ProShares UltraShort Yen New (YCS)

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.'

• Looking at the total return, or performance of 78.3% in the last 5 years of ProShares UltraShort Yen New, we see it is relatively higher, thus better in comparison to the benchmark SPY (68.1%)
• Compared with SPY (47%) in the period of the last 3 years, the total return of 72.2% is higher, thus better.

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 compounded annual growth rate (CAGR) over 5 years of ProShares UltraShort Yen New is 12.3%, which is higher, thus better compared to the benchmark SPY (11%) in the same period.
• Looking at annual performance (CAGR) in of 19.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.7%).

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.'

• Compared with the benchmark SPY (21.4%) in the period of the last 5 years, the historical 30 days volatility of 17.4% of ProShares UltraShort Yen New is smaller, thus better.
• During the last 3 years, the volatility is 18.5%, which is smaller, thus better than the value of 18.7% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside deviation over 5 years of ProShares UltraShort Yen New is 12.4%, which is lower, thus better compared to the benchmark SPY (15.4%) in the same period.
• Looking at downside deviation in of 13.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (13.3%).

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.'

• Looking at the risk / return profile (Sharpe) of 0.56 in the last 5 years of ProShares UltraShort Yen New, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.4)
• Looking at Sharpe Ratio in of 0.93 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.6).

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.'

• Compared with the benchmark SPY (0.55) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.79 of ProShares UltraShort Yen New is higher, thus better.
• Compared with SPY (0.84) in the period of the last 3 years, the downside risk / excess return profile of 1.31 is higher, thus better.

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 (9.45 ) in the period of the last 5 years, the Ulcer Index of 9.28 of ProShares UltraShort Yen New is smaller, thus better.
• During the last 3 years, the Downside risk index is 9.4 , which is lower, thus better than the value of 10 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -27.3 days in the last 5 years of ProShares UltraShort Yen New, we see it is relatively higher, thus better 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 DrawDown of -27.3 days is smaller, thus worse.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (351 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 417 days of ProShares UltraShort Yen New is higher, thus worse.
• During the last 3 years, the maximum days under water is 204 days, which is lower, thus better than the value of 351 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.'

• Looking at the average time in days below previous high water mark of 137 days in the last 5 years of ProShares UltraShort Yen New, we see it is relatively higher, thus worse in comparison to the benchmark SPY (78 days)
• Looking at average time in days below previous high water mark in of 55 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (101 days).