ProShares Ultra Gold (UGL)

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.'

• Looking at the total return, or increase in value of 90.6% in the last 5 years of ProShares Ultra Gold, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (96.4%)
• Compared with SPY (28.9%) in the period of the last 3 years, the total return of 56.3% is larger, thus better.

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.'

• Compared with the benchmark SPY (14.5%) in the period of the last 5 years, the annual return (CAGR) of 13.8% of ProShares Ultra Gold is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 16.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (8.9%).

Volatility:

'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.'

• The historical 30 days volatility over 5 years of ProShares Ultra Gold is 31.8%, which is greater, thus worse compared to the benchmark SPY (21%) in the same period.
• Looking at 30 days standard deviation in of 29.4% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.5%).

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.'

• Looking at the downside risk of 22.4% in the last 5 years of ProShares Ultra Gold, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15%)
• Compared with SPY (12.3%) in the period of the last 3 years, the downside risk of 20.3% is higher, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the Sharpe Ratio of 0.35 of ProShares Ultra Gold is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of 0.46 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.36).

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.'

• Looking at the downside risk / excess return profile of 0.5 in the last 5 years of ProShares Ultra Gold, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.8)
• Looking at excess return divided by the downside deviation in of 0.67 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.52).

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 Ulcer Index over 5 years of ProShares Ultra Gold is 25 , which is larger, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• Compared with SPY (10 ) in the period of the last 3 years, the Downside risk index of 20 is larger, 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.'

• Looking at the maximum reduction from previous high of -46.2 days in the last 5 years of ProShares Ultra Gold, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum drop from peak to valley of -40.2 days is lower, thus worse.

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 under water of 950 days of ProShares Ultra Gold is higher, thus worse.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 518 days is higher, thus worse.

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 (122 days) in the period of the last 5 years, the average time in days below previous high water mark of 378 days of ProShares Ultra Gold is larger, thus worse.
• Compared with SPY (177 days) in the period of the last 3 years, the average days under water of 192 days is greater, thus worse.