PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SRTY vs. SQQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SRTY vs. SQQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraPro Short Russell2000 (SRTY) and ProShares UltraPro Short QQQ (SQQQ). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-50.00%
-100.00%
SRTY
SQQQ

Returns By Period

In the year-to-date period, SRTY achieves a -40.39% return, which is significantly higher than SQQQ's -47.90% return. Over the past 10 years, SRTY has outperformed SQQQ with an annualized return of -40.54%, while SQQQ has yielded a comparatively lower -52.11% annualized return.


SRTY

YTD

-40.39%

1M

-13.07%

6M

-33.60%

1Y

-60.05%

5Y (annualized)

-48.72%

10Y (annualized)

-40.54%

SQQQ

YTD

-47.90%

1M

-5.01%

6M

-29.06%

1Y

-55.26%

5Y (annualized)

-59.31%

10Y (annualized)

-52.11%

Key characteristics


SRTYSQQQ
Sharpe Ratio-0.93-1.04
Sortino Ratio-1.43-1.74
Omega Ratio0.840.81
Calmar Ratio-0.58-0.54
Martin Ratio-1.43-1.40
Ulcer Index40.75%38.96%
Daily Std Dev62.75%52.15%
Max Drawdown-99.99%-100.00%
Current Drawdown-99.99%-100.00%

Compare stocks, funds, or ETFs

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


SRTY vs. SQQQ - Expense Ratio Comparison

Both SRTY and SQQQ have an expense ratio of 0.95%.


SRTY
ProShares UltraPro Short Russell2000
Expense ratio chart for SRTY: 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 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%

Correlation

-0.50.00.51.00.7

The correlation between SRTY and SQQQ is 0.70, 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.

Risk-Adjusted Performance

SRTY vs. SQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short Russell2000 (SRTY) and ProShares UltraPro Short QQQ (SQQQ). 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 SRTY, currently valued at -0.93, compared to the broader market0.002.004.00-0.93-1.04
The chart of Sortino ratio for SRTY, currently valued at -1.43, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.43-1.74
The chart of Omega ratio for SRTY, currently valued at 0.84, compared to the broader market0.501.001.502.002.503.000.840.81
The chart of Calmar ratio for SRTY, currently valued at -0.58, compared to the broader market0.005.0010.0015.00-0.58-0.54
The chart of Martin ratio for SRTY, currently valued at -1.43, compared to the broader market0.0020.0040.0060.0080.00100.00-1.43-1.40
SRTY
SQQQ

The current SRTY Sharpe Ratio is -0.93, which is comparable to the SQQQ Sharpe Ratio of -1.04. The chart below compares the historical Sharpe Ratios of SRTY and SQQQ, 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-1.40-1.20-1.00-0.80-0.60-0.40JuneJulyAugustSeptemberOctoberNovember
-0.93
-1.04
SRTY
SQQQ

Dividends

SRTY vs. SQQQ - Dividend Comparison

SRTY's dividend yield for the trailing twelve months is around 10.55%, less than SQQQ's 11.22% yield.


TTM2023202220212020201920182017
SRTY
ProShares UltraPro Short Russell2000
10.55%4.93%0.16%0.00%0.95%2.12%0.70%0.04%
SQQQ
ProShares UltraPro Short QQQ
11.22%8.01%0.28%0.00%2.15%2.92%1.47%0.14%

Drawdowns

SRTY vs. SQQQ - Drawdown Comparison

The maximum SRTY drawdown since its inception was -99.99%, roughly equal to the maximum SQQQ drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SRTY and SQQQ. For additional features, visit the drawdowns tool.


-100.00%-100.00%-99.99%-99.99%-99.98%JuneJulyAugustSeptemberOctoberNovember
-99.99%
-100.00%
SRTY
SQQQ

Volatility

SRTY vs. SQQQ - Volatility Comparison

ProShares UltraPro Short Russell2000 (SRTY) has a higher volatility of 24.32% compared to ProShares UltraPro Short QQQ (SQQQ) at 16.94%. This indicates that SRTY's price experiences larger fluctuations and is considered to be riskier than SQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
24.32%
16.94%
SRTY
SQQQ