ProShares UltraShort Basic Materials (SMN)

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.'

• The total return, or performance over 5 years of ProShares UltraShort Basic Materials is -67.9%, which is smaller, thus worse compared to the benchmark SPY (110.8%) in the same period.
• Looking at total return, or increase in value in of -25.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (87%).

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.'

• The annual performance (CAGR) over 5 years of ProShares UltraShort Basic Materials is -20.4%, which is lower, thus worse compared to the benchmark SPY (16.2%) in the same period.
• Compared with SPY (23.4%) in the period of the last 3 years, the annual performance (CAGR) of -9.4% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the volatility of 40.3% of ProShares UltraShort Basic Materials is larger, thus worse.
• During the last 3 years, the 30 days standard deviation is 35.4%, which is greater, thus worse than the value of 16% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of ProShares UltraShort Basic Materials is 29%, which is higher, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Compared with SPY (10.5%) in the period of the last 3 years, the downside deviation of 25.3% is greater, thus worse.

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 risk / return profile (Sharpe) over 5 years of ProShares UltraShort Basic Materials is -0.57, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• Compared with SPY (1.31) in the period of the last 3 years, the Sharpe Ratio of -0.34 is smaller, thus worse.

Sortino:

'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.'

• Looking at the downside risk / excess return profile of -0.79 in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (1.16)
• Compared with SPY (2) in the period of the last 3 years, the downside risk / excess return profile of -0.47 is smaller, thus worse.

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.'

• Looking at the Ulcer Ratio of 61 in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively larger, thus worse in comparison to the benchmark SPY (8.41 )
• During the last 3 years, the Ulcer Index is 27 , which is higher, thus worse than the value of 3.61 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -74.8 days of ProShares UltraShort Basic Materials is smaller, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -41.6 days is lower, thus worse.

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.'

• The maximum days under water over 5 years of ProShares UltraShort Basic Materials is 1255 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 751 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (87 days).

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.'

• Looking at the average time in days below previous high water mark of 628 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 (120 days)
• During the last 3 years, the average days under water is 376 days, which is higher, thus worse than the value of 21 days from the benchmark.