PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
URTY vs. SQQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

URTY vs. SQQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraPro Russell2000 (URTY) and ProShares UltraPro Short QQQ (SQQQ). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
17.31%
-100.00%
URTY
SQQQ

Returns By Period

In the year-to-date period, URTY achieves a 20.95% return, which is significantly higher than SQQQ's -45.78% return. Over the past 10 years, URTY has outperformed SQQQ with an annualized return of 2.80%, while SQQQ has yielded a comparatively lower -51.95% annualized return.


URTY

YTD

20.95%

1M

-0.30%

6M

18.17%

1Y

75.69%

5Y (annualized)

-5.51%

10Y (annualized)

2.80%

SQQQ

YTD

-45.78%

1M

-3.47%

6M

-27.95%

1Y

-54.25%

5Y (annualized)

-58.82%

10Y (annualized)

-51.95%

Key characteristics


URTYSQQQ
Sharpe Ratio1.07-1.04
Sortino Ratio1.73-1.73
Omega Ratio1.200.81
Calmar Ratio0.89-0.54
Martin Ratio5.25-1.41
Ulcer Index12.87%38.48%
Daily Std Dev62.96%52.20%
Max Drawdown-88.09%-100.00%
Current Drawdown-57.56%-100.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


URTY vs. SQQQ - Expense Ratio Comparison

Both URTY and SQQQ have an expense ratio of 0.95%.


URTY
ProShares UltraPro Russell2000
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%
Expense ratio chart for SQQQ: 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

-0.50.00.51.0-0.7

The correlation between URTY and SQQQ is -0.71. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

URTY vs. SQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Russell2000 (URTY) and ProShares UltraPro Short QQQ (SQQQ). 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 1.07, compared to the broader market0.002.004.001.07-1.04
The chart of Sortino ratio for URTY, currently valued at 1.73, compared to the broader market-2.000.002.004.006.008.0010.001.73-1.73
The chart of Omega ratio for URTY, currently valued at 1.20, compared to the broader market0.501.001.502.002.503.001.200.81
The chart of Calmar ratio for URTY, currently valued at 0.89, compared to the broader market0.005.0010.0015.000.89-0.54
The chart of Martin ratio for URTY, currently valued at 5.25, compared to the broader market0.0020.0040.0060.0080.00100.005.25-1.41
URTY
SQQQ

The current URTY Sharpe Ratio is 1.07, which is higher than the SQQQ Sharpe Ratio of -1.04. The chart below compares the historical Sharpe Ratios of URTY and SQQQ, 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 Ratio-1.000.001.002.00JuneJulyAugustSeptemberOctoberNovember
1.07
-1.04
URTY
SQQQ

Dividends

URTY vs. SQQQ - Dividend Comparison

URTY's dividend yield for the trailing twelve months is around 0.73%, less than SQQQ's 9.08% yield.


TTM20232022202120202019201820172016
URTY
ProShares UltraPro Russell2000
0.73%0.55%0.28%0.00%0.00%0.18%0.27%0.00%0.03%
SQQQ
ProShares UltraPro Short QQQ
9.08%8.01%0.06%0.00%2.15%2.92%1.47%0.14%0.00%

Drawdowns

URTY vs. SQQQ - Drawdown Comparison

The maximum URTY drawdown since its inception was -88.09%, smaller than the maximum SQQQ drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for URTY and SQQQ. For additional features, visit the drawdowns tool.


-100.00%-90.00%-80.00%-70.00%-60.00%-50.00%JuneJulyAugustSeptemberOctoberNovember
-57.56%
-100.00%
URTY
SQQQ

Volatility

URTY vs. SQQQ - Volatility Comparison

ProShares UltraPro Russell2000 (URTY) has a higher volatility of 22.45% compared to ProShares UltraPro Short QQQ (SQQQ) at 16.81%. This indicates that URTY's price experiences larger fluctuations and is considered to be riskier than SQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
22.45%
16.81%
URTY
SQQQ