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SBLGX vs. SQQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SBLGX vs. SQQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ClearBridge Large Cap Growth Fund (SBLGX) and ProShares UltraPro Short QQQ (SQQQ). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.69%
-100.00%
SBLGX
SQQQ

Returns By Period

In the year-to-date period, SBLGX achieves a 29.20% return, which is significantly higher than SQQQ's -48.41% return. Over the past 10 years, SBLGX has outperformed SQQQ with an annualized return of 7.41%, while SQQQ has yielded a comparatively lower -52.04% annualized return.


SBLGX

YTD

29.20%

1M

1.73%

6M

14.10%

1Y

22.75%

5Y (annualized)

6.12%

10Y (annualized)

7.41%

SQQQ

YTD

-48.41%

1M

-5.54%

6M

-30.82%

1Y

-55.19%

5Y (annualized)

-59.36%

10Y (annualized)

-52.04%

Key characteristics


SBLGXSQQQ
Sharpe Ratio1.35-1.07
Sortino Ratio1.74-1.82
Omega Ratio1.270.80
Calmar Ratio0.70-0.56
Martin Ratio6.98-1.42
Ulcer Index3.35%39.13%
Daily Std Dev17.29%52.11%
Max Drawdown-53.70%-100.00%
Current Drawdown-11.38%-100.00%

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SBLGX vs. SQQQ - Expense Ratio Comparison

SBLGX has a 0.99% expense ratio, which is higher than SQQQ's 0.95% expense ratio.


SBLGX
ClearBridge Large Cap Growth Fund
Expense ratio chart for SBLGX: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
Expense ratio chart for SQQQ: 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%

Correlation

-0.50.00.51.0-0.9

The correlation between SBLGX and SQQQ is -0.90. 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

SBLGX vs. SQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ClearBridge Large Cap Growth Fund (SBLGX) 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.


Sharpe ratio
The chart of Sharpe ratio for SBLGX, currently valued at 1.35, compared to the broader market-1.000.001.002.003.004.005.001.35-1.07
The chart of Sortino ratio for SBLGX, currently valued at 1.74, compared to the broader market0.005.0010.001.74-1.82
The chart of Omega ratio for SBLGX, currently valued at 1.27, compared to the broader market1.002.003.004.001.270.80
The chart of Calmar ratio for SBLGX, currently valued at 0.70, compared to the broader market0.005.0010.0015.0020.000.70-0.56
The chart of Martin ratio for SBLGX, currently valued at 6.98, compared to the broader market0.0020.0040.0060.0080.00100.006.98-1.42
SBLGX
SQQQ

The current SBLGX Sharpe Ratio is 1.35, which is higher than the SQQQ Sharpe Ratio of -1.07. The chart below compares the historical Sharpe Ratios of SBLGX and SQQQ, 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-1.000.001.002.00JuneJulyAugustSeptemberOctoberNovember
1.35
-1.07
SBLGX
SQQQ

Dividends

SBLGX vs. SQQQ - Dividend Comparison

SBLGX has not paid dividends to shareholders, while SQQQ's dividend yield for the trailing twelve months is around 11.33%.


TTM202320222021202020192018201720162015
SBLGX
ClearBridge Large Cap Growth Fund
0.00%0.00%0.00%0.00%0.00%0.15%0.01%0.00%0.08%0.02%
SQQQ
ProShares UltraPro Short QQQ
11.33%8.01%0.28%0.00%2.15%2.92%1.47%0.14%0.00%0.00%

Drawdowns

SBLGX vs. SQQQ - Drawdown Comparison

The maximum SBLGX drawdown since its inception was -53.70%, smaller than the maximum SQQQ drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SBLGX and SQQQ. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-11.38%
-100.00%
SBLGX
SQQQ

Volatility

SBLGX vs. SQQQ - Volatility Comparison

The current volatility for ClearBridge Large Cap Growth Fund (SBLGX) is 4.62%, while ProShares UltraPro Short QQQ (SQQQ) has a volatility of 16.14%. This indicates that SBLGX 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.


5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
4.62%
16.14%
SBLGX
SQQQ