Description of ProShares UltraShort Consumer Goods

ProShares UltraShort Consumer Goods ETF

Statistics of ProShares UltraShort Consumer Goods (YTD)

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

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (68.2%) in the period of the last 5 years, the total return, or performance of -58.6% of ProShares UltraShort Consumer Goods is lower, thus worse.
  • Looking at total return, or performance in of -27.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (47.7%).

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.'

Using this definition on our asset we see for example:
  • Looking at the compounded annual growth rate (CAGR) of -16.2% in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11%)
  • During the last 3 years, the annual return (CAGR) is -10.1%, which is smaller, thus worse than the value of 13.9% 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (13.2%) in the period of the last 5 years, the volatility of 24.4% of ProShares UltraShort Consumer Goods is greater, thus worse.
  • Looking at historical 30 days volatility in of 24.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.4%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.6%) in the period of the last 5 years, the downside volatility of 27.5% of ProShares UltraShort Consumer Goods is greater, thus worse.
  • Looking at downside volatility in of 25% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (14%).

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:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.77 of ProShares UltraShort Consumer Goods is smaller, thus worse.
  • Looking at risk / return profile (Sharpe) in of -0.52 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.92).

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:
  • The ratio of annual return and downside deviation over 5 years of ProShares UltraShort Consumer Goods is -0.68, which is smaller, thus worse compared to the benchmark SPY (0.58) in the same period.
  • Looking at downside risk / excess return profile in of -0.51 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.81).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of ProShares UltraShort Consumer Goods is 45 , which is greater, thus better compared to the benchmark SPY (3.95 ) in the same period.
  • Looking at Ulcer Ratio in of 22 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (4 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -63.6 days of ProShares UltraShort Consumer Goods is lower, thus worse.
  • During the last 3 years, the maximum reduction from previous high is -37 days, which is smaller, thus worse than the value of -19.3 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.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of ProShares UltraShort Consumer Goods is 1243 days, which is greater, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (131 days) in the period of the last 3 years, the maximum days below previous high of 751 days is higher, thus worse.

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.'

Which means for our asset as example:
  • Looking at the average time in days below previous high water mark of 616 days in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively greater, thus worse in comparison to the benchmark SPY (39 days)
  • Compared with SPY (33 days) in the period of the last 3 years, the average days under water of 375 days is larger, thus worse.

Performance of ProShares UltraShort Consumer Goods (YTD)

Historical returns have been extended using synthetic data.

Allocations of ProShares UltraShort Consumer Goods
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Allocations

Returns of ProShares UltraShort Consumer Goods (%)

  • "Year" returns in the table above are not equal to 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.