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

Correlation

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.


-0.50.00.51.01.0

Performance

URTY vs. UWM - Performance Comparison

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

300.00%400.00%500.00%600.00%700.00%JulyAugustSeptemberOctoberNovemberDecember
395.85%
564.38%
URTY
UWM

Key characteristics

Sharpe Ratio

URTY:

0.27

UWM:

0.42

Sortino Ratio

URTY:

0.81

UWM:

0.87

Omega Ratio

URTY:

1.10

UWM:

1.10

Calmar Ratio

URTY:

0.23

UWM:

0.36

Martin Ratio

URTY:

1.23

UWM:

2.04

Ulcer Index

URTY:

13.35%

UWM:

8.57%

Daily Std Dev

URTY:

62.21%

UWM:

41.50%

Max Drawdown

URTY:

-88.09%

UWM:

-88.21%

Current Drawdown

URTY:

-61.51%

UWM:

-34.86%

Returns By Period

In the year-to-date period, URTY achieves a 9.70% return, which is significantly lower than UWM's 12.61% return. Over the past 10 years, URTY has underperformed UWM with an annualized return of 0.94%, while UWM has yielded a comparatively higher 6.89% annualized return.


URTY

YTD

9.70%

1M

-15.94%

6M

21.35%

1Y

7.96%

5Y*

-9.91%

10Y*

0.94%

UWM

YTD

12.61%

1M

-10.75%

6M

17.49%

1Y

11.76%

5Y*

2.21%

10Y*

6.89%

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.


Sharpe ratio
The chart of Sharpe ratio for URTY, currently valued at 0.27, compared to the broader market0.002.004.000.270.42
The chart of Sortino ratio for URTY, currently valued at 0.81, compared to the broader market-2.000.002.004.006.008.0010.000.810.87
The chart of Omega ratio for URTY, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.10
The chart of Calmar ratio for URTY, currently valued at 0.23, compared to the broader market0.005.0010.0015.000.230.36
The chart of Martin ratio for URTY, currently valued at 1.23, compared to the broader market0.0020.0040.0060.0080.00100.001.232.04
URTY
UWM

The current URTY Sharpe Ratio is 0.27, which is lower than the UWM Sharpe Ratio of 0.42. 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.27
0.42
URTY
UWM

Dividends

URTY vs. UWM - Dividend Comparison

URTY's dividend yield for the trailing twelve months is around 0.64%, less than UWM's 0.71% yield.


TTM2023202220212020201920182017201620152014
URTY
ProShares UltraPro Russell2000
0.64%0.55%0.28%0.00%0.00%0.18%0.27%0.00%0.03%0.00%0.00%
UWM
ProShares Ultra Russell2000
0.71%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%JulyAugustSeptemberOctoberNovemberDecember
-61.51%
-34.86%
URTY
UWM

Volatility

URTY vs. UWM - Volatility Comparison

ProShares UltraPro Russell2000 (URTY) has a higher volatility of 18.83% compared to ProShares Ultra Russell2000 (UWM) at 12.27%. 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%JulyAugustSeptemberOctoberNovemberDecember
18.83%
12.27%
URTY
UWM
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab