'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:- Looking at the total return, or performance of 38.7% in the last 5 years of ProShares UltraShort Yen New, we see it is relatively lower, thus worse in comparison to the benchmark SPY (81.9%)
- Compared with SPY (46.1%) in the period of the last 3 years, the total return, or performance of 37.2% is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of 6.8% in the last 5 years of ProShares UltraShort Yen New, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.7%)
- During the last 3 years, the annual return (CAGR) is 11.1%, which is smaller, thus worse than the value of 13.5% from the benchmark.

'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 historical 30 days volatility over 5 years of ProShares UltraShort Yen New is 14.6%, which is smaller, thus better compared to the benchmark SPY (19.8%) in the same period.
- During the last 3 years, the volatility is 15.2%, which is lower, thus better than the value of 23% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (14.5%) in the period of the last 5 years, the downside volatility of 10.1% of ProShares UltraShort Yen New is lower, thus better.
- Compared with SPY (16.8%) in the period of the last 3 years, the downside volatility of 10.3% is lower, thus better.

'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.'

Which means for our asset as example:- The risk / return profile (Sharpe) over 5 years of ProShares UltraShort Yen New is 0.29, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
- Compared with SPY (0.48) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.57 is higher, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the ratio of annual return and downside deviation of 0.42 in the last 5 years of ProShares UltraShort Yen New, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.7)
- Compared with SPY (0.65) in the period of the last 3 years, the downside risk / excess return profile of 0.83 is greater, thus better.

'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:- Compared with the benchmark SPY (6.08 ) in the period of the last 5 years, the Ulcer Ratio of 7.43 of ProShares UltraShort Yen New is greater, thus worse.
- Compared with SPY (6.77 ) in the period of the last 3 years, the Downside risk index of 8.04 is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- The maximum drop from peak to valley over 5 years of ProShares UltraShort Yen New is -17.8 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -17.8 days is greater, thus better.

'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'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of ProShares UltraShort Yen New is 417 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
- During the last 3 years, the maximum days under water is 417 days, which is larger, thus worse than the value of 119 days from the benchmark.

'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:- Looking at the average time in days below previous high water mark of 145 days in the last 5 years of ProShares UltraShort Yen New, we see it is relatively greater, thus worse in comparison to the benchmark SPY (35 days)
- During the last 3 years, the average days under water is 135 days, which is greater, thus worse than the value of 27 days from the benchmark.

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 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.