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

Key characteristics


SDOWUDOW
YTD Return-34.08%43.48%
1Y Return-47.53%80.36%
3Y Return (Ann)-22.59%9.39%
5Y Return (Ann)-39.98%13.32%
10Y Return (Ann)-37.31%20.79%
Sharpe Ratio-1.512.67
Sortino Ratio-2.513.23
Omega Ratio0.721.43
Calmar Ratio-0.502.82
Martin Ratio-1.7214.30
Ulcer Index28.94%6.16%
Daily Std Dev32.94%32.96%
Max Drawdown-99.94%-80.29%
Current Drawdown-99.94%-2.26%

Correlation

-0.50.00.51.0-1.0

The correlation between SDOW and UDOW is -1.00. 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

SDOW vs. UDOW - Performance Comparison

In the year-to-date period, SDOW achieves a -34.08% return, which is significantly lower than UDOW's 43.48% return. Over the past 10 years, SDOW has underperformed UDOW with an annualized return of -37.31%, while UDOW has yielded a comparatively higher 20.79% 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%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
-22.22%
25.98%
SDOW
UDOW

Compare stocks, funds, or ETFs

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


SDOW vs. UDOW - Expense Ratio Comparison

Both SDOW and UDOW have an expense ratio of 0.95%.


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 UDOW: 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

SDOW vs. UDOW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short Dow30 (SDOW) and ProShares UltraPro Dow30 (UDOW). 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.


SDOW
Sharpe ratio
The chart of Sharpe ratio for SDOW, currently valued at -1.51, compared to the broader market-2.000.002.004.00-1.51
Sortino ratio
The chart of Sortino ratio for SDOW, currently valued at -2.51, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.51
Omega ratio
The chart of Omega ratio for SDOW, currently valued at 0.72, compared to the broader market1.001.502.002.503.000.72
Calmar ratio
The chart of Calmar ratio for SDOW, currently valued at -0.50, compared to the broader market0.005.0010.0015.00-0.50
Martin ratio
The chart of Martin ratio for SDOW, currently valued at -1.72, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.72
UDOW
Sharpe ratio
The chart of Sharpe ratio for UDOW, currently valued at 2.67, compared to the broader market-2.000.002.004.002.67
Sortino ratio
The chart of Sortino ratio for UDOW, currently valued at 3.23, compared to the broader market-2.000.002.004.006.008.0010.0012.003.23
Omega ratio
The chart of Omega ratio for UDOW, currently valued at 1.43, compared to the broader market1.001.502.002.503.001.43
Calmar ratio
The chart of Calmar ratio for UDOW, currently valued at 2.82, compared to the broader market0.005.0010.0015.002.82
Martin ratio
The chart of Martin ratio for UDOW, currently valued at 14.30, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.30

SDOW vs. UDOW - Sharpe Ratio Comparison

The current SDOW Sharpe Ratio is -1.51, which is lower than the UDOW Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of SDOW and UDOW, 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
-1.51
2.67
SDOW
UDOW

Dividends

SDOW vs. UDOW - Dividend Comparison

SDOW's dividend yield for the trailing twelve months is around 7.17%, more than UDOW's 0.84% yield.


TTM20232022202120202019201820172016201520142013
SDOW
ProShares UltraPro Short Dow30
7.17%5.38%0.36%0.00%0.52%2.17%1.23%0.09%0.00%0.00%0.00%0.00%
UDOW
ProShares UltraPro Dow30
0.84%0.95%0.83%0.26%0.19%0.61%0.73%0.13%0.67%0.21%0.46%0.35%

Drawdowns

SDOW vs. UDOW - Drawdown Comparison

The maximum SDOW drawdown since its inception was -99.94%, which is greater than UDOW's maximum drawdown of -80.29%. Use the drawdown chart below to compare losses from any high point for SDOW and UDOW. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.94%
-2.26%
SDOW
UDOW

Volatility

SDOW vs. UDOW - Volatility Comparison

ProShares UltraPro Short Dow30 (SDOW) has a higher volatility of 14.00% compared to ProShares UltraPro Dow30 (UDOW) at 13.22%. This indicates that SDOW's price experiences larger fluctuations and is considered to be riskier than UDOW based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JuneJulyAugustSeptemberOctoberNovember
14.00%
13.22%
SDOW
UDOW