Description

The investment seeks daily investment results, before fees and expenses, that correspond to two times the inverse (-2x) of the daily performance of the Dow Jones U.S. Basic MaterialsSM Index. The fund invests in financial instruments that ProShare Advisors believes, in combination, should produce daily returns consistent with the fund's investment objective. The index seeks to measure the performance of certain companies in the basic materials sector of the U.S. equity market. The fund is non-diversified.

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:
  • Looking at the total return, or performance of -86.9% in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (133.2%)
  • During the last 3 years, the total return is -80.6%, which is lower, thus worse than the value of 80.4% from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the annual return (CAGR) of -33.4% in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (18.5%)
  • Looking at compounded annual growth rate (CAGR) in of -42.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (21.8%).

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:
  • The volatility over 5 years of ProShares UltraShort Basic Materials is 46.1%, which is higher, thus worse compared to the benchmark SPY (18.7%) in the same period.
  • During the last 3 years, the 30 days standard deviation is 54.4%, which is larger, thus worse than the value of 22.4% 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 (13.6%) in the period of the last 5 years, the downside risk of 32.4% of ProShares UltraShort Basic Materials is greater, thus worse.
  • Looking at downside risk in of 38.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (16.2%).

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.'

Applying this definition to our asset in some examples:
  • The ratio of return and volatility (Sharpe) over 5 years of ProShares UltraShort Basic Materials is -0.78, which is smaller, thus worse compared to the benchmark SPY (0.85) in the same period.
  • Compared with SPY (0.86) in the period of the last 3 years, the Sharpe Ratio of -0.82 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.'

Applying this definition to our asset in some examples:
  • Looking at the ratio of annual return and downside deviation of -1.11 in the last 5 years of ProShares UltraShort Basic Materials, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.18)
  • Compared with SPY (1.19) in the period of the last 3 years, the ratio of annual return and downside deviation of -1.16 is smaller, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.59 ) in the period of the last 5 years, the Ulcer Ratio of 56 of ProShares UltraShort Basic Materials is higher, thus worse.
  • Looking at Downside risk index in of 60 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (6.36 ).

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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -88 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 (-33.7 days)
  • During the last 3 years, the maximum drop from peak to valley is -88 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 848 days of ProShares UltraShort Basic Materials is higher, thus worse.
  • Looking at maximum time in days below previous high water mark in of 404 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (119 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 352 days, which is larger, thus worse compared to the benchmark SPY (32 days) in the same period.
  • Looking at average days below previous high in of 173 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (25 days).

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.