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

Key characteristics


QIDSPY
YTD Return-34.97%27.04%
1Y Return-46.47%39.75%
3Y Return (Ann)-23.63%10.21%
5Y Return (Ann)-41.46%15.93%
10Y Return (Ann)-36.07%13.36%
Sharpe Ratio-1.313.15
Sortino Ratio-2.144.19
Omega Ratio0.771.59
Calmar Ratio-0.464.60
Martin Ratio-1.4820.85
Ulcer Index30.90%1.85%
Daily Std Dev35.01%12.29%
Max Drawdown-99.97%-55.19%
Current Drawdown-99.97%0.00%

Correlation

-0.50.00.51.0-0.9

The correlation between QID and SPY is -0.89. 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.

Performance

QID vs. SPY - Performance Comparison

In the year-to-date period, QID achieves a -34.97% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, QID has underperformed SPY with an annualized return of -36.07%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-20.00%
15.58%
QID
SPY

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. SPY - Expense Ratio Comparison

QID has a 0.95% expense ratio, which is higher than SPY's 0.09% expense ratio.


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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

QID vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort QQQ (QID) and SPDR S&P 500 ETF (SPY). 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
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market-2.000.002.004.006.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market-2.000.002.004.006.008.0010.0012.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

QID vs. SPY - Sharpe Ratio Comparison

The current QID Sharpe Ratio is -1.31, which is lower than the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of QID and SPY, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-1.31
3.15
QID
SPY

Dividends

QID vs. SPY - Dividend Comparison

QID's dividend yield for the trailing twelve months is around 9.55%, more than SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
QID
ProShares UltraShort QQQ
9.55%5.64%0.15%0.00%0.92%2.54%1.38%0.07%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

QID vs. SPY - Drawdown Comparison

The maximum QID drawdown since its inception was -99.97%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QID and SPY. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.97%
0
QID
SPY

Volatility

QID vs. SPY - Volatility Comparison

ProShares UltraShort QQQ (QID) has a higher volatility of 10.33% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that QID's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.33%
3.95%
QID
SPY