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

Correlation

The correlation between SDS and SPY 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

SDS vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort S&P500 (SDS) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
-99.50%
569.08%
SDS
SPY

Key characteristics

Sharpe Ratio

SDS:

-1.20

SPY:

2.03

Sortino Ratio

SDS:

-1.85

SPY:

2.71

Omega Ratio

SDS:

0.80

SPY:

1.38

Calmar Ratio

SDS:

-0.30

SPY:

3.02

Martin Ratio

SDS:

-1.32

SPY:

13.49

Ulcer Index

SDS:

22.74%

SPY:

1.88%

Daily Std Dev

SDS:

24.92%

SPY:

12.48%

Max Drawdown

SDS:

-99.77%

SPY:

-55.19%

Current Drawdown

SDS:

-99.75%

SPY:

-3.54%

Returns By Period

In the year-to-date period, SDS achieves a -29.32% return, which is significantly lower than SPY's 24.51% return. Over the past 10 years, SDS has underperformed SPY with an annualized return of -25.52%, while SPY has yielded a comparatively higher 12.94% annualized return.


SDS

YTD

-29.32%

1M

1.31%

6M

-9.94%

1Y

-29.19%

5Y*

-29.19%

10Y*

-25.52%

SPY

YTD

24.51%

1M

-0.32%

6M

7.56%

1Y

24.63%

5Y*

14.51%

10Y*

12.94%

Compare stocks, funds, or ETFs

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


SDS vs. SPY - Expense Ratio Comparison

SDS has a 0.91% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

SDS vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort S&P500 (SDS) and SPDR S&P 500 ETF (SPY). 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 -1.20, compared to the broader market0.002.004.00-1.202.03
The chart of Sortino ratio for SDS, currently valued at -1.85, compared to the broader market-2.000.002.004.006.008.0010.00-1.852.71
The chart of Omega ratio for SDS, currently valued at 0.80, compared to the broader market0.501.001.502.002.503.000.801.38
The chart of Calmar ratio for SDS, currently valued at -0.30, compared to the broader market0.005.0010.0015.00-0.303.02
The chart of Martin ratio for SDS, currently valued at -1.32, compared to the broader market0.0020.0040.0060.0080.00100.00-1.3213.49
SDS
SPY

The current SDS Sharpe Ratio is -1.20, which is lower than the SPY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of SDS and SPY, 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-2.00-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-1.20
2.03
SDS
SPY

Dividends

SDS vs. SPY - Dividend Comparison

SDS's dividend yield for the trailing twelve months is around 8.51%, more than SPY's 0.87% yield.


TTM20232022202120202019201820172016201520142013
SDS
ProShares UltraShort S&P500
5.61%5.77%0.35%0.00%0.55%1.84%1.28%0.09%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SDS vs. SPY - Drawdown Comparison

The maximum SDS drawdown since its inception was -99.77%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SDS and SPY. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-99.75%
-3.54%
SDS
SPY

Volatility

SDS vs. SPY - Volatility Comparison

ProShares UltraShort S&P500 (SDS) has a higher volatility of 7.00% compared to SPDR S&P 500 ETF (SPY) at 3.64%. This indicates that SDS's price experiences larger fluctuations and is considered to be riskier than SPY 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
7.00%
3.64%
SDS
SPY
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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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