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

Key characteristics


URTYUWM
YTD Return43.84%34.33%
1Y Return132.82%87.31%
3Y Return (Ann)-19.41%-7.29%
5Y Return (Ann)-1.91%8.12%
10Y Return (Ann)4.51%9.40%
Sharpe Ratio2.192.13
Sortino Ratio2.702.78
Omega Ratio1.331.34
Calmar Ratio1.801.57
Martin Ratio11.0111.21
Ulcer Index12.80%8.18%
Daily Std Dev64.42%43.01%
Max Drawdown-88.09%-88.21%
Current Drawdown-49.53%-22.30%

Correlation

-0.50.00.51.01.0

The correlation between URTY and UWM 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. UWM - Performance Comparison

In the year-to-date period, URTY achieves a 43.84% return, which is significantly higher than UWM's 34.33% return. Over the past 10 years, URTY has underperformed UWM with an annualized return of 4.51%, while UWM has yielded a comparatively higher 9.40% annualized return. 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%50.00%JuneJulyAugustSeptemberOctoberNovember
47.07%
33.66%
URTY
UWM

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. UWM - Expense Ratio Comparison

Both URTY and UWM 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 UWM: 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. UWM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Russell2000 (URTY) and ProShares Ultra Russell2000 (UWM). 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 2.19, compared to the broader market-2.000.002.004.006.002.19
Sortino ratio
The chart of Sortino ratio for URTY, currently valued at 2.70, compared to the broader market0.005.0010.002.70
Omega ratio
The chart of Omega ratio for URTY, currently valued at 1.33, compared to the broader market1.001.502.002.503.001.33
Calmar ratio
The chart of Calmar ratio for URTY, currently valued at 1.80, compared to the broader market0.005.0010.0015.001.80
Martin ratio
The chart of Martin ratio for URTY, currently valued at 11.01, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.01
UWM
Sharpe ratio
The chart of Sharpe ratio for UWM, currently valued at 2.13, compared to the broader market-2.000.002.004.006.002.13
Sortino ratio
The chart of Sortino ratio for UWM, currently valued at 2.78, compared to the broader market0.005.0010.002.78
Omega ratio
The chart of Omega ratio for UWM, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for UWM, currently valued at 1.57, compared to the broader market0.005.0010.0015.001.57
Martin ratio
The chart of Martin ratio for UWM, currently valued at 11.21, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.21

URTY vs. UWM - Sharpe Ratio Comparison

The current URTY Sharpe Ratio is 2.19, which is comparable to the UWM Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of URTY and UWM, 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
2.19
2.13
URTY
UWM

Dividends

URTY vs. UWM - Dividend Comparison

URTY's dividend yield for the trailing twelve months is around 0.62%, less than UWM's 0.82% yield.


TTM2023202220212020201920182017201620152014
URTY
ProShares UltraPro Russell2000
0.62%0.55%0.28%0.00%0.00%0.18%0.27%0.00%0.03%0.00%0.00%
UWM
ProShares Ultra Russell2000
0.82%0.34%0.40%0.00%0.07%0.55%0.41%0.11%0.38%0.24%0.11%

Drawdowns

URTY vs. UWM - Drawdown Comparison

The maximum URTY drawdown since its inception was -88.09%, roughly equal to the maximum UWM drawdown of -88.21%. Use the drawdown chart below to compare losses from any high point for URTY and UWM. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%JuneJulyAugustSeptemberOctoberNovember
-49.53%
-22.30%
URTY
UWM

Volatility

URTY vs. UWM - Volatility Comparison

ProShares UltraPro Russell2000 (URTY) has a higher volatility of 20.57% compared to ProShares Ultra Russell2000 (UWM) at 13.87%. This indicates that URTY's price experiences larger fluctuations and is considered to be riskier than UWM 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
20.57%
13.87%
URTY
UWM