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

Key characteristics


SRTYVOO
YTD Return-45.48%27.15%
1Y Return-69.68%39.90%
3Y Return (Ann)-21.33%10.28%
5Y Return (Ann)-49.38%16.00%
10Y Return (Ann)-40.98%13.43%
Sharpe Ratio-1.063.15
Sortino Ratio-1.864.19
Omega Ratio0.781.59
Calmar Ratio-0.684.60
Martin Ratio-1.4021.00
Ulcer Index48.88%1.85%
Daily Std Dev64.53%12.34%
Max Drawdown-99.99%-33.99%
Current Drawdown-99.99%0.00%

Correlation

-0.50.00.51.0-0.8

The correlation between SRTY and VOO 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. VOO - Performance Comparison

In the year-to-date period, SRTY achieves a -45.48% return, which is significantly lower than VOO's 27.15% return. Over the past 10 years, SRTY has underperformed VOO with an annualized return of -40.98%, while VOO has yielded a comparatively higher 13.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-30.00%-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-33.33%
15.64%
SRTY
VOO

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SRTY vs. VOO - Expense Ratio Comparison

SRTY has a 0.95% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SRTY vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short Russell2000 (SRTY) and Vanguard S&P 500 ETF (VOO). 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 -1.86, compared to the broader market0.005.0010.00-1.86
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 -0.68, compared to the broader market0.005.0010.0015.00-0.68
Martin ratio
The chart of Martin ratio for SRTY, currently valued at -1.40, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.40
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.15, compared to the broader market-2.000.002.004.003.15
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.19, compared to the broader market0.005.0010.004.19
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for VOO, currently valued at 21.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.00

SRTY vs. VOO - Sharpe Ratio Comparison

The current SRTY Sharpe Ratio is -1.06, which is lower than the VOO Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of SRTY and VOO, 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
3.15
SRTY
VOO

Dividends

SRTY vs. VOO - Dividend Comparison

SRTY's dividend yield for the trailing twelve months is around 11.53%, more than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
SRTY
ProShares UltraPro Short Russell2000
11.53%4.93%0.16%0.00%0.95%2.12%0.70%0.04%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

SRTY vs. VOO - Drawdown Comparison

The maximum SRTY drawdown since its inception was -99.99%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for SRTY and VOO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.98%
0
SRTY
VOO

Volatility

SRTY vs. VOO - Volatility Comparison

ProShares UltraPro Short Russell2000 (SRTY) has a higher volatility of 23.48% compared to Vanguard S&P 500 ETF (VOO) at 3.95%. This indicates that SRTY's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
23.48%
3.95%
SRTY
VOO