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UUP vs. TTT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between UUP and TTT is 0.15, 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.


-0.50.00.51.00.2

Performance

UUP vs. TTT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco DB US Dollar Index Bullish Fund (UUP) and UltraPro Short 20+ Year Treasury (TTT). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.82%
5.79%
UUP
TTT

Key characteristics

Sharpe Ratio

UUP:

1.56

TTT:

0.19

Sortino Ratio

UUP:

2.32

TTT:

0.58

Omega Ratio

UUP:

1.28

TTT:

1.06

Calmar Ratio

UUP:

1.65

TTT:

0.09

Martin Ratio

UUP:

6.18

TTT:

0.46

Ulcer Index

UUP:

1.52%

TTT:

17.51%

Daily Std Dev

UUP:

6.01%

TTT:

43.03%

Max Drawdown

UUP:

-22.19%

TTT:

-94.00%

Current Drawdown

UUP:

-0.26%

TTT:

-79.38%

Returns By Period

In the year-to-date period, UUP achieves a 11.66% return, which is significantly lower than TTT's 20.97% return. Over the past 10 years, UUP has outperformed TTT with an annualized return of 3.63%, while TTT has yielded a comparatively lower -6.39% annualized return.


UUP

YTD

11.66%

1M

1.44%

6M

4.82%

1Y

10.32%

5Y (annualized)

4.44%

10Y (annualized)

3.63%

TTT

YTD

20.97%

1M

-0.45%

6M

5.81%

1Y

16.13%

5Y (annualized)

7.04%

10Y (annualized)

-6.39%

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UUP vs. TTT - Expense Ratio Comparison

UUP has a 0.75% expense ratio, which is lower than TTT's 0.95% expense ratio.


TTT
UltraPro Short 20+ Year Treasury
Expense ratio chart for TTT: 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 UUP: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%

Risk-Adjusted Performance

UUP vs. TTT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco DB US Dollar Index Bullish Fund (UUP) and UltraPro Short 20+ Year Treasury (TTT). 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 UUP, currently valued at 1.56, compared to the broader market0.002.004.001.560.19
The chart of Sortino ratio for UUP, currently valued at 2.32, compared to the broader market-2.000.002.004.006.008.0010.0012.002.320.58
The chart of Omega ratio for UUP, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.06
The chart of Calmar ratio for UUP, currently valued at 1.65, compared to the broader market0.005.0010.0015.001.650.09
The chart of Martin ratio for UUP, currently valued at 6.18, compared to the broader market0.0020.0040.0060.0080.00100.006.180.46
UUP
TTT

The current UUP Sharpe Ratio is 1.56, which is higher than the TTT Sharpe Ratio of 0.19. The chart below compares the historical Sharpe Ratios of UUP and TTT, 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-0.500.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
1.56
0.19
UUP
TTT

Dividends

UUP vs. TTT - Dividend Comparison

UUP's dividend yield for the trailing twelve months is around 5.77%, less than TTT's 9.68% yield.


TTM2023202220212020201920182017
UUP
Invesco DB US Dollar Index Bullish Fund
5.77%6.45%0.89%0.00%0.00%2.03%1.08%0.10%
TTT
UltraPro Short 20+ Year Treasury
9.68%12.15%0.34%0.00%0.29%1.88%0.44%0.00%

Drawdowns

UUP vs. TTT - Drawdown Comparison

The maximum UUP drawdown since its inception was -22.19%, smaller than the maximum TTT drawdown of -94.00%. Use the drawdown chart below to compare losses from any high point for UUP and TTT. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.26%
-79.38%
UUP
TTT

Volatility

UUP vs. TTT - Volatility Comparison

The current volatility for Invesco DB US Dollar Index Bullish Fund (UUP) is 1.94%, while UltraPro Short 20+ Year Treasury (TTT) has a volatility of 12.23%. This indicates that UUP experiences smaller price fluctuations and is considered to be less risky than TTT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
1.94%
12.23%
UUP
TTT
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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.

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