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

Key characteristics


SQQQSPXU
YTD Return-50.78%-46.47%
1Y Return-61.24%-57.31%
3Y Return (Ann)-39.55%-28.74%
5Y Return (Ann)-59.81%-46.81%
10Y Return (Ann)-52.50%-39.78%
Sharpe Ratio-1.17-1.57
Sortino Ratio-2.12-2.83
Omega Ratio0.770.69
Calmar Ratio-0.61-0.57
Martin Ratio-1.49-1.47
Ulcer Index40.86%38.93%
Daily Std Dev51.94%36.40%
Max Drawdown-100.00%-99.98%
Current Drawdown-100.00%-99.98%

Correlation

-0.50.00.51.00.9

The correlation between SQQQ and SPXU is 0.87, 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.

Performance

SQQQ vs. SPXU - Performance Comparison

In the year-to-date period, SQQQ achieves a -50.78% return, which is significantly lower than SPXU's -46.47% return. Over the past 10 years, SQQQ has underperformed SPXU with an annualized return of -52.50%, while SPXU has yielded a comparatively higher -39.78% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-40.00%
SQQQ
SPXU

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SQQQ vs. SPXU - Expense Ratio Comparison

SQQQ has a 0.95% expense ratio, which is higher than SPXU's 0.93% expense ratio.


SQQQ
ProShares UltraPro Short QQQ
Expense ratio chart for SQQQ: 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 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%

Risk-Adjusted Performance

SQQQ vs. SPXU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short QQQ (SQQQ) and ProShares UltraPro Short S&P500 (SPXU). 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.


SQQQ
Sharpe ratio
The chart of Sharpe ratio for SQQQ, currently valued at -1.17, compared to the broader market-2.000.002.004.00-1.17
Sortino ratio
The chart of Sortino ratio for SQQQ, currently valued at -2.12, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.12
Omega ratio
The chart of Omega ratio for SQQQ, currently valued at 0.77, compared to the broader market1.001.502.002.503.000.77
Calmar ratio
The chart of Calmar ratio for SQQQ, currently valued at -0.61, compared to the broader market0.005.0010.0015.00-0.61
Martin ratio
The chart of Martin ratio for SQQQ, currently valued at -1.49, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.49
SPXU
Sharpe ratio
The chart of Sharpe ratio for SPXU, currently valued at -1.57, compared to the broader market-2.000.002.004.00-1.57
Sortino ratio
The chart of Sortino ratio for SPXU, currently valued at -2.83, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.83
Omega ratio
The chart of Omega ratio for SPXU, currently valued at 0.69, compared to the broader market1.001.502.002.503.000.69
Calmar ratio
The chart of Calmar ratio for SPXU, currently valued at -0.57, compared to the broader market0.005.0010.0015.00-0.57
Martin ratio
The chart of Martin ratio for SPXU, currently valued at -1.47, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.47

SQQQ vs. SPXU - Sharpe Ratio Comparison

The current SQQQ Sharpe Ratio is -1.17, which is comparable to the SPXU Sharpe Ratio of -1.57. The chart below compares the historical Sharpe Ratios of SQQQ and SPXU, 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-1.80-1.60-1.40-1.20-1.00-0.80JuneJulyAugustSeptemberOctoberNovember
-1.17
-1.57
SQQQ
SPXU

Dividends

SQQQ vs. SPXU - Dividend Comparison

SQQQ's dividend yield for the trailing twelve months is around 10.00%, less than SPXU's 11.84% yield.


TTM2023202220212020201920182017
SQQQ
ProShares UltraPro Short QQQ
10.00%8.01%0.06%0.00%2.15%2.92%1.47%0.14%
SPXU
ProShares UltraPro Short S&P500
11.84%7.07%0.39%0.00%0.71%2.14%1.41%0.11%

Drawdowns

SQQQ vs. SPXU - Drawdown Comparison

The maximum SQQQ drawdown since its inception was -100.00%, roughly equal to the maximum SPXU drawdown of -99.98%. Use the drawdown chart below to compare losses from any high point for SQQQ and SPXU. For additional features, visit the drawdowns tool.


-100.00%-99.99%-99.98%-99.97%-99.96%-99.95%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-99.97%
SQQQ
SPXU

Volatility

SQQQ vs. SPXU - Volatility Comparison

ProShares UltraPro Short QQQ (SQQQ) has a higher volatility of 15.44% compared to ProShares UltraPro Short S&P500 (SPXU) at 11.84%. This indicates that SQQQ's price experiences larger fluctuations and is considered to be riskier than SPXU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
15.44%
11.84%
SQQQ
SPXU