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

Key characteristics


URTYTNA
YTD Return36.24%35.98%
1Y Return120.75%120.88%
3Y Return (Ann)-20.84%-20.25%
5Y Return (Ann)-2.94%-2.65%
10Y Return (Ann)3.94%3.90%
Sharpe Ratio1.871.87
Sortino Ratio2.462.46
Omega Ratio1.301.30
Calmar Ratio1.541.55
Martin Ratio9.419.43
Ulcer Index12.81%12.82%
Daily Std Dev64.55%64.60%
Max Drawdown-88.09%-88.09%
Current Drawdown-52.19%-51.15%

Correlation

-0.50.00.51.01.0

The correlation between URTY and TNA is 1.00, 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

URTY vs. TNA - Performance Comparison

The year-to-date returns for both stocks are quite close, with URTY having a 36.24% return and TNA slightly lower at 35.98%. Both investments have delivered pretty close results over the past 10 years, with URTY having a 3.94% annualized return and TNA not far behind at 3.90%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
35.24%
35.13%
URTY
TNA

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URTY vs. TNA - Expense Ratio Comparison

URTY has a 0.95% expense ratio, which is lower than TNA's 1.14% expense ratio.


TNA
Direxion Daily Small Cap Bull 3X Shares
Expense ratio chart for TNA: current value at 1.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.14%
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%

Risk-Adjusted Performance

URTY vs. TNA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Russell2000 (URTY) and Direxion Daily Small Cap Bull 3X Shares (TNA). 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.


URTY
Sharpe ratio
The chart of Sharpe ratio for URTY, currently valued at 1.87, compared to the broader market-2.000.002.004.006.001.87
Sortino ratio
The chart of Sortino ratio for URTY, currently valued at 2.46, compared to the broader market-2.000.002.004.006.008.0010.0012.002.46
Omega ratio
The chart of Omega ratio for URTY, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for URTY, currently valued at 1.54, compared to the broader market0.005.0010.0015.001.54
Martin ratio
The chart of Martin ratio for URTY, currently valued at 9.41, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.41
TNA
Sharpe ratio
The chart of Sharpe ratio for TNA, currently valued at 1.87, compared to the broader market-2.000.002.004.006.001.87
Sortino ratio
The chart of Sortino ratio for TNA, currently valued at 2.46, compared to the broader market-2.000.002.004.006.008.0010.0012.002.46
Omega ratio
The chart of Omega ratio for TNA, currently valued at 1.30, compared to the broader market1.001.502.002.503.001.30
Calmar ratio
The chart of Calmar ratio for TNA, currently valued at 1.55, compared to the broader market0.005.0010.0015.001.55
Martin ratio
The chart of Martin ratio for TNA, currently valued at 9.43, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.43

URTY vs. TNA - Sharpe Ratio Comparison

The current URTY Sharpe Ratio is 1.87, which is comparable to the TNA Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of URTY and TNA, 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
1.87
1.87
URTY
TNA

Dividends

URTY vs. TNA - Dividend Comparison

URTY's dividend yield for the trailing twelve months is around 0.65%, less than TNA's 0.81% yield.


TTM20232022202120202019201820172016201520142013
URTY
ProShares UltraPro Russell2000
0.65%0.55%0.28%0.00%0.00%0.18%0.27%0.00%0.03%0.00%0.00%0.00%
TNA
Direxion Daily Small Cap Bull 3X Shares
0.81%1.27%0.31%0.06%0.03%0.44%0.36%0.15%0.00%0.00%0.59%1.53%

Drawdowns

URTY vs. TNA - Drawdown Comparison

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


-70.00%-65.00%-60.00%-55.00%-50.00%JuneJulyAugustSeptemberOctoberNovember
-52.19%
-51.15%
URTY
TNA

Volatility

URTY vs. TNA - Volatility Comparison

ProShares UltraPro Russell2000 (URTY) and Direxion Daily Small Cap Bull 3X Shares (TNA) have volatilities of 21.55% and 21.49%, 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
21.55%
21.49%
URTY
TNA