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

Correlation

The correlation between YCS and TLT is -0.44. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.4

Performance

YCS vs. TLT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort Yen (YCS) and iShares 20+ Year Treasury Bond ETF (TLT). The values are adjusted to include any dividend payments, if applicable.

40.00%60.00%80.00%100.00%120.00%140.00%160.00%JulyAugustSeptemberOctoberNovemberDecember
158.44%
34.37%
YCS
TLT

Key characteristics

Sharpe Ratio

YCS:

1.41

TLT:

-0.54

Sortino Ratio

YCS:

1.91

TLT:

-0.66

Omega Ratio

YCS:

1.27

TLT:

0.93

Calmar Ratio

YCS:

1.37

TLT:

-0.17

Martin Ratio

YCS:

3.36

TLT:

-1.13

Ulcer Index

YCS:

9.41%

TLT:

6.75%

Daily Std Dev

YCS:

22.42%

TLT:

14.28%

Max Drawdown

YCS:

-49.56%

TLT:

-48.35%

Current Drawdown

YCS:

-3.06%

TLT:

-42.06%

Returns By Period

In the year-to-date period, YCS achieves a 35.85% return, which is significantly higher than TLT's -7.02% return. Over the past 10 years, YCS has outperformed TLT with an annualized return of 7.59%, while TLT has yielded a comparatively lower -0.87% annualized return.


YCS

YTD

35.85%

1M

2.84%

6M

0.32%

1Y

33.78%

5Y*

19.45%

10Y*

7.59%

TLT

YTD

-7.02%

1M

-1.53%

6M

-3.76%

1Y

-6.64%

5Y*

-5.98%

10Y*

-0.87%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


YCS vs. TLT - Expense Ratio Comparison

YCS has a 1.00% expense ratio, which is higher than TLT's 0.15% 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 TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

YCS vs. TLT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Yen (YCS) and iShares 20+ Year Treasury Bond ETF (TLT). 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 market0.002.004.001.41-0.54
The chart of Sortino ratio for YCS, currently valued at 1.91, compared to the broader market-2.000.002.004.006.008.0010.001.91-0.66
The chart of Omega ratio for YCS, currently valued at 1.27, compared to the broader market0.501.001.502.002.503.001.270.93
The chart of Calmar ratio for YCS, currently valued at 1.37, compared to the broader market0.005.0010.0015.001.37-0.17
The chart of Martin ratio for YCS, currently valued at 3.36, compared to the broader market0.0020.0040.0060.0080.00100.003.36-1.13
YCS
TLT

The current YCS Sharpe Ratio is 1.41, which is higher than the TLT Sharpe Ratio of -0.54. The chart below compares the historical Sharpe Ratios of YCS and TLT, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.41
-0.54
YCS
TLT

Dividends

YCS vs. TLT - Dividend Comparison

YCS has not paid dividends to shareholders, while TLT's dividend yield for the trailing twelve months is around 4.25%.


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%
TLT
iShares 20+ Year Treasury Bond ETF
4.25%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%

Drawdowns

YCS vs. TLT - Drawdown Comparison

The maximum YCS drawdown since its inception was -49.56%, roughly equal to the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for YCS and TLT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.06%
-42.06%
YCS
TLT

Volatility

YCS vs. TLT - Volatility Comparison

ProShares UltraShort Yen (YCS) has a higher volatility of 7.00% compared to iShares 20+ Year Treasury Bond ETF (TLT) at 4.47%. This indicates that YCS's price experiences larger fluctuations and is considered to be riskier than TLT 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%
4.47%
YCS
TLT
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