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TBX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between TBX and ^GSPC is 0.21, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

TBX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Short 7-10 Year Treasury (TBX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
3.47%
7.20%
TBX
^GSPC

Key characteristics

Sharpe Ratio

TBX:

1.10

^GSPC:

1.83

Sortino Ratio

TBX:

1.69

^GSPC:

2.46

Omega Ratio

TBX:

1.19

^GSPC:

1.34

Calmar Ratio

TBX:

0.30

^GSPC:

2.72

Martin Ratio

TBX:

2.85

^GSPC:

11.89

Ulcer Index

TBX:

2.73%

^GSPC:

1.94%

Daily Std Dev

TBX:

7.05%

^GSPC:

12.57%

Max Drawdown

TBX:

-41.04%

^GSPC:

-56.78%

Current Drawdown

TBX:

-19.07%

^GSPC:

-3.66%

Returns By Period

In the year-to-date period, TBX achieves a 7.92% return, which is significantly lower than ^GSPC's 23.00% return. Over the past 10 years, TBX has underperformed ^GSPC with an annualized return of 0.80%, while ^GSPC has yielded a comparatively higher 10.96% annualized return.


TBX

YTD

7.92%

1M

0.74%

6M

3.75%

1Y

8.02%

5Y*

4.00%

10Y*

0.80%

^GSPC

YTD

23.00%

1M

-0.84%

6M

7.20%

1Y

24.88%

5Y*

12.77%

10Y*

10.96%

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Risk-Adjusted Performance

TBX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short 7-10 Year Treasury (TBX) and S&P 500 (^GSPC). 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 TBX, currently valued at 1.14, compared to the broader market0.002.004.001.141.83
The chart of Sortino ratio for TBX, currently valued at 1.75, compared to the broader market-2.000.002.004.006.008.0010.001.752.46
The chart of Omega ratio for TBX, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.201.34
The chart of Calmar ratio for TBX, currently valued at 0.31, compared to the broader market0.005.0010.0015.000.312.72
The chart of Martin ratio for TBX, currently valued at 2.94, compared to the broader market0.0020.0040.0060.0080.00100.002.9411.89
TBX
^GSPC

The current TBX Sharpe Ratio is 1.10, which is lower than the ^GSPC Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of TBX and ^GSPC, 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.14
1.83
TBX
^GSPC

Drawdowns

TBX vs. ^GSPC - Drawdown Comparison

The maximum TBX drawdown since its inception was -41.04%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TBX and ^GSPC. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-19.07%
-3.66%
TBX
^GSPC

Volatility

TBX vs. ^GSPC - Volatility Comparison

The current volatility for ProShares Short 7-10 Year Treasury (TBX) is 1.95%, while S&P 500 (^GSPC) has a volatility of 3.62%. This indicates that TBX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.95%
3.62%
TBX
^GSPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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