UMDD vs. SAA
Compare and contrast key facts about ProShares UltraPro MidCap400 (UMDD) and ProShares Ultra SmallCap600 (SAA).
UMDD and SAA are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. UMDD is a passively managed fund by ProShares that tracks the performance of the S&P MidCap 400 Index (300%). It was launched on Feb 9, 2010. SAA is a passively managed fund by ProShares that tracks the performance of the S&P SmallCap 600 Index (200%). It was launched on Jan 25, 2007. Both UMDD and SAA are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: UMDD or SAA.
Key characteristics
| UMDD | SAA | |
|---|---|---|
| YTD Return | 48.13% | 25.91% |
| 1Y Return | 114.98% | 75.13% |
| 3Y Return (Ann) | -4.25% | -3.56% |
| 5Y Return (Ann) | 8.68% | 9.68% |
| 10Y Return (Ann) | 11.94% | 12.38% |
| Sharpe Ratio | 2.52 | 1.83 |
| Sortino Ratio | 2.98 | 2.56 |
| Omega Ratio | 1.37 | 1.31 |
| Calmar Ratio | 2.06 | 1.57 |
| Martin Ratio | 12.98 | 8.94 |
| Ulcer Index | 9.47% | 8.68% |
| Daily Std Dev | 48.77% | 42.52% |
| Max Drawdown | -86.24% | -87.40% |
| Current Drawdown | -13.00% | -11.32% |
Correlation
The correlation between UMDD and SAA is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
UMDD vs. SAA - Performance Comparison
In the year-to-date period, UMDD achieves a 48.13% return, which is significantly higher than SAA's 25.91% return. Both investments have delivered pretty close results over the past 10 years, with UMDD having a 11.94% annualized return and SAA not far ahead at 12.38%. 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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UMDD vs. SAA - Expense Ratio Comparison
Both UMDD and SAA have an expense ratio of 0.95%.
Risk-Adjusted Performance
UMDD vs. SAA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro MidCap400 (UMDD) and ProShares Ultra SmallCap600 (SAA). 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
UMDD vs. SAA - Dividend Comparison
UMDD's dividend yield for the trailing twelve months is around 0.41%, less than SAA's 1.04% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
UMDD ProShares UltraPro MidCap400 | 0.41% | 0.19% | 0.49% | 0.06% | 0.08% | 0.64% | 0.32% | 0.00% | 0.03% | 0.06% | 0.08% |
SAA ProShares Ultra SmallCap600 | 1.04% | 0.87% | 0.46% | 0.00% | 0.03% | 0.35% | 0.27% | 0.00% | 0.41% | 0.00% | 0.00% |
Drawdowns
UMDD vs. SAA - Drawdown Comparison
The maximum UMDD drawdown since its inception was -86.24%, roughly equal to the maximum SAA drawdown of -87.40%. Use the drawdown chart below to compare losses from any high point for UMDD and SAA. For additional features, visit the drawdowns tool.
Volatility
UMDD vs. SAA - Volatility Comparison
ProShares UltraPro MidCap400 (UMDD) and ProShares Ultra SmallCap600 (SAA) have volatilities of 15.11% and 14.43%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.