ProShares Ultra 20+ Year Treasury (UBT)

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.'

• Looking at the total return of -70.4% in the last 5 years of ProShares Ultra 20+ Year Treasury, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (109.2%)
• Looking at total return, or performance in of -30.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (77.9%).

CAGR:

'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.'

• Looking at the annual performance (CAGR) of -21.7% in the last 5 years of ProShares Ultra 20+ Year Treasury, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16%)
• Compared with SPY (21.3%) in the period of the last 3 years, the annual performance (CAGR) of -11.5% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 32% in the last 5 years of ProShares Ultra 20+ Year Treasury, we see it is relatively greater, thus worse in comparison to the benchmark SPY (17.3%)
• Looking at historical 30 days volatility in of 32.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.8%).

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 Ultra 20+ Year Treasury is 23.2%, which is greater, thus worse compared to the benchmark SPY (11.9%) in the same period.
• During the last 3 years, the downside risk is 23%, which is larger, thus worse than the value of 10.9% from the benchmark.

Sharpe:

'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.'

• The ratio of return and volatility (Sharpe) over 5 years of ProShares Ultra 20+ Year Treasury is -0.76, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.43, which is lower, thus worse than the value of 1.12 from the benchmark.

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.'

• Looking at the ratio of annual return and downside deviation of -1.04 in the last 5 years of ProShares Ultra 20+ Year Treasury, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.13)
• Looking at ratio of annual return and downside deviation in of -0.61 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.72).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Downside risk index over 5 years of ProShares Ultra 20+ Year Treasury is 56 , which is greater, thus worse compared to the benchmark SPY (8.43 ) in the same period.
• Compared with SPY (3.76 ) in the period of the last 3 years, the Ulcer Ratio of 28 is higher, 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -75.8 days of ProShares Ultra 20+ Year Treasury is lower, thus worse.
• During the last 3 years, the maximum DrawDown is -44.1 days, which is lower, thus worse than the value of -18.8 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 below previous high of 1248 days of ProShares Ultra 20+ Year Treasury is greater, thus worse.
• During the last 3 years, the maximum time in days below previous high water mark is 694 days, which is greater, thus worse than the value of 87 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.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average days below previous high of 624 days of ProShares Ultra 20+ Year Treasury is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 324 days, which is larger, thus worse than the value of 22 days from the benchmark.