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DAT vs. SPRX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DATSPRX
YTD Return11.11%5.18%
1Y Return30.61%31.11%
3Y Return (Ann)-3.10%5.63%
Sharpe Ratio1.241.12
Sortino Ratio1.761.58
Omega Ratio1.221.21
Calmar Ratio0.721.02
Martin Ratio5.113.46
Ulcer Index6.10%9.77%
Daily Std Dev25.20%30.28%
Max Drawdown-56.22%-51.22%
Current Drawdown-19.71%-6.98%

Correlation

-0.50.00.51.00.9

The correlation between DAT and SPRX is 0.86, 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

DAT vs. SPRX - Performance Comparison

In the year-to-date period, DAT achieves a 11.11% return, which is significantly higher than SPRX's 5.18% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-15.00%-10.00%-5.00%0.00%5.00%MayJuneJulyAugustSeptemberOctober
0.44%
1.82%
DAT
SPRX

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DAT vs. SPRX - Expense Ratio Comparison

DAT has a 0.58% expense ratio, which is lower than SPRX's 0.75% expense ratio.


SPRX
Spear Alpha ETF
Expense ratio chart for SPRX: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for DAT: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%

Risk-Adjusted Performance

DAT vs. SPRX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Big Data Refiners ETF (DAT) and Spear Alpha ETF (SPRX). 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.


DAT
Sharpe ratio
The chart of Sharpe ratio for DAT, currently valued at 1.24, compared to the broader market0.002.004.001.24
Sortino ratio
The chart of Sortino ratio for DAT, currently valued at 1.76, compared to the broader market-2.000.002.004.006.008.0010.0012.001.76
Omega ratio
The chart of Omega ratio for DAT, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for DAT, currently valued at 0.72, compared to the broader market0.005.0010.0015.000.72
Martin ratio
The chart of Martin ratio for DAT, currently valued at 5.11, compared to the broader market0.0020.0040.0060.0080.00100.005.11
SPRX
Sharpe ratio
The chart of Sharpe ratio for SPRX, currently valued at 1.12, compared to the broader market0.002.004.001.12
Sortino ratio
The chart of Sortino ratio for SPRX, currently valued at 1.58, compared to the broader market-2.000.002.004.006.008.0010.0012.001.58
Omega ratio
The chart of Omega ratio for SPRX, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for SPRX, currently valued at 1.02, compared to the broader market0.005.0010.0015.001.02
Martin ratio
The chart of Martin ratio for SPRX, currently valued at 3.46, compared to the broader market0.0020.0040.0060.0080.00100.003.46

DAT vs. SPRX - Sharpe Ratio Comparison

The current DAT Sharpe Ratio is 1.24, which roughly equals the SPRX Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of DAT and SPRX, 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 Ratio0.000.501.001.502.00MayJuneJulyAugustSeptemberOctober
1.24
1.12
DAT
SPRX

Dividends

DAT vs. SPRX - Dividend Comparison

Neither DAT nor SPRX has paid dividends to shareholders.


TTM202320222021
DAT
ProShares Big Data Refiners ETF
0.00%0.00%0.00%0.00%
SPRX
Spear Alpha ETF
0.00%0.00%0.00%0.25%

Drawdowns

DAT vs. SPRX - Drawdown Comparison

The maximum DAT drawdown since its inception was -56.22%, which is greater than SPRX's maximum drawdown of -51.22%. Use the drawdown chart below to compare losses from any high point for DAT and SPRX. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%MayJuneJulyAugustSeptemberOctober
-19.71%
-6.98%
DAT
SPRX

Volatility

DAT vs. SPRX - Volatility Comparison

The current volatility for ProShares Big Data Refiners ETF (DAT) is 5.15%, while Spear Alpha ETF (SPRX) has a volatility of 6.25%. This indicates that DAT experiences smaller price fluctuations and is considered to be less risky than SPRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%MayJuneJulyAugustSeptemberOctober
5.15%
6.25%
DAT
SPRX