'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.'

Applying this definition to our asset in some examples:- Looking at the total return, or performance of -77.1% in the last 5 years of ProShares UltraShort Industrials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (74.4%)
- Compared with SPY (47.2%) in the period of the last 3 years, the total return, or performance of -59.8% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of -30.4% in the last 5 years of ProShares UltraShort Industrials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (11.8%)
- During the last 3 years, the annual performance (CAGR) is -31.1%, which is lower, thus worse than the value of 13.8% from the benchmark.

'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:- Looking at the 30 days standard deviation of 34.8% in the last 5 years of ProShares UltraShort Industrials, we see it is relatively greater, thus worse in comparison to the benchmark SPY (13.6%)
- Looking at volatility in of 34.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.9%).

'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.'

Which means for our asset as example:- Looking at the downside risk of 31.7% in the last 5 years of ProShares UltraShort Industrials, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.9%)
- Looking at downside deviation in of 30% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.6%).

'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.'

Which means for our asset as example:- Looking at the risk / return profile (Sharpe) of -0.95 in the last 5 years of ProShares UltraShort Industrials, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.68)
- Compared with SPY (0.88) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.99 is lower, thus worse.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:- The excess return divided by the downside deviation over 5 years of ProShares UltraShort Industrials is -1.04, which is lower, thus worse compared to the benchmark SPY (0.62) in the same period.
- During the last 3 years, the ratio of annual return and downside deviation is -1.12, which is smaller, thus worse than the value of 0.77 from the benchmark.

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

Using this definition on our asset we see for example:- Looking at the Ulcer Ratio of 56 in the last 5 years of ProShares UltraShort Industrials, we see it is relatively larger, thus worse in comparison to the benchmark SPY (3.99 )
- Looking at Ulcer Index in of 47 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.1 ).

'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.'

Using this definition on our asset we see for example:- Looking at the maximum DrawDown of -78.3 days in the last 5 years of ProShares UltraShort Industrials, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-19.3 days)
- During the last 3 years, the maximum drop from peak to valley is -62.2 days, which is smaller, thus worse than the value of -19.3 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 1023 days of ProShares UltraShort Industrials is greater, thus worse.
- During the last 3 years, the maximum time in days below previous high water mark is 604 days, which is greater, thus worse than the value of 139 days from the benchmark.

'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.'

Using this definition on our asset we see for example:- The average days under water over 5 years of ProShares UltraShort Industrials is 512 days, which is greater, thus worse compared to the benchmark SPY (41 days) in the same period.
- Looking at average days below previous high in of 297 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (36 days).

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
- Performance results of ProShares UltraShort Industrials 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.