ProShares UltraShort Basic Materials (SMN)

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.'

• The total return, or increase in value over 5 years of ProShares UltraShort Basic Materials is -75.6%, which is lower, thus worse compared to the benchmark SPY (61.3%) in the same period.
• Compared with SPY (31.6%) in the period of the last 3 years, the total return, or increase in value of -72.6% is lower, thus worse.

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 -24.6% in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (10%)
• During the last 3 years, the compounded annual growth rate (CAGR) is -35.1%, which is smaller, thus worse than the value of 9.6% from the benchmark.

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.'

• Compared with the benchmark SPY (20.8%) in the period of the last 5 years, the 30 days standard deviation of 49.8% of ProShares UltraShort Basic Materials is larger, thus worse.
• Compared with SPY (24%) in the period of the last 3 years, the volatility of 57.3% is larger, thus worse.

DownVol:

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

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside volatility of 34.5% of ProShares UltraShort Basic Materials is greater, thus worse.
• During the last 3 years, the downside deviation is 39.9%, which is larger, thus worse than the value of 17.6% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of -0.54 in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
• Compared with SPY (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.66 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.'

• The downside risk / excess return profile over 5 years of ProShares UltraShort Basic Materials is -0.79, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
• Compared with SPY (0.4) in the period of the last 3 years, the excess return divided by the downside deviation of -0.94 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.'

• Compared with the benchmark SPY (7.61 ) in the period of the last 5 years, the Ulcer Index of 60 of ProShares UltraShort Basic Materials is larger, thus worse.
• Looking at Ulcer Ratio in of 75 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (8.93 ).

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -90.7 days of ProShares UltraShort Basic Materials is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -90.7 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 635 days in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively greater, thus worse in comparison to the benchmark SPY (185 days)
• Compared with SPY (185 days) in the period of the last 3 years, the maximum days under water of 635 days is higher, thus worse.

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.'

• Compared with the benchmark SPY (46 days) in the period of the last 5 years, the average days under water of 229 days of ProShares UltraShort Basic Materials is higher, thus worse.
• Looking at average days below previous high in of 278 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (44 days).