Description of ProShares UltraShort Financials

ProShares UltraShort Financials ETF

Statistics of ProShares UltraShort Financials (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:
  • Compared with the benchmark SPY (67.6%) in the period of the last 5 years, the total return, or performance of -72.7% of ProShares UltraShort Financials is lower, thus worse.
  • During the last 3 years, the total return is -56.7%, which is smaller, thus worse than the value of 51.3% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (10.9%) in the period of the last 5 years, the annual return (CAGR) of -22.9% of ProShares UltraShort Financials is smaller, thus worse.
  • Looking at compounded annual growth rate (CAGR) in of -24.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (14.8%).

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.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of ProShares UltraShort Financials is 29.8%, which is greater, thus worse compared to the benchmark SPY (13.5%) in the same period.
  • Looking at historical 30 days volatility in of 27% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.8%).

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:
  • Looking at the downside risk of 27.4% in the last 5 years of ProShares UltraShort Financials, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.8%)
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside volatility of 24.2% 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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of ProShares UltraShort Financials is -0.85, which is smaller, thus worse compared to the benchmark SPY (0.62) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -1, which is lower, thus worse than the value of 0.96 from the benchmark.

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:
  • Looking at the ratio of annual return and downside deviation of -0.93 in the last 5 years of ProShares UltraShort Financials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.57)
  • Compared with SPY (0.84) in the period of the last 3 years, the downside risk / excess return profile of -1.12 is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 53 in the last 5 years of ProShares UltraShort Financials, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.99 )
  • Looking at Ulcer Ratio in of 38 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.1 ).

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.'

Using this definition on our asset we see for example:
  • The maximum DrawDown over 5 years of ProShares UltraShort Financials is -77.2 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • Looking at maximum drop from peak to valley in of -56.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 days).

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.'

Which means for our asset as example:
  • The maximum days under water over 5 years of ProShares UltraShort Financials is 948 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • During the last 3 years, the maximum days under water is 752 days, which is higher, thus worse than the value of 139 days from the benchmark.

AveDuration:

'The Average 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. 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:
  • Looking at the average days below previous high of 374 days in the last 5 years of ProShares UltraShort Financials, we see it is relatively greater, thus worse in comparison to the benchmark SPY (42 days)
  • During the last 3 years, the average days under water is 377 days, which is higher, thus worse than the value of 36 days from the benchmark.

Performance of ProShares UltraShort Financials (YTD)

Historical returns have been extended using synthetic data.

Allocations of ProShares UltraShort Financials
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Allocations

Returns of ProShares UltraShort Financials (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of ProShares UltraShort Financials 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.