ProShares S&P Technology Dividend Aristocrats ETF (TDV)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (154.3%) in the period of the last 5 years, the total return, or performance of 157.3% of ProShares S&P Technology Dividend Aristocrats ETF is greater, thus better.
• Looking at total return, or increase in value in of 25.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (32.9%).

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.'

• Compared with the benchmark SPY (20.6%) in the period of the last 5 years, the annual performance (CAGR) of 20.9% of ProShares S&P Technology Dividend Aristocrats ETF is larger, thus better.
• Compared with SPY (10%) in the period of the last 3 years, the annual return (CAGR) of 7.9% is lower, 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.'

• The 30 days standard deviation over 5 years of ProShares S&P Technology Dividend Aristocrats ETF is 21.7%, which is higher, thus worse compared to the benchmark SPY (18.4%) in the same period.
• Compared with SPY (17%) in the period of the last 3 years, the volatility of 20.1% is higher, thus worse.

DownVol:

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

• Looking at the downside risk of 14.4% in the last 5 years of ProShares S&P Technology Dividend Aristocrats ETF, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.4%)
• Compared with SPY (12%) in the period of the last 3 years, the downside volatility of 13.9% is greater, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the Sharpe Ratio of 0.85 in the last 5 years of ProShares S&P Technology Dividend Aristocrats ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.99)
• Looking at risk / return profile (Sharpe) in of 0.27 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.44).

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.'

• The downside risk / excess return profile over 5 years of ProShares S&P Technology Dividend Aristocrats ETF is 1.28, which is smaller, thus worse compared to the benchmark SPY (1.46) in the same period.
• Compared with SPY (0.62) in the period of the last 3 years, the downside risk / excess return profile of 0.39 is smaller, thus worse.

Ulcer:

'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.'

• Looking at the Downside risk index of 7.79 in the last 5 years of ProShares S&P Technology Dividend Aristocrats ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.29 )
• During the last 3 years, the Downside risk index is 7.4 , which is lower, thus better than the value of 8.63 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -25.1 days in the last 5 years of ProShares S&P Technology Dividend Aristocrats ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -21.5 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-22.1 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.'

• Looking at the maximum time in days below previous high water mark of 376 days in the last 5 years of ProShares S&P Technology Dividend Aristocrats ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days below previous high of 298 days is lower, thus better.

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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 76 days of ProShares S&P Technology Dividend Aristocrats ETF is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 78 days, which is smaller, thus better than the value of 89 days from the benchmark.