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.'

• Compared with the benchmark SPY (143%) in the period of the last 5 years, the total return, or increase in value of 141.5% of ProShares UltraShort Yen New is smaller, thus worse.
• Compared with SPY (39%) in the period of the last 3 years, the total return, or increase in value of 100.2% is greater, 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.'

• Compared with the benchmark SPY (19.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 19.4% of ProShares UltraShort Yen New is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is 26.2%, which is higher, thus better than the value of 11.7% from the benchmark.

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.'

• Compared with the benchmark SPY (19.6%) in the period of the last 5 years, the historical 30 days volatility of 20% of ProShares UltraShort Yen New is greater, thus worse.
• During the last 3 years, the volatility is 23.2%, which is larger, thus worse than the value of 17.1% from the benchmark.

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.'

• The downside risk over 5 years of ProShares UltraShort Yen New is 14.2%, which is greater, thus worse compared to the benchmark SPY (13.5%) in the same period.
• Looking at downside volatility in of 16.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12%).

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.'

• The risk / return profile (Sharpe) over 5 years of ProShares UltraShort Yen New is 0.84, which is lower, thus worse compared to the benchmark SPY (0.87) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.02 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.54).

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.'

• The excess return divided by the downside deviation over 5 years of ProShares UltraShort Yen New is 1.19, which is lower, thus worse compared to the benchmark SPY (1.26) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.42 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.77).

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 (8.32 ) in the period of the last 5 years, the Ulcer Ratio of 9.48 of ProShares UltraShort Yen New is higher, thus worse.
• During the last 3 years, the Ulcer Index is 10 , which is larger, thus worse than the value of 8.6 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 lower, thus worse in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -27.3 days, which is lower, thus worse than the value of -22.1 days from the benchmark.

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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 390 days of ProShares UltraShort Yen New is lower, thus better.
• Compared with SPY (325 days) in the period of the last 3 years, the maximum days below previous high of 204 days is lower, thus better.

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.'

• The average days below previous high over 5 years of ProShares UltraShort Yen New is 98 days, which is lower, thus better compared to the benchmark SPY (118 days) in the same period.
• Looking at average time in days below previous high water mark in of 52 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (90 days).