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REW vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Performance

REW vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort Technology (REW) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-16.02%
11.49%
REW
^GSPC

Returns By Period

In the year-to-date period, REW achieves a -32.82% return, which is significantly lower than ^GSPC's 24.05% return. Over the past 10 years, REW has underperformed ^GSPC with an annualized return of -39.67%, while ^GSPC has yielded a comparatively higher 11.13% annualized return.


REW

YTD

-32.82%

1M

0.86%

6M

-16.00%

1Y

-38.49%

5Y (annualized)

-44.96%

10Y (annualized)

-39.67%

^GSPC

YTD

24.05%

1M

1.08%

6M

11.50%

1Y

30.38%

5Y (annualized)

13.77%

10Y (annualized)

11.13%

Key characteristics


REW^GSPC
Sharpe Ratio-0.842.46
Sortino Ratio-1.193.31
Omega Ratio0.871.46
Calmar Ratio-0.373.55
Martin Ratio-1.3715.76
Ulcer Index27.24%1.91%
Daily Std Dev44.33%12.23%
Max Drawdown-99.98%-56.78%
Current Drawdown-99.98%-1.40%

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Correlation

-0.50.00.51.0-0.8

The correlation between REW and ^GSPC is -0.84. 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.

Risk-Adjusted Performance

REW vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Technology (REW) and S&P 500 (^GSPC). 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 REW, currently valued at -0.84, compared to the broader market0.002.004.00-0.842.46
The chart of Sortino ratio for REW, currently valued at -1.19, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.193.31
The chart of Omega ratio for REW, currently valued at 0.87, compared to the broader market0.501.001.502.002.503.000.871.46
The chart of Calmar ratio for REW, currently valued at -0.37, compared to the broader market0.005.0010.0015.00-0.373.55
The chart of Martin ratio for REW, currently valued at -1.37, compared to the broader market0.0020.0040.0060.0080.00100.00-1.3715.76
REW
^GSPC

The current REW Sharpe Ratio is -0.84, which is lower than the ^GSPC Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of REW and ^GSPC, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.84
2.46
REW
^GSPC

Drawdowns

REW vs. ^GSPC - Drawdown Comparison

The maximum REW drawdown since its inception was -99.98%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for REW and ^GSPC. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.98%
-1.40%
REW
^GSPC

Volatility

REW vs. ^GSPC - Volatility Comparison

ProShares UltraShort Technology (REW) has a higher volatility of 12.92% compared to S&P 500 (^GSPC) at 4.07%. This indicates that REW's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
12.92%
4.07%
REW
^GSPC