SSO vs. TSM
Compare and contrast key facts about ProShares Ultra S&P 500 (SSO) and Taiwan Semiconductor Manufacturing Company Limited (TSM).
SSO is a passively managed fund by ProShares that tracks the performance of the S&P 500 Index (200%). It was launched on Jun 21, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SSO or TSM.
Key characteristics
| SSO | TSM | |
|---|---|---|
| YTD Return | 13.16% | 36.66% |
| 1Y Return | 51.13% | 72.67% |
| 3Y Return (Ann) | 9.78% | 9.11% |
| 5Y Return (Ann) | 18.74% | 29.35% |
| 10Y Return (Ann) | 19.40% | 24.94% |
| Sharpe Ratio | 2.10 | 2.25 |
| Daily Std Dev | 23.25% | 33.03% |
| Max Drawdown | -84.67% | -84.63% |
| Current Drawdown | -5.31% | -4.74% |
Correlation
The correlation between SSO and TSM is 0.61, 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.
Performance
SSO vs. TSM - Performance Comparison
In the year-to-date period, SSO achieves a 13.16% return, which is significantly lower than TSM's 36.66% return. Over the past 10 years, SSO has underperformed TSM with an annualized return of 19.40%, while TSM has yielded a comparatively higher 24.94% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
SSO vs. TSM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra S&P 500 (SSO) and Taiwan Semiconductor Manufacturing Company Limited (TSM). 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.
Dividends
SSO vs. TSM - Dividend Comparison
SSO's dividend yield for the trailing twelve months is around 0.40%, less than TSM's 1.38% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SSO ProShares Ultra S&P 500 | 0.40% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.50% | 0.63% | 0.33% | 0.26% |
TSM Taiwan Semiconductor Manufacturing Company Limited | 1.38% | 1.78% | 2.48% | 1.56% | 1.58% | 3.49% | 3.55% | 2.32% | 2.61% | 2.54% | 1.79% | 2.30% |
Drawdowns
SSO vs. TSM - Drawdown Comparison
The maximum SSO drawdown since its inception was -84.67%, roughly equal to the maximum TSM drawdown of -84.63%. Use the drawdown chart below to compare losses from any high point for SSO and TSM. For additional features, visit the drawdowns tool.
Volatility
SSO vs. TSM - Volatility Comparison
The current volatility for ProShares Ultra S&P 500 (SSO) is 8.20%, while Taiwan Semiconductor Manufacturing Company Limited (TSM) has a volatility of 10.04%. This indicates that SSO experiences smaller price fluctuations and is considered to be less risky than TSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.