ProShares S&P Technology Dividend Aristocrats ETF (TDV)

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.'

• Compared with the benchmark SPY (83%) in the period of the last 5 years, the total return of 72.9% of ProShares S&P Technology Dividend Aristocrats ETF is lower, thus worse.
• During the last 3 years, the total return, or increase in value is 65.2%, which is lower, thus worse than the value of 81.5% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of ProShares S&P Technology Dividend Aristocrats ETF is 11.6%, which is lower, thus worse compared to the benchmark SPY (12.9%) in the same period.
• During the last 3 years, the annual return (CAGR) is 18.3%, which is lower, thus worse than the value of 22.1% 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.'

• Looking at the volatility of 21% in the last 5 years of ProShares S&P Technology Dividend Aristocrats ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (17.1%)
• During the last 3 years, the volatility is 20.2%, which is higher, thus worse than the value of 15.3% from the benchmark.

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.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside volatility of 14.4% of ProShares S&P Technology Dividend Aristocrats ETF is greater, thus worse.
• Looking at downside risk in of 13.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.2%).

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.'

• The Sharpe Ratio over 5 years of ProShares S&P Technology Dividend Aristocrats ETF is 0.44, which is lower, thus worse compared to the benchmark SPY (0.61) in the same period.
• Compared with SPY (1.28) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.78 is smaller, thus worse.

Sortino:

'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.'

• Compared with the benchmark SPY (0.88) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.63 of ProShares S&P Technology Dividend Aristocrats ETF is lower, thus worse.
• Compared with SPY (1.93) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.14 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.'

• Compared with the benchmark SPY (8.45 ) in the period of the last 5 years, the Ulcer Ratio of 8.19 of ProShares S&P Technology Dividend Aristocrats ETF is lower, thus better.
• Compared with SPY (3.22 ) in the period of the last 3 years, the Ulcer Index of 4.53 is greater, thus worse.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -25.1 days of ProShares S&P Technology Dividend Aristocrats ETF is lower, thus worse.
• Looking at maximum DrawDown in of -22.5 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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 days under water 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)
• Looking at maximum time in days below previous high water mark in of 95 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (87 days).

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.'

• The average days below previous high over 5 years of ProShares S&P Technology Dividend Aristocrats ETF is 80 days, which is lower, thus better compared to the benchmark SPY (118 days) in the same period.
• Looking at average days under water in of 25 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17 days).