ProShares Ultra 20+ Year Treasury (UBT)

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 (87.2%) in the period of the last 5 years, the total return, or performance of -63.9% of ProShares Ultra 20+ Year Treasury is smaller, thus worse.
• Looking at total return in of -27.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (77.7%).

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.'

• The annual performance (CAGR) over 5 years of ProShares Ultra 20+ Year Treasury is -18.5%, which is smaller, thus worse compared to the benchmark SPY (13.4%) in the same period.
• Looking at annual return (CAGR) in of -10.2% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (21.2%).

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.'

• Compared with the benchmark SPY (17.1%) in the period of the last 5 years, the historical 30 days volatility of 31.3% of ProShares Ultra 20+ Year Treasury is higher, thus worse.
• Compared with SPY (15.2%) in the period of the last 3 years, the 30 days standard deviation of 27.4% 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 22.7% in the last 5 years of ProShares Ultra 20+ Year Treasury, we see it is relatively larger, thus worse in comparison to the benchmark SPY (11.8%)
• Compared with SPY (10.2%) in the period of the last 3 years, the downside volatility of 19.9% 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.'

• The risk / return profile (Sharpe) over 5 years of ProShares Ultra 20+ Year Treasury is -0.67, which is lower, thus worse compared to the benchmark SPY (0.64) in the same period.
• Compared with SPY (1.23) in the period of the last 3 years, the Sharpe Ratio of -0.47 is smaller, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the downside risk / excess return profile of -0.93 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 (0.92)
• Compared with SPY (1.83) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.64 is lower, 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 Downside risk index of 58 of ProShares Ultra 20+ Year Treasury is higher, thus worse.
• Looking at Ulcer Ratio in of 24 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.51 ).

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 -72.5 days of ProShares Ultra 20+ Year Treasury is smaller, thus worse.
• Looking at maximum reduction from previous high in of -36.6 days in the period of the last 3 years, we see it is relatively smaller, 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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 1134 days of ProShares Ultra 20+ Year Treasury is higher, thus worse.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 747 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.'

• The average days under water over 5 years of ProShares Ultra 20+ Year Treasury is 518 days, which is larger, thus worse compared to the benchmark SPY (119 days) in the same period.
• Looking at average time in days below previous high water mark in of 373 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (20 days).