ITWO vs. SQQQ
ITWO (Proshares Russell 2000 High Income ETF) and SQQQ (ProShares UltraPro Short QQQ) are both exchange-traded funds - ITWO is a Derivative Income fund tracking the Cboe Russell 2000 Daily Covered Call Index, while SQQQ is a Leveraged Equities fund tracking the NASDAQ-100 Index (-300%). Both are passively managed. Over the past year, ITWO returned 38.09% vs -57.01% for SQQQ. Their -0.70 correlation means they have often moved in opposite directions in the past. ITWO charges 0.55%/yr vs 0.95%/yr for SQQQ.
Performance
ITWO vs. SQQQ - Performance Comparison
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Returns By Period
In the year-to-date period, ITWO achieves a 23.91% return, which is significantly higher than SQQQ's -44.29% return.
ITWO
- 1D
- 1.44%
- 1M
- 1.32%
- 6M
- 16.30%
- YTD
- 23.91%
- 1Y
- 38.09%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 21.88%
SQQQ
- 1D
- -10.07%
- 1M
- -6.73%
- 6M
- -43.84%
- YTD
- -44.29%
- 1Y
- -57.01%
- 3Y*
- -53.77%
- 5Y*
- -45.76%
- 10Y*
- -54.99%
- ALL TIME*
- -53.12%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.12M | $1.31M | $1.40M | |
| $2.89B | $2.45B | $2.72B |
ITWO vs. SQQQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 23.91% | 14.25% | 3.10% |
SQQQ ProShares UltraPro Short QQQ | -44.29% | -53.05% | -27.58% |
Correlation
The correlation between ITWO and SQQQ is -0.70, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.70 |
Correlation (All Time) Calculated using the full available price history since Sep 5, 2024 | -0.70 |
The correlation between ITWO and SQQQ has been stable across timeframes, ranging from -0.70 to -0.70 - a consistent structural relationship.
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Return for Risk
ITWO vs. SQQQ — Risk / Return Rank
ITWO
SQQQ
ITWO vs. SQQQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Proshares Russell 2000 High Income ETF (ITWO) and ProShares UltraPro Short QQQ (SQQQ). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ITWO | SQQQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.02 | ||
| Sortino ratioReturn per unit of downside risk | +4.37 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 0.83 | +0.51 |
| Calmar ratioReturn relative to maximum drawdown | 3.91 | -0.96 | +4.87 |
| Martin ratioReturn relative to average drawdown | 13.24 | -1.70 | +14.94 |
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Drawdowns
ITWO vs. SQQQ - Drawdown Comparison
The maximum ITWO drawdown since its inception was -24.77%, smaller than the maximum SQQQ drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ITWO and SQQQ.
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Drawdown Indicators
| ITWO | SQQQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.77% | -100.00% | +75.23% |
Max Drawdown (1Y)Largest decline over 1 year | -9.79% | -59.62% | +49.83% |
Max Drawdown (3Y)Largest decline over 3 years | — | -92.51% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -97.27% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -99.97% | — |
Current DrawdownCurrent decline from peak | 0.00% | -100.00% | +100.00% |
Average DrawdownAverage peak-to-trough decline | -4.82% | -92.78% | +87.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.89% | 33.54% | -30.65% |
Volatility
ITWO vs. SQQQ - Volatility Comparison
The current volatility for Proshares Russell 2000 High Income ETF (ITWO) is 4.39%, while ProShares UltraPro Short QQQ (SQQQ) has a volatility of 23.31%. This indicates that ITWO experiences smaller price fluctuations and is considered to be less risky than SQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ITWO | SQQQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.39% | 23.31% | -18.92% |
Volatility (6M)Calculated over the trailing 6-month period | 13.86% | 49.25% | -35.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.84% | 58.66% | -39.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.27% | 68.39% | -48.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.27% | 66.84% | -46.57% |
ITWO vs. SQQQ - Expense Ratio Comparison
ITWO has a 0.55% expense ratio, which is lower than SQQQ's 0.95% expense ratio.
Dividends
ITWO vs. SQQQ - Dividend Comparison
ITWO's dividend yield for the trailing twelve months is around 7.35%, less than SQQQ's 10.72% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 7.35% | 12.12% | 4.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SQQQ ProShares UltraPro Short QQQ | 10.72% | 9.36% | 10.23% | 8.01% | 0.28% | 0.00% | 2.15% | 2.92% | 1.47% | 0.14% |
Frequently Asked Questions
ITWO and SQQQ have a correlation of -0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SQQQ has higher volatility (23.31%) compared to ITWO (4.39%). In terms of maximum drawdown, ITWO dropped -24.77% vs SQQQ's -100.00%.
On 1-year performance, ITWO leads with 38.09% vs -57.01% for SQQQ. On fees, ITWO is cheaper at 0.55% per year. On volatility, ITWO has been the lower-risk option at 4.39%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ITWO has performed better with a 38.09% return vs -57.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ITWO is cheaper with a 0.55% expense ratio, compared with 0.95% for SQQQ.
SQQQ has the higher dividend yield at 10.72%, compared with 7.35% for ITWO.
ITWO is categorized as Derivative Income, while SQQQ is Leveraged Equities. ITWO tracks Cboe Russell 2000 Daily Covered Call Index, while SQQQ tracks NASDAQ-100 Index (-300%). Their fees differ too: 0.55% for ITWO and 0.95% for SQQQ.
ITWO currently has the higher Sharpe Ratio (2.04 vs -0.98), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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