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FNPIX vs. ^DJT
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between FNPIX and ^DJT is 0.73, 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.


-0.50.00.51.00.7

Performance

FNPIX vs. ^DJT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProFunds Financials UltraSector Fund (FNPIX) and Dow Jones Transportation Average (^DJT). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
29.07%
5.49%
FNPIX
^DJT

Key characteristics

Sharpe Ratio

FNPIX:

2.14

^DJT:

0.03

Sortino Ratio

FNPIX:

2.98

^DJT:

0.17

Omega Ratio

FNPIX:

1.38

^DJT:

1.02

Calmar Ratio

FNPIX:

2.27

^DJT:

0.04

Martin Ratio

FNPIX:

13.02

^DJT:

0.11

Ulcer Index

FNPIX:

3.47%

^DJT:

4.41%

Daily Std Dev

FNPIX:

21.07%

^DJT:

17.71%

Max Drawdown

FNPIX:

-93.14%

^DJT:

-60.92%

Current Drawdown

FNPIX:

-6.13%

^DJT:

-9.29%

Returns By Period

In the year-to-date period, FNPIX achieves a 44.39% return, which is significantly higher than ^DJT's 1.29% return. Over the past 10 years, FNPIX has outperformed ^DJT with an annualized return of 11.22%, while ^DJT has yielded a comparatively lower 5.75% annualized return.


FNPIX

YTD

44.39%

1M

-5.77%

6M

29.08%

1Y

44.56%

5Y*

10.04%

10Y*

11.22%

^DJT

YTD

1.29%

1M

-9.00%

6M

5.49%

1Y

0.49%

5Y*

8.07%

10Y*

5.75%

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Risk-Adjusted Performance

FNPIX vs. ^DJT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProFunds Financials UltraSector Fund (FNPIX) and Dow Jones Transportation Average (^DJT). 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 FNPIX, currently valued at 2.12, compared to the broader market-1.000.001.002.003.004.002.120.03
The chart of Sortino ratio for FNPIX, currently valued at 2.95, compared to the broader market-2.000.002.004.006.008.0010.002.950.17
The chart of Omega ratio for FNPIX, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.003.501.381.02
The chart of Calmar ratio for FNPIX, currently valued at 2.24, compared to the broader market0.002.004.006.008.0010.0012.002.240.04
The chart of Martin ratio for FNPIX, currently valued at 12.77, compared to the broader market0.0010.0020.0030.0040.0050.0060.0012.770.11
FNPIX
^DJT

The current FNPIX Sharpe Ratio is 2.14, which is higher than the ^DJT Sharpe Ratio of 0.03. The chart below compares the historical Sharpe Ratios of FNPIX and ^DJT, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.12
0.03
FNPIX
^DJT

Drawdowns

FNPIX vs. ^DJT - Drawdown Comparison

The maximum FNPIX drawdown since its inception was -93.14%, which is greater than ^DJT's maximum drawdown of -60.92%. Use the drawdown chart below to compare losses from any high point for FNPIX and ^DJT. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-6.13%
-9.29%
FNPIX
^DJT

Volatility

FNPIX vs. ^DJT - Volatility Comparison

ProFunds Financials UltraSector Fund (FNPIX) has a higher volatility of 6.47% compared to Dow Jones Transportation Average (^DJT) at 3.88%. This indicates that FNPIX's price experiences larger fluctuations and is considered to be riskier than ^DJT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.47%
3.88%
FNPIX
^DJT
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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.

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