Description of ProShares UltraShort Yen New

ProShares UltraShort Yen New ETF

Statistics of ProShares UltraShort Yen New (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or increase in value of 3.1% in the last 5 years of ProShares UltraShort Yen New, we see it is relatively lower, thus worse in comparison to the benchmark SPY (65.8%)
  • Compared with SPY (48.8%) in the period of the last 3 years, the total return, or increase in value of 20.8% is lower, thus worse.

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.'

Which means for our asset as example:
  • Looking at the annual performance (CAGR) of 0.6% in the last 5 years of ProShares UltraShort Yen New, we see it is relatively lower, thus worse in comparison to the benchmark SPY (10.6%)
  • Compared with SPY (14.2%) in the period of the last 3 years, the annual return (CAGR) of 6.5% is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of ProShares UltraShort Yen New is 17.9%, which is higher, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • Looking at 30 days standard deviation in of 15.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (12.8%).

DownVol:

'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:
  • Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 19.1% of ProShares UltraShort Yen New is larger, thus worse.
  • Compared with SPY (14.6%) in the period of the last 3 years, the downside volatility of 15.7% is larger, 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.'

Which means for our asset as example:
  • The risk / return profile (Sharpe) over 5 years of ProShares UltraShort Yen New is -0.11, which is smaller, thus worse compared to the benchmark SPY (0.6) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.26, which is smaller, thus worse than the value of 0.91 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of -0.1 in the last 5 years of ProShares UltraShort Yen New, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.54)
  • During the last 3 years, the excess return divided by the downside deviation is 0.26, which is lower, thus worse than the value of 0.8 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 22 in the last 5 years of ProShares UltraShort Yen New, we see it is relatively greater, thus worse in comparison to the benchmark SPY (4.03 )
  • Looking at Ulcer Index in of 9.97 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (4.1 ).

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.'

Which means for our asset as example:
  • Looking at the maximum drop from peak to valley of -39.3 days in the last 5 years of ProShares UltraShort Yen New, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
  • Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -20.4 days is lower, 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days under water of 1077 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 (187 days)
  • Looking at maximum time in days below previous high water mark in of 690 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 days).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of 479 days of ProShares UltraShort Yen New is greater, thus worse.
  • Looking at average days below previous high in of 326 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (35 days).

Performance of ProShares UltraShort Yen New (YTD)

Historical returns have been extended using synthetic data.

Allocations of ProShares UltraShort Yen New
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Allocations

Returns of ProShares UltraShort Yen New (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of ProShares UltraShort Yen New 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.