'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.'

Which means for our asset as example:- Looking at the total return of -61% in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively lower, thus worse in comparison to the benchmark SPY (74.2%)
- During the last 3 years, the total return, or performance is -39.8%, which is lower, thus worse than the value of 50.1% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of -21.1% in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (11.8%)
- During the last 3 years, the annual return (CAGR) is -18%, which is lower, thus worse than the value of 14.5% from the benchmark.

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the 30 days standard deviation of 27.7% of ProShares UltraShort Consumer Goods is larger, thus worse.
- Compared with SPY (13%) in the period of the last 3 years, the volatility of 26.1% is greater, thus worse.

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

Which means for our asset as example:- Looking at the downside deviation of 19.5% in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.6%)
- Looking at downside deviation in of 17.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (9.4%).

'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 (0.69) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.85 of ProShares UltraShort Consumer Goods is lower, thus worse.
- Compared with SPY (0.93) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.78 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- The downside risk / excess return profile over 5 years of ProShares UltraShort Consumer Goods is -1.21, which is smaller, thus worse compared to the benchmark SPY (0.96) in the same period.
- During the last 3 years, the ratio of annual return and downside deviation is -1.15, which is lower, thus worse than the value of 1.27 from the benchmark.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of ProShares UltraShort Consumer Goods is 42 , which is higher, thus worse compared to the benchmark SPY (3.97 ) in the same period.
- Looking at Ulcer Index in of 24 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.1 ).

'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.'

Which means for our asset as example:- Looking at the maximum reduction from previous high of -64 days in the last 5 years of ProShares UltraShort Consumer Goods, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
- Looking at maximum reduction from previous high in of -49 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

'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'

Using this definition on our asset we see for example:- Looking at the maximum days under water of 938 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)
- During the last 3 years, the maximum days under water is 291 days, which is greater, thus worse than the value of 139 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The average time in days below previous high water mark over 5 years of ProShares UltraShort Consumer Goods is 443 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
- During the last 3 years, the average days below previous high is 118 days, which is higher, thus worse than the value of 37 days from the benchmark.

Historical returns have been extended using synthetic data.
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- 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.