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^SP500TR vs. DDM
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^SP500TRDDM
YTD Return21.02%20.29%
1Y Return31.70%42.18%
3Y Return (Ann)11.20%11.32%
5Y Return (Ann)15.70%14.43%
10Y Return (Ann)13.19%17.36%
Sharpe Ratio2.381.92
Daily Std Dev12.80%21.63%
Max Drawdown-55.25%-81.70%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.9

The correlation between ^SP500TR and DDM is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

^SP500TR vs. DDM - Performance Comparison

The year-to-date returns for both stocks are quite close, with ^SP500TR having a 21.02% return and DDM slightly lower at 20.29%. Over the past 10 years, ^SP500TR has underperformed DDM with an annualized return of 13.19%, while DDM has yielded a comparatively higher 17.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
9.75%
8.96%
^SP500TR
DDM

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Risk-Adjusted Performance

^SP500TR vs. DDM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and ProShares Ultra Dow30 (DDM). 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.


^SP500TR
Sharpe ratio
The chart of Sharpe ratio for ^SP500TR, currently valued at 2.38, compared to the broader market0.001.002.002.38
Sortino ratio
The chart of Sortino ratio for ^SP500TR, currently valued at 3.19, compared to the broader market-1.000.001.002.003.003.19
Omega ratio
The chart of Omega ratio for ^SP500TR, currently valued at 1.43, compared to the broader market1.001.201.401.43
Calmar ratio
The chart of Calmar ratio for ^SP500TR, currently valued at 2.63, compared to the broader market0.001.002.003.004.005.002.63
Martin ratio
The chart of Martin ratio for ^SP500TR, currently valued at 14.22, compared to the broader market0.005.0010.0015.0020.0014.22
DDM
Sharpe ratio
The chart of Sharpe ratio for DDM, currently valued at 1.92, compared to the broader market0.001.002.001.92
Sortino ratio
The chart of Sortino ratio for DDM, currently valued at 2.52, compared to the broader market-1.000.001.002.003.002.52
Omega ratio
The chart of Omega ratio for DDM, currently valued at 1.33, compared to the broader market1.001.201.401.33
Calmar ratio
The chart of Calmar ratio for DDM, currently valued at 1.52, compared to the broader market0.001.002.003.004.005.001.52
Martin ratio
The chart of Martin ratio for DDM, currently valued at 9.06, compared to the broader market0.005.0010.0015.0020.009.06

^SP500TR vs. DDM - Sharpe Ratio Comparison

The current ^SP500TR Sharpe Ratio is 2.38, which roughly equals the DDM Sharpe Ratio of 1.92. The chart below compares the 12-month rolling Sharpe Ratio of ^SP500TR and DDM.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
2.38
1.92
^SP500TR
DDM

Drawdowns

^SP500TR vs. DDM - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, smaller than the maximum DDM drawdown of -81.70%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and DDM. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember00
^SP500TR
DDM

Volatility

^SP500TR vs. DDM - Volatility Comparison

The current volatility for S&P 500 Total Return (^SP500TR) is 4.31%, while ProShares Ultra Dow30 (DDM) has a volatility of 6.24%. This indicates that ^SP500TR experiences smaller price fluctuations and is considered to be less risky than DDM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
4.31%
6.24%
^SP500TR
DDM