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

Key characteristics


SRTYUPRO
YTD Return-45.17%74.91%
1Y Return-68.53%118.47%
3Y Return (Ann)-21.69%10.04%
5Y Return (Ann)-49.57%25.87%
10Y Return (Ann)-41.06%24.93%
Sharpe Ratio-1.063.23
Sortino Ratio-1.873.50
Omega Ratio0.781.49
Calmar Ratio-0.692.75
Martin Ratio-1.4319.52
Ulcer Index47.76%6.03%
Daily Std Dev64.65%36.51%
Max Drawdown-99.99%-76.82%
Current Drawdown-99.99%-0.97%

Correlation

-0.50.00.51.0-0.8

The correlation between SRTY and UPRO is -0.84. 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.

Performance

SRTY vs. UPRO - Performance Comparison

In the year-to-date period, SRTY achieves a -45.17% return, which is significantly lower than UPRO's 74.91% return. Over the past 10 years, SRTY has underperformed UPRO with an annualized return of -41.06%, while UPRO has yielded a comparatively higher 24.93% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-50.00%
38.29%
SRTY
UPRO

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SRTY vs. UPRO - Expense Ratio Comparison

SRTY has a 0.95% expense ratio, which is higher than UPRO's 0.92% expense ratio.


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 UPRO: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%

Risk-Adjusted Performance

SRTY vs. UPRO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short Russell2000 (SRTY) and ProShares UltraPro S&P 500 (UPRO). 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 -1.06, compared to the broader market-2.000.002.004.00-1.06
Sortino ratio
The chart of Sortino ratio for SRTY, currently valued at -1.87, compared to the broader market0.005.0010.00-1.87
Omega ratio
The chart of Omega ratio for SRTY, currently valued at 0.78, compared to the broader market1.001.502.002.503.000.78
Calmar ratio
The chart of Calmar ratio for SRTY, currently valued at -0.69, compared to the broader market0.005.0010.0015.00-0.69
Martin ratio
The chart of Martin ratio for SRTY, currently valued at -1.43, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.43
UPRO
Sharpe ratio
The chart of Sharpe ratio for UPRO, currently valued at 3.23, compared to the broader market-2.000.002.004.003.23
Sortino ratio
The chart of Sortino ratio for UPRO, currently valued at 3.50, compared to the broader market0.005.0010.003.50
Omega ratio
The chart of Omega ratio for UPRO, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for UPRO, currently valued at 2.75, compared to the broader market0.005.0010.0015.002.75
Martin ratio
The chart of Martin ratio for UPRO, currently valued at 19.52, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.52

SRTY vs. UPRO - Sharpe Ratio Comparison

The current SRTY Sharpe Ratio is -1.06, which is lower than the UPRO Sharpe Ratio of 3.23. The chart below compares the historical Sharpe Ratios of SRTY and UPRO, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-1.06
3.23
SRTY
UPRO

Dividends

SRTY vs. UPRO - Dividend Comparison

SRTY's dividend yield for the trailing twelve months is around 11.47%, more than UPRO's 0.72% yield.


TTM20232022202120202019201820172016201520142013
SRTY
ProShares UltraPro Short Russell2000
11.47%4.93%0.16%0.00%0.95%2.12%0.70%0.04%0.00%0.00%0.00%0.00%
UPRO
ProShares UltraPro S&P 500
0.72%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%

Drawdowns

SRTY vs. UPRO - Drawdown Comparison

The maximum SRTY drawdown since its inception was -99.99%, which is greater than UPRO's maximum drawdown of -76.82%. Use the drawdown chart below to compare losses from any high point for SRTY and UPRO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.99%
-0.97%
SRTY
UPRO

Volatility

SRTY vs. UPRO - Volatility Comparison

ProShares UltraPro Short Russell2000 (SRTY) has a higher volatility of 24.07% compared to ProShares UltraPro S&P 500 (UPRO) at 11.63%. This indicates that SRTY's price experiences larger fluctuations and is considered to be riskier than UPRO 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%30.00%JuneJulyAugustSeptemberOctoberNovember
24.07%
11.63%
SRTY
UPRO