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

Key characteristics


DATTIME
YTD Return9.39%32.39%
1Y Return29.14%51.35%
Sharpe Ratio1.172.91
Sortino Ratio1.693.64
Omega Ratio1.211.49
Calmar Ratio0.682.25
Martin Ratio4.8415.31
Ulcer Index6.09%3.38%
Daily Std Dev25.16%17.77%
Max Drawdown-56.22%-42.24%
Current Drawdown-20.96%-0.70%

Correlation

-0.50.00.51.00.8

The correlation between DAT and TIME is 0.84, 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. TIME - Performance Comparison

In the year-to-date period, DAT achieves a 9.39% return, which is significantly lower than TIME's 32.39% 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%MayJuneJulyAugustSeptemberOctober
-0.86%
8.17%
DAT
TIME

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DAT vs. TIME - Expense Ratio Comparison

DAT has a 0.58% expense ratio, which is lower than TIME's 1.00% expense ratio.


TIME
Clockwise Core Equity & Innovation ETF
Expense ratio chart for TIME: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
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. TIME - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Big Data Refiners ETF (DAT) and Clockwise Core Equity & Innovation ETF (TIME). 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 1.17, compared to the broader market0.002.004.001.17
Sortino ratio
The chart of Sortino ratio for DAT, currently valued at 1.69, compared to the broader market0.005.0010.001.69
Omega ratio
The chart of Omega ratio for DAT, currently valued at 1.21, compared to the broader market1.001.502.002.503.001.21
Calmar ratio
The chart of Calmar ratio for DAT, currently valued at 1.15, compared to the broader market0.005.0010.0015.001.15
Martin ratio
The chart of Martin ratio for DAT, currently valued at 4.84, compared to the broader market0.0020.0040.0060.0080.00100.004.84
TIME
Sharpe ratio
The chart of Sharpe ratio for TIME, currently valued at 2.91, compared to the broader market0.002.004.002.91
Sortino ratio
The chart of Sortino ratio for TIME, currently valued at 3.64, compared to the broader market0.005.0010.003.64
Omega ratio
The chart of Omega ratio for TIME, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for TIME, currently valued at 2.25, compared to the broader market0.005.0010.0015.002.25
Martin ratio
The chart of Martin ratio for TIME, currently valued at 15.31, compared to the broader market0.0020.0040.0060.0080.00100.0015.31

DAT vs. TIME - Sharpe Ratio Comparison

The current DAT Sharpe Ratio is 1.17, which is lower than the TIME Sharpe Ratio of 2.91. The chart below compares the historical Sharpe Ratios of DAT and TIME, 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
1.17
2.91
DAT
TIME

Dividends

DAT vs. TIME - Dividend Comparison

DAT has not paid dividends to shareholders, while TIME's dividend yield for the trailing twelve months is around 15.89%.


TTM2023
DAT
ProShares Big Data Refiners ETF
0.00%0.00%
TIME
Clockwise Core Equity & Innovation ETF
15.89%21.04%

Drawdowns

DAT vs. TIME - Drawdown Comparison

The maximum DAT drawdown since its inception was -56.22%, which is greater than TIME's maximum drawdown of -42.24%. Use the drawdown chart below to compare losses from any high point for DAT and TIME. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-4.80%
-0.70%
DAT
TIME

Volatility

DAT vs. TIME - Volatility Comparison

ProShares Big Data Refiners ETF (DAT) has a higher volatility of 5.04% compared to Clockwise Core Equity & Innovation ETF (TIME) at 3.70%. This indicates that DAT's price experiences larger fluctuations and is considered to be riskier than TIME 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%MayJuneJulyAugustSeptemberOctober
5.04%
3.70%
DAT
TIME