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

Performance

SRTY vs. YANG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraPro Short Russell2000 (SRTY) and Direxion Daily China 3x Bear Shares (YANG). The values are adjusted to include any dividend payments, if applicable.

-60.00%-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-50.00%
-50.00%
SRTY
YANG

Returns By Period

In the year-to-date period, SRTY achieves a -43.22% return, which is significantly higher than YANG's -69.14% return. Over the past 10 years, SRTY has underperformed YANG with an annualized return of -40.62%, while YANG has yielded a comparatively higher -36.01% annualized return.


SRTY

YTD

-43.22%

1M

-18.10%

6M

-39.82%

1Y

-61.28%

5Y (annualized)

-49.19%

10Y (annualized)

-40.62%

YANG

YTD

-69.14%

1M

11.70%

6M

-46.72%

1Y

-63.61%

5Y (annualized)

-39.42%

10Y (annualized)

-36.01%

Key characteristics


SRTYYANG
Sharpe Ratio-0.99-0.65
Sortino Ratio-1.61-0.71
Omega Ratio0.820.91
Calmar Ratio-0.62-0.64
Martin Ratio-1.54-1.25
Ulcer Index40.14%51.10%
Daily Std Dev62.76%98.67%
Max Drawdown-99.99%-99.96%
Current Drawdown-99.99%-99.94%

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SRTY vs. YANG - Expense Ratio Comparison

SRTY has a 0.95% expense ratio, which is lower than YANG's 1.07% expense ratio.


YANG
Direxion Daily China 3x Bear Shares
Expense ratio chart for YANG: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
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%

Correlation

-0.50.00.51.00.5

The correlation between SRTY and YANG is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

SRTY vs. YANG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short Russell2000 (SRTY) and Direxion Daily China 3x Bear Shares (YANG). 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 -0.99, compared to the broader market0.002.004.00-0.99-0.65
The chart of Sortino ratio for SRTY, currently valued at -1.61, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.61-0.71
The chart of Omega ratio for SRTY, currently valued at 0.82, compared to the broader market0.501.001.502.002.503.000.820.91
The chart of Calmar ratio for SRTY, currently valued at -0.62, compared to the broader market0.005.0010.0015.00-0.62-0.64
The chart of Martin ratio for SRTY, currently valued at -1.54, compared to the broader market0.0020.0040.0060.0080.00100.00-1.54-1.25
SRTY
YANG

The current SRTY Sharpe Ratio is -0.99, which is lower than the YANG Sharpe Ratio of -0.65. The chart below compares the historical Sharpe Ratios of SRTY and YANG, 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-1.00-0.500.00JuneJulyAugustSeptemberOctoberNovember
-0.99
-0.65
SRTY
YANG

Dividends

SRTY vs. YANG - Dividend Comparison

SRTY's dividend yield for the trailing twelve months is around 11.07%, more than YANG's 2.86% yield.


TTM2023202220212020201920182017
SRTY
ProShares UltraPro Short Russell2000
11.07%4.93%0.16%0.00%0.95%2.12%0.70%0.04%
YANG
Direxion Daily China 3x Bear Shares
2.86%0.78%0.00%0.00%0.68%0.77%0.40%0.00%

Drawdowns

SRTY vs. YANG - Drawdown Comparison

The maximum SRTY drawdown since its inception was -99.99%, roughly equal to the maximum YANG drawdown of -99.96%. Use the drawdown chart below to compare losses from any high point for SRTY and YANG. For additional features, visit the drawdowns tool.


-100.00%-99.95%-99.90%-99.85%JuneJulyAugustSeptemberOctoberNovember
-99.99%
-99.93%
SRTY
YANG

Volatility

SRTY vs. YANG - Volatility Comparison

The current volatility for ProShares UltraPro Short Russell2000 (SRTY) is 24.38%, while Direxion Daily China 3x Bear Shares (YANG) has a volatility of 30.74%. This indicates that SRTY experiences smaller price fluctuations and is considered to be less risky than YANG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%20.00%30.00%40.00%50.00%60.00%70.00%JuneJulyAugustSeptemberOctoberNovember
24.38%
30.74%
SRTY
YANG