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. Consumer GoodsSM 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 stock performance of certain U.S. companies in the consumer goods sector of the U.S. equity market. The fund is non-diversified.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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:
  • The total return over 5 years of ProShares UltraShort Consumer Goods is -74.5%, which is smaller, thus worse compared to the benchmark SPY (78.4%) in the same period.
  • During the last 3 years, the total return, or performance is -70.9%, which is smaller, thus worse than the value of 44.1% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (12.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -23.9% of ProShares UltraShort Consumer Goods is lower, thus worse.
  • Compared with SPY (12.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -33.6% 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.'

Applying this definition to our asset in some examples:
  • Looking at the 30 days standard deviation of 38.3% in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively greater, thus worse in comparison to the benchmark SPY (19.9%)
  • During the last 3 years, the historical 30 days volatility is 44.7%, which is larger, thus worse than the value of 23.1% 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:
  • The downside risk over 5 years of ProShares UltraShort Consumer Goods is 26.3%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
  • Compared with SPY (16.9%) in the period of the last 3 years, the downside deviation of 30.8% is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Looking at the Sharpe Ratio of -0.69 in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.49)
  • During the last 3 years, the risk / return profile (Sharpe) is -0.81, which is lower, thus worse than the value of 0.45 from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.67) in the period of the last 5 years, the downside risk / excess return profile of -1.01 of ProShares UltraShort Consumer Goods is lower, thus worse.
  • Looking at ratio of annual return and downside deviation in of -1.17 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.62).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (6.16 ) in the period of the last 5 years, the Ulcer Index of 52 of ProShares UltraShort Consumer Goods is larger, thus worse.
  • Compared with SPY (6.87 ) in the period of the last 3 years, the Ulcer Index of 63 is higher, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -86.4 days of ProShares UltraShort Consumer Goods is lower, thus worse.
  • Looking at maximum DrawDown in of -85.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

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.'

Using this definition on our asset we see for example:
  • The maximum time in days below previous high water mark over 5 years of ProShares UltraShort Consumer Goods is 858 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
  • Looking at maximum time in days below previous high water mark in of 546 days in the period of the last 3 years, we see it is relatively higher, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (35 days) in the period of the last 5 years, the average days under water of 324 days of ProShares UltraShort Consumer Goods is greater, thus worse.
  • During the last 3 years, the average days under water is 226 days, which is higher, thus worse than the value of 27 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of ProShares UltraShort Consumer Goods 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.