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SDOW vs. QQQ
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Risk-Adjusted Performance
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Volatility

Performance

SDOW vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraPro Short Dow30 (SDOW) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%800.00%1,000.00%1,200.00%JuneJulyAugustSeptemberOctoberNovember
-99.93%
1,197.58%
SDOW
QQQ

Returns By Period

In the year-to-date period, SDOW achieves a -31.70% return, which is significantly lower than QQQ's 21.78% return. Over the past 10 years, SDOW has underperformed QQQ with an annualized return of -37.03%, while QQQ has yielded a comparatively higher 17.95% annualized return.


SDOW

YTD

-31.70%

1M

-2.67%

6M

-20.94%

1Y

-45.00%

5Y (annualized)

-39.51%

10Y (annualized)

-37.03%

QQQ

YTD

21.78%

1M

1.15%

6M

10.25%

1Y

29.54%

5Y (annualized)

20.42%

10Y (annualized)

17.95%

Key characteristics


SDOWQQQ
Sharpe Ratio-1.371.70
Sortino Ratio-2.172.29
Omega Ratio0.751.31
Calmar Ratio-0.452.19
Martin Ratio-1.577.96
Ulcer Index28.50%3.72%
Daily Std Dev32.80%17.39%
Max Drawdown-99.94%-82.98%
Current Drawdown-99.93%-3.42%

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SDOW vs. QQQ - Expense Ratio Comparison

SDOW has a 0.95% expense ratio, which is higher than QQQ's 0.20% expense ratio.


SDOW
ProShares UltraPro Short Dow30
Expense ratio chart for SDOW: 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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.0-0.8

The correlation between SDOW and QQQ is -0.76. 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

SDOW vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short Dow30 (SDOW) and Invesco QQQ (QQQ). 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 SDOW, currently valued at -1.37, compared to the broader market0.002.004.006.00-1.371.70
The chart of Sortino ratio for SDOW, currently valued at -2.17, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.172.29
The chart of Omega ratio for SDOW, currently valued at 0.75, compared to the broader market0.501.001.502.002.503.000.751.31
The chart of Calmar ratio for SDOW, currently valued at -0.45, compared to the broader market0.005.0010.0015.00-0.452.19
The chart of Martin ratio for SDOW, currently valued at -1.57, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.577.96
SDOW
QQQ

The current SDOW Sharpe Ratio is -1.37, which is lower than the QQQ Sharpe Ratio of 1.70. The chart below compares the historical Sharpe Ratios of SDOW and QQQ, 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-2.00-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-1.37
1.70
SDOW
QQQ

Dividends

SDOW vs. QQQ - Dividend Comparison

SDOW's dividend yield for the trailing twelve months is around 6.92%, more than QQQ's 0.61% yield.


TTM20232022202120202019201820172016201520142013
SDOW
ProShares UltraPro Short Dow30
6.92%5.38%0.36%0.00%0.52%2.17%1.23%0.09%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.61%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

SDOW vs. QQQ - Drawdown Comparison

The maximum SDOW drawdown since its inception was -99.94%, which is greater than QQQ's maximum drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for SDOW and QQQ. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.93%
-3.42%
SDOW
QQQ

Volatility

SDOW vs. QQQ - Volatility Comparison

ProShares UltraPro Short Dow30 (SDOW) has a higher volatility of 14.14% compared to Invesco QQQ (QQQ) at 5.62%. This indicates that SDOW's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%JuneJulyAugustSeptemberOctoberNovember
14.14%
5.62%
SDOW
QQQ