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PST vs. TYO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PST and TYO is 0.95, 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.


-0.50.00.51.01.0

Performance

PST vs. TYO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort 7-10 Year Treasury (PST) and Direxion Daily 7-10 Year Treasury Bear 3X (TYO). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
6.41%
8.80%
PST
TYO

Key characteristics

Sharpe Ratio

PST:

1.01

TYO:

0.94

Sortino Ratio

PST:

1.56

TYO:

1.48

Omega Ratio

PST:

1.18

TYO:

1.17

Calmar Ratio

PST:

0.20

TYO:

0.24

Martin Ratio

PST:

2.27

TYO:

2.08

Ulcer Index

PST:

6.07%

TYO:

9.32%

Daily Std Dev

PST:

13.74%

TYO:

20.64%

Max Drawdown

PST:

-79.25%

TYO:

-89.25%

Current Drawdown

PST:

-63.61%

TYO:

-77.06%

Returns By Period

In the year-to-date period, PST achieves a 13.83% return, which is significantly lower than TYO's 19.32% return. Over the past 10 years, PST has outperformed TYO with an annualized return of 0.67%, while TYO has yielded a comparatively lower -1.46% annualized return.


PST

YTD

13.83%

1M

2.69%

6M

6.28%

1Y

14.34%

5Y*

6.62%

10Y*

0.67%

TYO

YTD

19.32%

1M

3.88%

6M

8.60%

1Y

19.30%

5Y*

7.97%

10Y*

-1.46%

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PST vs. TYO - Expense Ratio Comparison

PST has a 0.95% expense ratio, which is lower than TYO's 1.08% expense ratio.


TYO
Direxion Daily 7-10 Year Treasury Bear 3X
Expense ratio chart for TYO: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
Expense ratio chart for PST: 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

PST vs. TYO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort 7-10 Year Treasury (PST) and Direxion Daily 7-10 Year Treasury Bear 3X (TYO). 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 PST, currently valued at 1.01, compared to the broader market0.002.004.001.010.94
The chart of Sortino ratio for PST, currently valued at 1.56, compared to the broader market-2.000.002.004.006.008.0010.001.561.48
The chart of Omega ratio for PST, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.17
The chart of Calmar ratio for PST, currently valued at 0.22, compared to the broader market0.005.0010.0015.000.220.24
The chart of Martin ratio for PST, currently valued at 2.27, compared to the broader market0.0020.0040.0060.0080.00100.002.272.08
PST
TYO

The current PST Sharpe Ratio is 1.01, which is comparable to the TYO Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of PST and TYO, 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-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
1.01
0.94
PST
TYO

Dividends

PST vs. TYO - Dividend Comparison

PST's dividend yield for the trailing twelve months is around 3.56%, less than TYO's 4.20% yield.


TTM202320222021202020192018
PST
ProShares UltraShort 7-10 Year Treasury
3.56%3.70%0.02%0.00%0.11%1.86%0.67%
TYO
Direxion Daily 7-10 Year Treasury Bear 3X
4.20%3.62%0.09%0.00%0.37%1.57%0.32%

Drawdowns

PST vs. TYO - Drawdown Comparison

The maximum PST drawdown since its inception was -79.25%, smaller than the maximum TYO drawdown of -89.25%. Use the drawdown chart below to compare losses from any high point for PST and TYO. For additional features, visit the drawdowns tool.


-80.00%-75.00%-70.00%-65.00%-60.00%-55.00%JulyAugustSeptemberOctoberNovemberDecember
-55.54%
-77.06%
PST
TYO

Volatility

PST vs. TYO - Volatility Comparison

The current volatility for ProShares UltraShort 7-10 Year Treasury (PST) is 3.91%, while Direxion Daily 7-10 Year Treasury Bear 3X (TYO) has a volatility of 5.48%. This indicates that PST experiences smaller price fluctuations and is considered to be less risky than TYO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.91%
5.48%
PST
TYO
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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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