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

Correlation

The correlation between SPXU and SDS is 1.00, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

SPXU vs. SDS - Performance Comparison

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

-100.00%-99.90%-99.80%-99.70%-99.60%-99.50%-99.40%JulyAugustSeptemberOctoberNovemberDecember
-99.98%
-99.49%
SPXU
SDS

Key characteristics

Sharpe Ratio

SPXU:

-1.27

SDS:

-1.31

Sortino Ratio

SPXU:

-2.13

SDS:

-2.05

Omega Ratio

SPXU:

0.77

SDS:

0.78

Calmar Ratio

SPXU:

-0.47

SDS:

-0.33

Martin Ratio

SPXU:

-1.41

SDS:

-1.42

Ulcer Index

SPXU:

33.34%

SDS:

22.92%

Daily Std Dev

SPXU:

37.10%

SDS:

24.80%

Max Drawdown

SPXU:

-99.99%

SDS:

-99.77%

Current Drawdown

SPXU:

-99.98%

SDS:

-99.75%

Returns By Period

In the year-to-date period, SPXU achieves a -44.82% return, which is significantly lower than SDS's -30.76% return. Over the past 10 years, SPXU has underperformed SDS with an annualized return of -39.10%, while SDS has yielded a comparatively higher -25.58% annualized return.


SPXU

YTD

-44.82%

1M

1.13%

6M

-20.56%

1Y

-45.27%

5Y*

-45.11%

10Y*

-39.10%

SDS

YTD

-30.76%

1M

-0.05%

6M

-12.75%

1Y

-31.31%

5Y*

-29.44%

10Y*

-25.58%

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SPXU vs. SDS - Expense Ratio Comparison

SPXU has a 0.93% expense ratio, which is higher than SDS's 0.91% expense ratio.


SPXU
ProShares UltraPro Short S&P500
Expense ratio chart for SPXU: current value at 0.93% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.93%
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%

Risk-Adjusted Performance

SPXU vs. SDS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short S&P500 (SPXU) and ProShares UltraShort S&P500 (SDS). 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 SPXU, currently valued at -1.27, compared to the broader market0.002.004.00-1.27-1.31
The chart of Sortino ratio for SPXU, currently valued at -2.13, compared to the broader market-2.000.002.004.006.008.0010.00-2.13-2.05
The chart of Omega ratio for SPXU, currently valued at 0.77, compared to the broader market0.501.001.502.002.503.000.770.78
The chart of Calmar ratio for SPXU, currently valued at -0.47, compared to the broader market0.005.0010.0015.00-0.47-0.33
The chart of Martin ratio for SPXU, currently valued at -1.41, compared to the broader market0.0020.0040.0060.0080.00100.00-1.41-1.42
SPXU
SDS

The current SPXU Sharpe Ratio is -1.27, which is comparable to the SDS Sharpe Ratio of -1.31. The chart below compares the historical Sharpe Ratios of SPXU and SDS, 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-2.00-1.80-1.60-1.40-1.20-1.00-0.80JulyAugustSeptemberOctoberNovemberDecember
-1.27
-1.31
SPXU
SDS

Dividends

SPXU vs. SDS - Dividend Comparison

SPXU's dividend yield for the trailing twelve months is around 7.43%, more than SDS's 5.72% yield.


TTM2023202220212020201920182017
SPXU
ProShares UltraPro Short S&P500
7.43%7.07%0.39%0.00%0.71%2.14%1.41%0.11%
SDS
ProShares UltraShort S&P500
5.72%5.77%0.35%0.00%0.55%1.84%1.28%0.09%

Drawdowns

SPXU vs. SDS - Drawdown Comparison

The maximum SPXU drawdown since its inception was -99.99%, roughly equal to the maximum SDS drawdown of -99.77%. Use the drawdown chart below to compare losses from any high point for SPXU and SDS. For additional features, visit the drawdowns tool.


-100.00%-99.90%-99.80%-99.70%-99.60%-99.50%-99.40%JulyAugustSeptemberOctoberNovemberDecember
-99.98%
-99.53%
SPXU
SDS

Volatility

SPXU vs. SDS - Volatility Comparison

ProShares UltraPro Short S&P500 (SPXU) has a higher volatility of 10.93% compared to ProShares UltraShort S&P500 (SDS) at 7.32%. This indicates that SPXU's price experiences larger fluctuations and is considered to be riskier than SDS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.93%
7.32%
SPXU
SDS
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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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