Description of ProShares UltraShort Basic Materials

ProShares UltraShort Basic Materials ETF

Statistics of ProShares UltraShort Basic Materials (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.'

Using this definition on our asset we see for example:
  • The total return, or performance over 5 years of ProShares UltraShort Basic Materials is -51.6%, which is lower, thus worse compared to the benchmark SPY (64.1%) in the same period.
  • Looking at total return, or performance in of -48.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (48.1%).

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.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of -13.7% in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.4%)
  • Compared with SPY (14%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -20.1% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of ProShares UltraShort Basic Materials is 35.6%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 32.5% is higher, thus worse.

DownVol:

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

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.9%) in the period of the last 5 years, the downside volatility of 33.8% of ProShares UltraShort Basic Materials is greater, thus worse.
  • Looking at downside volatility in of 30.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.5%).

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.'

Using this definition on our asset we see for example:
  • The risk / return profile (Sharpe) over 5 years of ProShares UltraShort Basic Materials is -0.45, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is -0.7, which is smaller, thus worse than the value of 0.9 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The ratio of annual return and downside deviation over 5 years of ProShares UltraShort Basic Materials is -0.48, which is lower, thus worse compared to the benchmark SPY (0.53) in the same period.
  • Compared with SPY (0.79) in the period of the last 3 years, the excess return divided by the downside deviation of -0.74 is smaller, thus worse.

Ulcer:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (4.02 ) in the period of the last 5 years, the Downside risk index of 54 of ProShares UltraShort Basic Materials is greater, thus worse.
  • Compared with SPY (4.09 ) in the period of the last 3 years, the Ulcer Index of 41 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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -74.4 days in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Looking at maximum reduction from previous high in of -54.5 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.'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of ProShares UltraShort Basic Materials is 912 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 724 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

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.'

Which means for our asset as example:
  • Looking at the average days below previous high of 357 days in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively larger, thus worse in comparison to the benchmark SPY (41 days)
  • During the last 3 years, the average days under water is 354 days, which is greater, thus worse than the value of 35 days from the benchmark.

Performance of ProShares UltraShort Basic Materials (YTD)

Historical returns have been extended using synthetic data.

Allocations of ProShares UltraShort Basic Materials
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Allocations

Returns of ProShares UltraShort Basic Materials (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of ProShares UltraShort Basic Materials 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.