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.'

Using this definition on our asset we see for example:
  • The total return, or increase in value over 5 years of ProShares UltraShort Consumer Goods is -55.2%, which is lower, thus worse compared to the benchmark SPY (67.1%) in the same period.
  • Compared with SPY (51.3%) in the period of the last 3 years, the total return, or increase in value of -38.4% is smaller, thus worse.

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:
  • The annual return (CAGR) over 5 years of ProShares UltraShort Consumer Goods is -19.1%, which is smaller, thus worse compared to the benchmark SPY (10.8%) in the same period.
  • Compared with SPY (14.8%) in the period of the last 3 years, the annual performance (CAGR) of -17.6% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the 30 days standard deviation of 28.5% of ProShares UltraShort Consumer Goods is greater, thus worse.
  • Compared with SPY (12.8%) in the period of the last 3 years, the volatility of 26.6% is greater, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (14.8%) in the period of the last 5 years, the downside risk of 26.5% of ProShares UltraShort Consumer Goods is larger, thus worse.
  • Compared with SPY (14.7%) in the period of the last 3 years, the downside deviation of 23.9% is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.62) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of -0.76 of ProShares UltraShort Consumer Goods is smaller, thus worse.
  • Looking at ratio of return and volatility (Sharpe) in of -0.76 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.96).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:
  • Looking at the ratio of annual return and downside deviation of -0.81 in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.56)
  • Compared with SPY (0.84) in the period of the last 3 years, the excess return divided by the downside deviation of -0.84 is smaller, thus worse.

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.'

Which means for our asset as example:
  • Looking at the Ulcer Ratio of 41 in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively higher, thus worse in comparison to the benchmark SPY (3.99 )
  • Looking at Downside risk index in of 26 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.1 ).

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.'

Using this definition on our asset we see for example:
  • The maximum drop from peak to valley over 5 years of ProShares UltraShort Consumer Goods is -56.9 days, which is smaller, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
  • During the last 3 years, the maximum DrawDown is -39.5 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). 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'

Which means for our asset as example:
  • Looking at the maximum days under water of 945 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 (187 days)
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 630 days is larger, thus worse.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days under water of 468 days of ProShares UltraShort Consumer Goods is higher, thus worse.
  • Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 316 days is higher, 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 (%)

  • 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.