ProShares Ultra S&P500 (SSO)

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.'

• Compared with the benchmark SPY (86.8%) in the period of the last 5 years, the total return, or increase in value of 131.8% of ProShares Ultra S&P500 is higher, thus better.
• Looking at total return, or performance in of 27.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (26.3%).

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 Ultra S&P500 is 18.3%, which is larger, thus better compared to the benchmark SPY (13.3%) in the same period.
• Compared with SPY (8.1%) in the period of the last 3 years, the annual return (CAGR) of 8.5% is greater, thus better.

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.'

• Looking at the historical 30 days volatility of 42.3% in the last 5 years of ProShares Ultra S&P500, we see it is relatively larger, thus worse in comparison to the benchmark SPY (20.9%)
• During the last 3 years, the 30 days standard deviation is 34.5%, which is higher, thus worse than the value of 17.3% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Looking at the downside deviation of 30.3% in the last 5 years of ProShares Ultra S&P500, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• Looking at downside risk in of 24.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.1%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark SPY (0.52) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.37 of ProShares Ultra S&P500 is smaller, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of 0.17 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.32).

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 ratio of annual return and downside deviation of 0.52 in the last 5 years of ProShares Ultra S&P500, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.72)
• Looking at downside risk / excess return profile in of 0.25 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.46).

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.'

• Looking at the Ulcer Ratio of 21 in the last 5 years of ProShares Ultra S&P500, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.33 )
• Looking at Downside risk index in of 24 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (10 ).

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.'

• The maximum drop from peak to valley over 5 years of ProShares Ultra S&P500 is -59.3 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -46.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 days).

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.'

• The maximum days under water over 5 years of ProShares Ultra S&P500 is 541 days, which is larger, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 541 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (488 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.'

• Looking at the average time in days below previous high water mark of 145 days in the last 5 years of ProShares Ultra S&P500, we see it is relatively greater, thus worse in comparison to the benchmark SPY (122 days)
• Compared with SPY (178 days) in the period of the last 3 years, the average days under water of 212 days is larger, thus worse.