ProShares UltraShort Consumer Goods (SZK)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• The total return, or increase in value over 5 years of ProShares UltraShort Consumer Goods is -13.7%, which is lower, thus worse compared to the benchmark SPY (82%) in the same period.
• Compared with SPY (76.6%) in the period of the last 3 years, the total return, or performance of -21.1% 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.'

• Compared with the benchmark SPY (12.8%) in the period of the last 5 years, the annual performance (CAGR) of -2.9% of ProShares UltraShort Consumer Goods is lower, thus worse.
• Compared with SPY (21%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -7.6% is smaller, 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.'

• Looking at the historical 30 days volatility of 32.1% in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.2%)
• Compared with SPY (15.3%) in the period of the last 3 years, the 30 days standard deviation of 25.6% is larger, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside deviation of 22.3% of ProShares UltraShort Consumer Goods is larger, thus worse.
• During the last 3 years, the downside volatility is 18.3%, which is higher, thus worse than the value of 10.3% 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.'

• Looking at the ratio of return and volatility (Sharpe) of -0.17 in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.6)
• Compared with SPY (1.21) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.4 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.'

• The downside risk / excess return profile over 5 years of ProShares UltraShort Consumer Goods is -0.24, which is lower, thus worse compared to the benchmark SPY (0.87) in the same period.
• Looking at excess return divided by the downside deviation in of -0.55 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.8).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of ProShares UltraShort Consumer Goods is 24 , which is higher, thus worse compared to the benchmark SPY (8.45 ) in the same period.
• Compared with SPY (3.36 ) in the period of the last 3 years, the Ulcer Index of 27 is greater, thus worse.

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.'

• Looking at the maximum reduction from previous high of -41.8 days in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -41.8 days is smaller, thus worse.

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.'

• Looking at the maximum days under water of 729 days in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 729 days, which is greater, thus worse than the value of 87 days from the benchmark.

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 days under water of 247 days in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively higher, thus worse in comparison to the benchmark SPY (118 days)
• During the last 3 years, the average days below previous high is 359 days, which is larger, thus worse than the value of 17 days from the benchmark.