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URTY vs. JNUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

URTY vs. JNUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraPro Russell2000 (URTY) and Direxion Daily Junior Gold Miners Index Bull 2x Shares (JNUG). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%50.00%JuneJulyAugustSeptemberOctoberNovember
33.20%
8.33%
URTY
JNUG

Returns By Period

In the year-to-date period, URTY achieves a 30.50% return, which is significantly lower than JNUG's 36.62% return. Over the past 10 years, URTY has outperformed JNUG with an annualized return of 3.17%, while JNUG has yielded a comparatively lower -37.30% annualized return.


URTY

YTD

30.50%

1M

16.07%

6M

37.38%

1Y

83.66%

5Y (annualized)

-3.77%

10Y (annualized)

3.17%

JNUG

YTD

36.62%

1M

-24.58%

6M

9.72%

1Y

55.73%

5Y (annualized)

-39.01%

10Y (annualized)

-37.30%

Key characteristics


URTYJNUG
Sharpe Ratio1.390.76
Sortino Ratio2.021.43
Omega Ratio1.241.17
Calmar Ratio1.160.54
Martin Ratio6.713.08
Ulcer Index12.97%17.59%
Daily Std Dev62.67%70.99%
Max Drawdown-88.09%-99.95%
Current Drawdown-54.21%-99.88%

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URTY vs. JNUG - Expense Ratio Comparison

URTY has a 0.95% expense ratio, which is lower than JNUG's 1.17% expense ratio.


JNUG
Direxion Daily Junior Gold Miners Index Bull 2x Shares
Expense ratio chart for JNUG: current value at 1.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.17%
Expense ratio chart for URTY: 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

-0.50.00.51.00.2

The correlation between URTY and JNUG is 0.16, 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.

Risk-Adjusted Performance

URTY vs. JNUG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Russell2000 (URTY) and Direxion Daily Junior Gold Miners Index Bull 2x Shares (JNUG). 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 URTY, currently valued at 1.39, compared to the broader market0.002.004.001.390.76
The chart of Sortino ratio for URTY, currently valued at 2.02, compared to the broader market-2.000.002.004.006.008.0010.002.021.43
The chart of Omega ratio for URTY, currently valued at 1.24, compared to the broader market0.501.001.502.002.503.001.241.17
The chart of Calmar ratio for URTY, currently valued at 1.16, compared to the broader market0.005.0010.0015.001.160.54
The chart of Martin ratio for URTY, currently valued at 6.71, compared to the broader market0.0020.0040.0060.0080.00100.006.713.08
URTY
JNUG

The current URTY Sharpe Ratio is 1.39, which is higher than the JNUG Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of URTY and JNUG, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.39
0.76
URTY
JNUG

Dividends

URTY vs. JNUG - Dividend Comparison

URTY's dividend yield for the trailing twelve months is around 0.68%, less than JNUG's 1.81% yield.


TTM2023202220212020201920182017201620152014
URTY
ProShares UltraPro Russell2000
0.68%0.55%0.28%0.00%0.00%0.18%0.27%0.00%0.03%0.00%0.00%
JNUG
Direxion Daily Junior Gold Miners Index Bull 2x Shares
1.81%1.62%0.00%0.52%0.10%0.49%0.05%0.52%0.00%0.00%4.64%

Drawdowns

URTY vs. JNUG - Drawdown Comparison

The maximum URTY drawdown since its inception was -88.09%, smaller than the maximum JNUG drawdown of -99.95%. Use the drawdown chart below to compare losses from any high point for URTY and JNUG. For additional features, visit the drawdowns tool.


-100.00%-90.00%-80.00%-70.00%-60.00%-50.00%JuneJulyAugustSeptemberOctoberNovember
-54.21%
-99.88%
URTY
JNUG

Volatility

URTY vs. JNUG - Volatility Comparison

ProShares UltraPro Russell2000 (URTY) and Direxion Daily Junior Gold Miners Index Bull 2x Shares (JNUG) have volatilities of 21.95% and 21.00%, 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.


10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
21.95%
21.00%
URTY
JNUG