PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EPV vs. UPV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EPV and UPV is -0.91. 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.


-0.50.00.51.0-0.9

Performance

EPV vs. UPV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort FTSE Europe (EPV) and ProShares Ultra Europe (UPV). The values are adjusted to include any dividend payments, if applicable.

-100.00%-50.00%0.00%50.00%100.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
-89.78%
94.79%
EPV
UPV

Key characteristics

Sharpe Ratio

EPV:

-0.07

UPV:

-0.11

Sortino Ratio

EPV:

0.10

UPV:

0.03

Omega Ratio

EPV:

1.01

UPV:

1.00

Calmar Ratio

EPV:

-0.02

UPV:

-0.11

Martin Ratio

EPV:

-0.11

UPV:

-0.36

Ulcer Index

EPV:

15.70%

UPV:

8.00%

Daily Std Dev

EPV:

26.73%

UPV:

26.38%

Max Drawdown

EPV:

-97.30%

UPV:

-67.25%

Current Drawdown

EPV:

-96.56%

UPV:

-23.83%

Returns By Period

In the year-to-date period, EPV achieves a 2.23% return, which is significantly higher than UPV's -4.83% return. Over the past 10 years, EPV has underperformed UPV with an annualized return of -17.37%, while UPV has yielded a comparatively higher 2.99% annualized return.


EPV

YTD

2.23%

1M

1.55%

6M

12.77%

1Y

1.06%

5Y*

-19.28%

10Y*

-17.37%

UPV

YTD

-4.83%

1M

-2.53%

6M

-12.20%

1Y

-3.88%

5Y*

0.74%

10Y*

2.99%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EPV vs. UPV - Expense Ratio Comparison

Both EPV and UPV have an expense ratio of 0.95%.


EPV
ProShares UltraShort FTSE Europe
Expense ratio chart for EPV: 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 UPV: 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%

Risk-Adjusted Performance

EPV vs. UPV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort FTSE Europe (EPV) and ProShares Ultra Europe (UPV). 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.


Sharpe ratio
The chart of Sharpe ratio for EPV, currently valued at -0.07, compared to the broader market0.002.004.00-0.07-0.04
The chart of Sortino ratio for EPV, currently valued at 0.10, compared to the broader market-2.000.002.004.006.008.0010.000.100.12
The chart of Omega ratio for EPV, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.01
The chart of Calmar ratio for EPV, currently valued at -0.02, compared to the broader market0.005.0010.0015.00-0.02-0.04
The chart of Martin ratio for EPV, currently valued at -0.11, compared to the broader market0.0020.0040.0060.0080.00100.00-0.11-0.13
EPV
UPV

The current EPV Sharpe Ratio is -0.07, which is higher than the UPV Sharpe Ratio of -0.11. The chart below compares the historical Sharpe Ratios of EPV and UPV, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.50-1.00-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
-0.07
-0.04
EPV
UPV

Dividends

EPV vs. UPV - Dividend Comparison

EPV's dividend yield for the trailing twelve months is around 3.67%, more than UPV's 1.78% yield.


TTM202320222021202020192018
EPV
ProShares UltraShort FTSE Europe
3.67%3.17%0.33%0.01%0.09%1.10%0.19%
UPV
ProShares Ultra Europe
1.78%1.56%0.00%0.00%0.00%0.64%3.79%

Drawdowns

EPV vs. UPV - Drawdown Comparison

The maximum EPV drawdown since its inception was -97.30%, which is greater than UPV's maximum drawdown of -67.25%. Use the drawdown chart below to compare losses from any high point for EPV and UPV. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-96.56%
-23.83%
EPV
UPV

Volatility

EPV vs. UPV - Volatility Comparison

ProShares UltraShort FTSE Europe (EPV) has a higher volatility of 7.75% compared to ProShares Ultra Europe (UPV) at 6.71%. This indicates that EPV's price experiences larger fluctuations and is considered to be riskier than UPV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%6.00%7.00%8.00%9.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.75%
6.71%
EPV
UPV
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab