Description of ProShares UltraShort Basic Materials

ProShares UltraShort Basic Materials ETF

Statistics of ProShares UltraShort Basic Materials (YTD)

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TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • Compared with the benchmark SPY (74.4%) in the period of the last 5 years, the total return of -62.6% of ProShares UltraShort Basic Materials is lower, thus worse.
  • During the last 3 years, the total return, or performance is -39.5%, which is smaller, thus worse than the value of 48.6% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of ProShares UltraShort Basic Materials is -18%, which is lower, thus worse compared to the benchmark SPY (11.8%) in the same period.
  • Compared with SPY (14.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -15.6% is lower, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 35.1% of ProShares UltraShort Basic Materials is larger, thus worse.
  • During the last 3 years, the historical 30 days volatility is 32.6%, which is greater, thus worse than the value of 12.8% from the benchmark.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside risk of 33.5% of ProShares UltraShort Basic Materials is higher, thus worse.
  • During the last 3 years, the downside risk is 30.8%, which is higher, thus worse than the value of 14.6% from the benchmark.

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:
  • The Sharpe Ratio over 5 years of ProShares UltraShort Basic Materials is -0.59, which is lower, thus worse compared to the benchmark SPY (0.69) in the same period.
  • Compared with SPY (0.91) in the period of the last 3 years, the Sharpe Ratio of -0.56 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:
  • The ratio of annual return and downside deviation over 5 years of ProShares UltraShort Basic Materials is -0.61, which is smaller, thus worse compared to the benchmark SPY (0.63) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is -0.59, which is smaller, thus worse than the value of 0.79 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 56 of ProShares UltraShort Basic Materials is greater, thus worse.
  • Looking at Ulcer Index in of 32 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.09 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -74.4 days of ProShares UltraShort Basic Materials is lower, thus worse.
  • During the last 3 years, the maximum DrawDown is -44.7 days, which is lower, thus worse than the value of -19.3 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Which means for our asset as example:
  • The maximum days below previous high over 5 years of ProShares UltraShort Basic Materials is 971 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Looking at maximum days under water in of 731 days in the period of the last 3 years, we see it is relatively greater, 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.'

Using this definition on our asset we see for example:
  • The average days below previous high over 5 years of ProShares UltraShort Basic Materials is 394 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
  • During the last 3 years, the average days below previous high is 363 days, which is greater, thus worse than the value of 36 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 (%)

  • 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.