TSM vs. SSO
Compare and contrast key facts about Taiwan Semiconductor Manufacturing Company Limited (TSM) and ProShares Ultra S&P 500 (SSO).
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: TSM or SSO.
Performance
TSM vs. SSO - Performance Comparison
Returns By Period
In the year-to-date period, TSM achieves a 80.81% return, which is significantly higher than SSO's 43.76% return. Over the past 10 years, TSM has outperformed SSO with an annualized return of 27.03%, while SSO has yielded a comparatively lower 19.91% annualized return.
TSM
80.81%
-0.78%
23.47%
91.71%
31.07%
27.03%
SSO
43.76%
0.48%
18.81%
60.14%
21.93%
19.91%
Key characteristics
| TSM | SSO | |
|---|---|---|
| Sharpe Ratio | 2.32 | 2.48 |
| Sortino Ratio | 3.01 | 3.07 |
| Omega Ratio | 1.37 | 1.42 |
| Calmar Ratio | 3.17 | 2.93 |
| Martin Ratio | 12.92 | 15.24 |
| Ulcer Index | 7.06% | 3.97% |
| Daily Std Dev | 39.29% | 24.32% |
| Max Drawdown | -84.63% | -84.67% |
| Current Drawdown | -9.63% | -4.42% |
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Correlation
The correlation between TSM and SSO 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.
Risk-Adjusted Performance
TSM vs. SSO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Taiwan Semiconductor Manufacturing Company Limited (TSM) and ProShares Ultra S&P 500 (SSO). 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
TSM vs. SSO - Dividend Comparison
TSM's dividend yield for the trailing twelve months is around 1.18%, more than SSO's 0.71% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TSM Taiwan Semiconductor Manufacturing Company Limited | 1.18% | 1.78% | 2.48% | 1.56% | 1.58% | 3.49% | 3.55% | 2.32% | 2.61% | 2.54% | 1.79% | 2.30% |
SSO ProShares Ultra S&P 500 | 0.71% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.51% | 0.63% | 0.32% | 0.26% |
Drawdowns
TSM vs. SSO - Drawdown Comparison
The maximum TSM drawdown since its inception was -84.63%, roughly equal to the maximum SSO drawdown of -84.67%. Use the drawdown chart below to compare losses from any high point for TSM and SSO. For additional features, visit the drawdowns tool.
Volatility
TSM vs. SSO - Volatility Comparison
Taiwan Semiconductor Manufacturing Company Limited (TSM) has a higher volatility of 9.81% compared to ProShares Ultra S&P 500 (SSO) at 8.16%. This indicates that TSM's price experiences larger fluctuations and is considered to be riskier than SSO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.