ProShares UltraShort Consumer Goods (SZK)

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, or performance over 5 years of ProShares UltraShort Consumer Goods is -67.9%, which is lower, thus worse compared to the benchmark SPY (101.9%) in the same period.
• During the last 3 years, the total return, or increase in value is 20.2%, which is lower, thus worse than the value of 33.5% from the benchmark.

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 UltraShort Consumer Goods is -20.4%, which is smaller, thus worse compared to the benchmark SPY (15.1%) in the same period.
• Looking at annual performance (CAGR) in of 6.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (10.1%).

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 40.2% in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively higher, thus worse in comparison to the benchmark SPY (21%)
• Looking at volatility in of 33.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

DownVol:

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

• The downside risk over 5 years of ProShares UltraShort Consumer Goods is 27.8%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
• Looking at downside risk in of 22.8% 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.'

• Looking at the risk / return profile (Sharpe) of -0.57 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)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.11, which is lower, thus worse than the value of 0.44 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.'

• Compared with the benchmark SPY (0.84) in the period of the last 5 years, the downside risk / excess return profile of -0.82 of ProShares UltraShort Consumer Goods is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is 0.17, which is lower, thus worse than the value of 0.62 from the benchmark.

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.'

• Looking at the Ulcer Ratio of 75 in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively higher, thus worse in comparison to the benchmark SPY (9.32 )
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 19 is larger, thus worse.

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.'

• The maximum DrawDown over 5 years of ProShares UltraShort Consumer Goods is -85.8 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -34.8 days, which is smaller, thus worse than the value of -24.5 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 1198 days of ProShares UltraShort Consumer Goods is greater, thus worse.
• During the last 3 years, the maximum days under water is 302 days, which is smaller, thus better than the value of 488 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 below previous high of 579 days in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively larger, thus worse in comparison to the benchmark SPY (122 days)
• Looking at average days below previous high in of 109 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (177 days).