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YCS vs. SPLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between YCS and SPLG is 0.21, 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

YCS vs. SPLG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort Yen (YCS) and SPDR Portfolio S&P 500 ETF (SPLG). The values are adjusted to include any dividend payments, if applicable.

200.00%400.00%600.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
158.44%
846.26%
YCS
SPLG

Key characteristics

Sharpe Ratio

YCS:

1.41

SPLG:

2.26

Sortino Ratio

YCS:

1.91

SPLG:

3.00

Omega Ratio

YCS:

1.27

SPLG:

1.42

Calmar Ratio

YCS:

1.37

SPLG:

3.32

Martin Ratio

YCS:

3.36

SPLG:

14.73

Ulcer Index

YCS:

9.41%

SPLG:

1.90%

Daily Std Dev

YCS:

22.42%

SPLG:

12.40%

Max Drawdown

YCS:

-49.56%

SPLG:

-54.50%

Current Drawdown

YCS:

-3.06%

SPLG:

-2.50%

Returns By Period

In the year-to-date period, YCS achieves a 35.85% return, which is significantly higher than SPLG's 26.00% return. Over the past 10 years, YCS has underperformed SPLG with an annualized return of 7.59%, while SPLG has yielded a comparatively higher 13.11% annualized return.


YCS

YTD

35.85%

1M

2.84%

6M

0.32%

1Y

33.78%

5Y*

19.45%

10Y*

7.59%

SPLG

YTD

26.00%

1M

-0.14%

6M

9.34%

1Y

26.48%

5Y*

14.82%

10Y*

13.11%

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YCS vs. SPLG - Expense Ratio Comparison

YCS has a 1.00% expense ratio, which is higher than SPLG's 0.03% expense ratio.


YCS
ProShares UltraShort Yen
Expense ratio chart for YCS: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
Expense ratio chart for SPLG: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

YCS vs. SPLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Yen (YCS) and SPDR Portfolio S&P 500 ETF (SPLG). 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 YCS, currently valued at 1.41, compared to the broader market0.002.004.001.412.26
The chart of Sortino ratio for YCS, currently valued at 1.91, compared to the broader market-2.000.002.004.006.008.0010.001.913.00
The chart of Omega ratio for YCS, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.271.42
The chart of Calmar ratio for YCS, currently valued at 1.37, compared to the broader market0.005.0010.0015.001.373.32
The chart of Martin ratio for YCS, currently valued at 3.36, compared to the broader market0.0020.0040.0060.0080.00100.003.3614.73
YCS
SPLG

The current YCS Sharpe Ratio is 1.41, which is lower than the SPLG Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of YCS and SPLG, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.41
2.26
YCS
SPLG

Dividends

YCS vs. SPLG - Dividend Comparison

YCS has not paid dividends to shareholders, while SPLG's dividend yield for the trailing twelve months is around 0.92%.


TTM20232022202120202019201820172016201520142013
YCS
ProShares UltraShort Yen
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPLG
SPDR Portfolio S&P 500 ETF
0.92%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%

Drawdowns

YCS vs. SPLG - Drawdown Comparison

The maximum YCS drawdown since its inception was -49.56%, smaller than the maximum SPLG drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for YCS and SPLG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.06%
-2.50%
YCS
SPLG

Volatility

YCS vs. SPLG - Volatility Comparison

ProShares UltraShort Yen (YCS) has a higher volatility of 7.00% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 3.81%. This indicates that YCS's price experiences larger fluctuations and is considered to be riskier than SPLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
7.00%
3.81%
YCS
SPLG
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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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