under water of 628 days of ProShares UltraShort Consumer Services is higher, thus worse.
• Compared with SPY (47 days) in the period of the last 3 years, the average days below previous high of 377 days is greater, thus worse.