^SML vs. SAA

Last updated Jun 3, 2026

^SML (S&P Small-Cap 600 Index) is an index, while SAA (ProShares Ultra SmallCap600) is Leveraged Equities fund tracking the S&P SmallCap 600 Index (200%). Over the past 10 years, ^SML returned 9.11%/yr vs 11.62%/yr for SAA. Their correlation of 0.93 suggests significant overlap in exposure.

Performance

^SML vs. SAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P Small-Cap 600 Index (^SML) and ProShares Ultra SmallCap600 (SAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^SML achieves a 15.58% return, which is significantly lower than SAA's 30.42% return. Over the past 10 years, ^SML has underperformed SAA with an annualized return of 9.11%, while SAA has yielded a comparatively higher 11.62% annualized return.

^SML

• 1D: 0.88%
• 1M: 1.41%
• YTD: 15.58%
• 6M: 15.88%
• 1Y: 32.63%
• 3Y*: 12.81%
• 5Y*: 4.20%
• 10Y*: 9.11%

SAA

• 1D: 1.62%
• 1M: 2.29%
• YTD: 30.42%
• 6M: 31.77%
• 1Y: 66.46%
• 3Y*: 18.34%
• 5Y*: 1.66%
• 10Y*: 11.62%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^SML vs. SAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^SML S&P Small-Cap 600 Index	15.58%	4.23%	6.82%	13.89%	-17.42%	25.27%	9.57%	20.86%	-9.75%	11.73%
SAA ProShares Ultra SmallCap600	30.42%	0.29%	5.60%	21.32%	-36.17%	51.77%	-1.79%	42.39%	-23.00%	23.94%

Correlation

The correlation between ^SML and SAA is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.99
Correlation (3Y) Calculated over the trailing 3-year period	0.98
Correlation (5Y) Calculated over the trailing 5-year period	0.99
Correlation (10Y) Calculated over the trailing 10-year period	0.94
Correlation (All Time) Calculated using the full available price history since Jan 26, 2007	0.93

The correlation between ^SML and SAA has been stable across timeframes, ranging from 0.93 to 0.99 - a consistent structural relationship.

Return for Risk

^SML vs. SAA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SML

^SML Risk / Return Rank: 70
^SML Sharpe Ratio Rank: 62
^SML Sortino Ratio Rank: 67
^SML Omega Ratio Rank: 63
^SML Calmar Ratio Rank: 85
^SML Martin Ratio Rank: 76

SAA

SAA Risk / Return Rank: 57
SAA Sharpe Ratio Rank: 53
SAA Sortino Ratio Rank: 52
SAA Omega Ratio Rank: 48
SAA Calmar Ratio Rank: 70
SAA Martin Ratio Rank: 62

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^SML vs. SAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P Small-Cap 600 Index (^SML) and ProShares Ultra SmallCap600 (SAA). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	^SML	SAA	Difference
Sharpe ratio Return per unit of total volatility	1.87	1.86	+0.01
Sortino ratio Return per unit of downside risk	2.71	2.54	+0.17
Omega ratio Gain probability vs. loss probability	1.32	1.30	+0.02
Calmar ratio Return relative to maximum drawdown	3.59	3.54	+0.05
Martin ratio Return relative to average drawdown	12.00	11.46	+0.54
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^SML vs. SAA - Sharpe Ratio Comparison

The current ^SML Sharpe Ratio is 1.87, which is comparable to the SAA Sharpe Ratio of 1.86. The chart below compares the historical Sharpe Ratios of ^SML and SAA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^SML	SAA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.87	1.86	+0.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.20	0.04	+0.16
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.39	0.25	+0.14
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	0.19	+0.23

Drawdowns

^SML vs. SAA - Drawdown Comparison

The maximum ^SML drawdown since its inception was -59.17%, smaller than the maximum SAA drawdown of -87.39%. Use the drawdown chart below to compare losses from any high point for ^SML and SAA.

Drawdown Indicators

	^SML	SAA	Difference
Max Drawdown Largest peak-to-trough decline	-59.17%	-87.39%	+28.22%
Max Drawdown (1Y) Largest decline over 1 year	-8.94%	-18.21%	+9.27%
Max Drawdown (3Y) Largest decline over 3 years	-28.39%	-50.84%	+22.45%
Max Drawdown (5Y) Largest decline over 5 years	-28.39%	-55.37%	+26.98%
Max Drawdown (10Y) Largest decline over 10 years	-45.77%	-74.54%	+28.77%
Current Drawdown Current decline from peak	-0.07%	-2.71%	+2.64%
Average Drawdown Average peak-to-trough decline	-9.51%	-27.43%	+17.92%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.67%	5.63%	-2.96%

Volatility

^SML vs. SAA - Volatility Comparison

The current volatility for S&P Small-Cap 600 Index (^SML) is 4.49%, while ProShares Ultra SmallCap600 (SAA) has a volatility of 8.75%. This indicates that ^SML experiences smaller price fluctuations and is considered to be less risky than SAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^SML	SAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.49%	8.75%	-4.26%
Volatility (6M) Calculated over the trailing 6-month period	11.71%	23.86%	-12.15%
Volatility (1Y) Calculated over the trailing 1-year period	17.56%	35.90%	-18.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.45%	43.53%	-22.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.20%	46.13%	-22.93%

Frequently Asked Questions

Can I hold both ^SML and SAA in my portfolio?

With a correlation of 0.99, ^SML and SAA move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ^SML or SAA?

SAA has higher volatility (8.75%) compared to ^SML (4.49%). In terms of maximum drawdown, ^SML dropped -59.17% vs SAA's -87.39%.

Which has better risk-adjusted returns?

^SML currently has the higher Sharpe Ratio (1.87 vs 1.86), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.