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

Key characteristics


QIDRWM
YTD Return-34.97%-12.98%
1Y Return-46.47%-27.41%
3Y Return (Ann)-23.63%-0.46%
5Y Return (Ann)-41.46%-12.96%
10Y Return (Ann)-36.07%-11.05%
Sharpe Ratio-1.31-1.22
Sortino Ratio-2.14-1.69
Omega Ratio0.770.80
Calmar Ratio-0.46-0.28
Martin Ratio-1.48-1.53
Ulcer Index30.90%17.18%
Daily Std Dev35.01%21.58%
Max Drawdown-99.97%-94.56%
Current Drawdown-99.97%-94.56%

Correlation

-0.50.00.51.00.8

The correlation between QID and RWM is 0.76, 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

QID vs. RWM - Performance Comparison

In the year-to-date period, QID achieves a -34.97% return, which is significantly lower than RWM's -12.98% return. Over the past 10 years, QID has underperformed RWM with an annualized return of -36.07%, while RWM has yielded a comparatively higher -11.05% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-30.00%-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-28.57%
-12.97%
QID
RWM

Compare stocks, funds, or ETFs

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


QID vs. RWM - Expense Ratio Comparison

Both QID and RWM have an expense ratio of 0.95%.


QID
ProShares UltraShort QQQ
Expense ratio chart for QID: 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 RWM: 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

QID vs. RWM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort QQQ (QID) and ProShares Short Russell2000 (RWM). 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.


QID
Sharpe ratio
The chart of Sharpe ratio for QID, currently valued at -1.30, compared to the broader market-2.000.002.004.006.00-1.31
Sortino ratio
The chart of Sortino ratio for QID, currently valued at -2.14, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.14
Omega ratio
The chart of Omega ratio for QID, currently valued at 0.77, compared to the broader market1.001.502.002.503.000.77
Calmar ratio
The chart of Calmar ratio for QID, currently valued at -0.46, compared to the broader market0.005.0010.0015.00-0.46
Martin ratio
The chart of Martin ratio for QID, currently valued at -1.48, compared to the broader market0.0020.0040.0060.0080.00100.00-1.48
RWM
Sharpe ratio
The chart of Sharpe ratio for RWM, currently valued at -1.22, compared to the broader market-2.000.002.004.006.00-1.22
Sortino ratio
The chart of Sortino ratio for RWM, currently valued at -1.69, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.69
Omega ratio
The chart of Omega ratio for RWM, currently valued at 0.80, compared to the broader market1.001.502.002.503.000.80
Calmar ratio
The chart of Calmar ratio for RWM, currently valued at -0.28, compared to the broader market0.005.0010.0015.00-0.28
Martin ratio
The chart of Martin ratio for RWM, currently valued at -1.53, compared to the broader market0.0020.0040.0060.0080.00100.00-1.53

QID vs. RWM - Sharpe Ratio Comparison

The current QID Sharpe Ratio is -1.31, which is comparable to the RWM Sharpe Ratio of -1.22. The chart below compares the historical Sharpe Ratios of QID and RWM, 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-1.50-1.00-0.500.00JuneJulyAugustSeptemberOctoberNovember
-1.31
-1.22
QID
RWM

Dividends

QID vs. RWM - Dividend Comparison

QID's dividend yield for the trailing twelve months is around 9.55%, more than RWM's 6.71% yield.


TTM2023202220212020201920182017
QID
ProShares UltraShort QQQ
9.55%5.64%0.15%0.00%0.92%2.54%1.38%0.07%
RWM
ProShares Short Russell2000
6.71%4.78%0.39%0.00%0.20%1.55%0.87%0.07%

Drawdowns

QID vs. RWM - Drawdown Comparison

The maximum QID drawdown since its inception was -99.97%, which is greater than RWM's maximum drawdown of -94.56%. Use the drawdown chart below to compare losses from any high point for QID and RWM. For additional features, visit the drawdowns tool.


-100.00%-99.00%-98.00%-97.00%-96.00%-95.00%-94.00%JuneJulyAugustSeptemberOctoberNovember
-99.97%
-94.56%
QID
RWM

Volatility

QID vs. RWM - Volatility Comparison

ProShares UltraShort QQQ (QID) has a higher volatility of 10.33% compared to ProShares Short Russell2000 (RWM) at 7.49%. This indicates that QID's price experiences larger fluctuations and is considered to be riskier than RWM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.33%
7.49%
QID
RWM