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.'

• The total return over 5 years of ProShares Ultra S&P500 is 144.2%, which is greater, thus better compared to the benchmark SPY (94.2%) in the same period.
• Looking at total return, or performance in of 39% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (34.4%).

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.'

• Looking at the annual performance (CAGR) of 19.6% in the last 5 years of ProShares Ultra S&P500, we see it is relatively greater, thus better in comparison to the benchmark SPY (14.2%)
• During the last 3 years, the annual return (CAGR) is 11.6%, which is larger, thus better than the value of 10.4% from the benchmark.

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.'

• Compared with the benchmark SPY (21%) in the period of the last 5 years, the historical 30 days volatility of 42.4% of ProShares Ultra S&P500 is larger, thus worse.
• Looking at 30 days standard deviation in of 34.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

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.'

• The downside deviation over 5 years of ProShares Ultra S&P500 is 30.4%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
• Looking at downside risk in of 24.6% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.3%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of ProShares Ultra S&P500 is 0.4, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.26 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.45).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The downside risk / excess return profile over 5 years of ProShares Ultra S&P500 is 0.56, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• Compared with SPY (0.64) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.37 is lower, 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.'

• The Ulcer Ratio over 5 years of ProShares Ultra S&P500 is 21 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (8.87 ) in the period of the last 3 years, the Ulcer Index of 21 is higher, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -59.3 days of ProShares Ultra S&P500 is lower, thus worse.
• Looking at maximum DrawDown in of -43.6 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-22.4 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 higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 513 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (375 days).

AveDuration:

'The Average 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. 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.'

• Compared with the benchmark SPY (122 days) in the period of the last 5 years, the average time in days below previous high water mark of 144 days of ProShares Ultra S&P500 is higher, thus worse.
• During the last 3 years, the average days under water is 191 days, which is greater, thus worse than the value of 113 days from the benchmark.