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SDOW vs. ^DJI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between SDOW and ^DJI 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.


-0.50.00.51.0-1.0

Performance

SDOW vs. ^DJI - Performance Comparison

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

-30.00%-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-22.22%
9.42%
SDOW
^DJI

Key characteristics

Sharpe Ratio

SDOW:

-0.94

^DJI:

1.37

Sortino Ratio

SDOW:

-1.33

^DJI:

1.99

Omega Ratio

SDOW:

0.85

^DJI:

1.26

Calmar Ratio

SDOW:

-0.32

^DJI:

2.56

Martin Ratio

SDOW:

-1.57

^DJI:

7.31

Ulcer Index

SDOW:

20.22%

^DJI:

2.12%

Daily Std Dev

SDOW:

33.67%

^DJI:

11.30%

Max Drawdown

SDOW:

-99.94%

^DJI:

-53.78%

Current Drawdown

SDOW:

-99.93%

^DJI:

-4.83%

Returns By Period

In the year-to-date period, SDOW achieves a -28.77% return, which is significantly lower than ^DJI's 13.67% return. Over the past 10 years, SDOW has underperformed ^DJI with an annualized return of -36.28%, while ^DJI has yielded a comparatively higher 9.07% annualized return.


SDOW

YTD

-28.77%

1M

3.99%

6M

-23.29%

1Y

-30.10%

5Y*

-38.32%

10Y*

-36.28%

^DJI

YTD

13.67%

1M

-1.31%

6M

9.43%

1Y

14.53%

5Y*

8.54%

10Y*

9.07%

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Risk-Adjusted Performance

SDOW vs. ^DJI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short Dow30 (SDOW) and Dow Jones Industrial Average (^DJI). 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 -0.94, compared to the broader market0.002.004.00-0.941.37
The chart of Sortino ratio for SDOW, currently valued at -1.32, compared to the broader market-2.000.002.004.006.008.0010.00-1.331.99
The chart of Omega ratio for SDOW, currently valued at 0.85, compared to the broader market0.501.001.502.002.503.000.851.26
The chart of Calmar ratio for SDOW, currently valued at -0.32, compared to the broader market0.005.0010.0015.00-0.322.56
The chart of Martin ratio for SDOW, currently valued at -1.57, compared to the broader market0.0020.0040.0060.0080.00100.00-1.577.31
SDOW
^DJI

The current SDOW Sharpe Ratio is -0.94, which is lower than the ^DJI Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of SDOW and ^DJI, 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-2.00-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.94
1.37
SDOW
^DJI

Drawdowns

SDOW vs. ^DJI - Drawdown Comparison

The maximum SDOW drawdown since its inception was -99.94%, which is greater than ^DJI's maximum drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for SDOW and ^DJI. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-99.93%
-4.83%
SDOW
^DJI

Volatility

SDOW vs. ^DJI - Volatility Comparison

ProShares UltraPro Short Dow30 (SDOW) has a higher volatility of 11.22% compared to Dow Jones Industrial Average (^DJI) at 3.80%. This indicates that SDOW's price experiences larger fluctuations and is considered to be riskier than ^DJI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
11.22%
3.80%
SDOW
^DJI
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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