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

Key characteristics


SRTYSQQQ
YTD Return-47.92%-51.04%
1Y Return-70.08%-61.09%
3Y Return (Ann)-23.05%-39.70%
5Y Return (Ann)-50.08%-59.85%
10Y Return (Ann)-41.37%-52.54%
Sharpe Ratio-1.10-1.22
Sortino Ratio-2.03-2.27
Omega Ratio0.760.75
Calmar Ratio-0.71-0.64
Martin Ratio-1.49-1.57
Ulcer Index47.56%40.67%
Daily Std Dev64.53%52.03%
Max Drawdown-99.99%-100.00%
Current Drawdown-99.99%-100.00%

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.

Performance

SRTY vs. SQQQ - Performance Comparison

In the year-to-date period, SRTY achieves a -47.92% return, which is significantly higher than SQQQ's -51.04% return. Over the past 10 years, SRTY has outperformed SQQQ with an annualized return of -41.37%, while SQQQ has yielded a comparatively lower -52.54% 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
-50.00%
-100.00%
SRTY
SQQQ

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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%

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.


SRTY
Sharpe ratio
The chart of Sharpe ratio for SRTY, currently valued at -1.10, compared to the broader market-2.000.002.004.006.00-1.10
Sortino ratio
The chart of Sortino ratio for SRTY, currently valued at -2.03, compared to the broader market0.005.0010.00-2.03
Omega ratio
The chart of Omega ratio for SRTY, currently valued at 0.76, compared to the broader market1.001.502.002.503.000.76
Calmar ratio
The chart of Calmar ratio for SRTY, currently valued at -0.71, compared to the broader market0.005.0010.0015.00-0.71
Martin ratio
The chart of Martin ratio for SRTY, currently valued at -1.49, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.49
SQQQ
Sharpe ratio
The chart of Sharpe ratio for SQQQ, currently valued at -1.22, compared to the broader market-2.000.002.004.006.00-1.22
Sortino ratio
The chart of Sortino ratio for SQQQ, currently valued at -2.27, compared to the broader market0.005.0010.00-2.27
Omega ratio
The chart of Omega ratio for SQQQ, currently valued at 0.75, compared to the broader market1.001.502.002.503.000.75
Calmar ratio
The chart of Calmar ratio for SQQQ, currently valued at -0.64, compared to the broader market0.005.0010.0015.00-0.64
Martin ratio
The chart of Martin ratio for SQQQ, currently valued at -1.57, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.57

SRTY vs. SQQQ - Sharpe Ratio Comparison

The current SRTY Sharpe Ratio is -1.10, which is comparable to the SQQQ Sharpe Ratio of -1.22. 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
-1.10
-1.22
SRTY
SQQQ

Dividends

SRTY vs. SQQQ - Dividend Comparison

SRTY's dividend yield for the trailing twelve months is around 12.07%, more than SQQQ's 10.05% yield.


TTM2023202220212020201920182017
SRTY
ProShares UltraPro Short Russell2000
12.07%4.93%0.16%0.00%0.95%2.12%0.70%0.04%
SQQQ
ProShares UltraPro Short QQQ
10.05%8.01%0.06%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 23.21% compared to ProShares UltraPro Short QQQ (SQQQ) at 15.54%. 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
23.21%
15.54%
SRTY
SQQQ