'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.'

Which means for our asset as example:- Compared with the benchmark SPY (88.1%) in the period of the last 5 years, the total return, or increase in value of 129.9% of ProShares Ultra Gold is larger, thus better.
- Compared with SPY (26.1%) in the period of the last 3 years, the total return, or increase in value of 43.1% is greater, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 18.1% of ProShares Ultra Gold is greater, thus better.
- Looking at annual return (CAGR) in of 12.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (8.1%).

'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.'

Which means for our asset as example:- The volatility over 5 years of ProShares Ultra Gold is 30.9%, which is higher, thus worse compared to the benchmark SPY (20.9%) in the same period.
- Looking at volatility in of 27.8% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (17.3%).

'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.'

Which means for our asset as example:- The downside risk over 5 years of ProShares Ultra Gold is 21.4%, which is higher, thus worse compared to the benchmark SPY (15%) in the same period.
- Compared with SPY (12.1%) in the period of the last 3 years, the downside risk of 19% is greater, thus worse.

'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.'

Applying this definition to our asset in some examples:- Looking at the Sharpe Ratio of 0.51 in the last 5 years of ProShares Ultra Gold, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.52)
- Compared with SPY (0.32) in the period of the last 3 years, the Sharpe Ratio of 0.37 is larger, thus better.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.73) in the period of the last 5 years, the downside risk / excess return profile of 0.73 of ProShares Ultra Gold is higher, thus better.
- During the last 3 years, the ratio of annual return and downside deviation is 0.54, which is larger, thus better than the value of 0.46 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The Downside risk 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.
- Looking at Ulcer Index in of 20 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

Using this definition on our asset we see for example:- The maximum reduction from previous high over 5 years of ProShares Ultra Gold is -46.2 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- 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 smaller, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum days under water of 928 days in the last 5 years of ProShares Ultra Gold, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
- Compared with SPY (488 days) in the period of the last 3 years, the maximum days under water of 518 days is larger, thus worse.

'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.'

Which means for our asset as example:- The average days below previous high over 5 years of ProShares Ultra Gold is 365 days, which is greater, thus worse compared to the benchmark SPY (123 days) in the same period.
- Looking at average days below previous high in of 209 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (179 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of ProShares Ultra Gold are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.