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SDS vs. IAU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SDS and IAU is -0.06. 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.


-0.50.00.51.0-0.1

Performance

SDS vs. IAU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort S&P500 (SDS) and iShares Gold Trust (IAU). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
-99.51%
277.29%
SDS
IAU

Key characteristics

Sharpe Ratio

SDS:

-1.31

IAU:

1.93

Sortino Ratio

SDS:

-2.05

IAU:

2.55

Omega Ratio

SDS:

0.78

IAU:

1.34

Calmar Ratio

SDS:

-0.33

IAU:

3.55

Martin Ratio

SDS:

-1.42

IAU:

10.15

Ulcer Index

SDS:

22.92%

IAU:

2.85%

Daily Std Dev

SDS:

24.80%

IAU:

14.97%

Max Drawdown

SDS:

-99.77%

IAU:

-45.14%

Current Drawdown

SDS:

-99.75%

IAU:

-5.98%

Returns By Period

In the year-to-date period, SDS achieves a -30.76% return, which is significantly lower than IAU's 26.83% return. Over the past 10 years, SDS has underperformed IAU with an annualized return of -25.58%, while IAU has yielded a comparatively higher 8.12% annualized return.


SDS

YTD

-30.76%

1M

-0.05%

6M

-12.75%

1Y

-31.31%

5Y*

-29.44%

10Y*

-25.58%

IAU

YTD

26.83%

1M

-1.06%

6M

12.78%

1Y

27.97%

5Y*

11.90%

10Y*

8.12%

Compare stocks, funds, or ETFs

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SDS vs. IAU - Expense Ratio Comparison

SDS has a 0.91% expense ratio, which is higher than IAU's 0.25% expense ratio.


SDS
ProShares UltraShort S&P500
Expense ratio chart for SDS: current value at 0.91% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.91%
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

SDS vs. IAU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort S&P500 (SDS) and iShares Gold Trust (IAU). 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 SDS, currently valued at -1.31, compared to the broader market0.002.004.00-1.311.93
The chart of Sortino ratio for SDS, currently valued at -2.05, compared to the broader market-2.000.002.004.006.008.0010.00-2.052.55
The chart of Omega ratio for SDS, currently valued at 0.78, compared to the broader market0.501.001.502.002.503.000.781.34
The chart of Calmar ratio for SDS, currently valued at -0.33, compared to the broader market0.005.0010.0015.00-0.333.55
The chart of Martin ratio for SDS, currently valued at -1.42, compared to the broader market0.0020.0040.0060.0080.00100.00-1.4210.15
SDS
IAU

The current SDS Sharpe Ratio is -1.31, which is lower than the IAU Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of SDS and IAU, 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
-1.31
1.93
SDS
IAU

Dividends

SDS vs. IAU - Dividend Comparison

SDS's dividend yield for the trailing twelve months is around 5.72%, while IAU has not paid dividends to shareholders.


TTM2023202220212020201920182017
SDS
ProShares UltraShort S&P500
5.72%5.77%0.35%0.00%0.55%1.84%1.28%0.09%
IAU
iShares Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SDS vs. IAU - Drawdown Comparison

The maximum SDS drawdown since its inception was -99.77%, which is greater than IAU's maximum drawdown of -45.14%. Use the drawdown chart below to compare losses from any high point for SDS and IAU. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-99.75%
-5.98%
SDS
IAU

Volatility

SDS vs. IAU - Volatility Comparison

ProShares UltraShort S&P500 (SDS) has a higher volatility of 7.32% compared to iShares Gold Trust (IAU) at 5.17%. This indicates that SDS's price experiences larger fluctuations and is considered to be riskier than IAU 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%JulyAugustSeptemberOctoberNovemberDecember
7.32%
5.17%
SDS
IAU
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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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