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BZQ vs. VTI
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BZQVTI
YTD Return40.12%21.15%
1Y Return-0.71%33.85%
3Y Return (Ann)-24.59%9.59%
5Y Return (Ann)-31.58%15.40%
10Y Return (Ann)-31.43%13.27%
Sharpe Ratio-0.152.71
Sortino Ratio0.073.61
Omega Ratio1.011.49
Calmar Ratio-0.062.47
Martin Ratio-0.3016.40
Ulcer Index20.14%2.11%
Daily Std Dev41.22%12.81%
Max Drawdown-99.61%-55.45%
Current Drawdown-99.45%0.00%

Correlation

-0.50.00.51.0-0.5

The correlation between BZQ and VTI is -0.53. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

BZQ vs. VTI - Performance Comparison

In the year-to-date period, BZQ achieves a 40.12% return, which is significantly higher than VTI's 21.15% return. Over the past 10 years, BZQ has underperformed VTI with an annualized return of -31.43%, while VTI has yielded a comparatively higher 13.27% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%10.00%20.00%30.00%MayJuneJulyAugustSeptemberOctober
18.52%
11.57%
BZQ
VTI

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BZQ vs. VTI - Expense Ratio Comparison

BZQ has a 0.95% expense ratio, which is higher than VTI's 0.03% expense ratio.


BZQ
ProShares UltraShort MSCI Brazil Capped
Expense ratio chart for BZQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for VTI: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

BZQ vs. VTI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort MSCI Brazil Capped (BZQ) and Vanguard Total Stock Market ETF (VTI). 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.


BZQ
Sharpe ratio
The chart of Sharpe ratio for BZQ, currently valued at -0.15, compared to the broader market0.002.004.00-0.15
Sortino ratio
The chart of Sortino ratio for BZQ, currently valued at 0.07, compared to the broader market-2.000.002.004.006.008.0010.0012.000.07
Omega ratio
The chart of Omega ratio for BZQ, currently valued at 1.01, compared to the broader market1.001.502.002.503.001.01
Calmar ratio
The chart of Calmar ratio for BZQ, currently valued at -0.06, compared to the broader market0.005.0010.0015.00-0.06
Martin ratio
The chart of Martin ratio for BZQ, currently valued at -0.30, compared to the broader market0.0020.0040.0060.0080.00100.00-0.30
VTI
Sharpe ratio
The chart of Sharpe ratio for VTI, currently valued at 2.71, compared to the broader market0.002.004.002.71
Sortino ratio
The chart of Sortino ratio for VTI, currently valued at 3.61, compared to the broader market-2.000.002.004.006.008.0010.0012.003.61
Omega ratio
The chart of Omega ratio for VTI, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for VTI, currently valued at 2.47, compared to the broader market0.005.0010.0015.002.47
Martin ratio
The chart of Martin ratio for VTI, currently valued at 16.40, compared to the broader market0.0020.0040.0060.0080.00100.0016.40

BZQ vs. VTI - Sharpe Ratio Comparison

The current BZQ Sharpe Ratio is -0.15, which is lower than the VTI Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of BZQ and VTI, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
-0.15
2.71
BZQ
VTI

Dividends

BZQ vs. VTI - Dividend Comparison

BZQ's dividend yield for the trailing twelve months is around 3.74%, more than VTI's 1.31% yield.


TTM20232022202120202019201820172016201520142013
BZQ
ProShares UltraShort MSCI Brazil Capped
3.74%4.51%0.22%0.00%0.21%2.13%0.28%0.00%0.00%0.00%0.00%0.00%
VTI
Vanguard Total Stock Market ETF
1.31%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%

Drawdowns

BZQ vs. VTI - Drawdown Comparison

The maximum BZQ drawdown since its inception was -99.61%, which is greater than VTI's maximum drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for BZQ and VTI. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%MayJuneJulyAugustSeptemberOctober
-99.45%
0
BZQ
VTI

Volatility

BZQ vs. VTI - Volatility Comparison

ProShares UltraShort MSCI Brazil Capped (BZQ) has a higher volatility of 11.15% compared to Vanguard Total Stock Market ETF (VTI) at 2.93%. This indicates that BZQ's price experiences larger fluctuations and is considered to be riskier than VTI 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%12.00%14.00%MayJuneJulyAugustSeptemberOctober
11.15%
2.93%
BZQ
VTI