Description

ProShares UltraShort Basic Materials ETF

Statistics (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 (84.3%) in the period of the last 5 years, the total return of -81.9% of ProShares UltraShort Basic Materials is lower, thus worse.
  • Compared with SPY (37.3%) in the period of the last 3 years, the total return, or performance of -50.4% is smaller, thus worse.

CAGR:

'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 performance (CAGR) of -29% in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (13%)
  • During the last 3 years, the annual return (CAGR) is -20.8%, which is lower, thus worse than the value of 11.1% from the benchmark.

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:
  • Compared with the benchmark SPY (18.8%) in the period of the last 5 years, the volatility of 46% of ProShares UltraShort Basic Materials is greater, thus worse.
  • During the last 3 years, the 30 days standard deviation is 52.4%, which is greater, thus worse than the value of 22.3% from the benchmark.

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:
  • Compared with the benchmark SPY (13.7%) in the period of the last 5 years, the downside volatility of 31.9% of ProShares UltraShort Basic Materials is higher, thus worse.
  • Looking at downside risk in of 35.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.5%).

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.'

Which means for our asset as example:
  • Looking at the Sharpe Ratio of -0.68 in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.56)
  • Compared with SPY (0.39) in the period of the last 3 years, the Sharpe Ratio of -0.45 is lower, 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.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of -0.99 in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.77)
  • Compared with SPY (0.52) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.65 is lower, 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.'

Which means for our asset as example:
  • The Ulcer Ratio over 5 years of ProShares UltraShort Basic Materials is 63 , which is higher, thus worse compared to the benchmark SPY (5.78 ) in the same period.
  • During the last 3 years, the Downside risk index is 33 , which is higher, thus worse than the value of 7.08 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -85.9 days of ProShares UltraShort Basic Materials is lower, thus worse.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -74.6 days is lower, thus worse.

MaxDuration:

'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 (139 days) in the period of the last 5 years, the maximum days below previous high of 1179 days of ProShares UltraShort Basic Materials is greater, thus worse.
  • Looking at maximum days under water in of 304 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days below previous high of 556 days of ProShares UltraShort Basic Materials is larger, thus worse.
  • Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 123 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal 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.