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^DJI vs. SDOW
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJI and SDOW is -1.00. 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.


-0.50.00.51.0-1.0

Performance

^DJI vs. SDOW - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Industrial Average (^DJI) and ProShares UltraPro Short Dow30 (SDOW). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.20%
-22.22%
^DJI
SDOW

Key characteristics

Sharpe Ratio

^DJI:

1.13

SDOW:

-0.92

Sortino Ratio

^DJI:

1.64

SDOW:

-1.28

Omega Ratio

^DJI:

1.21

SDOW:

0.85

Calmar Ratio

^DJI:

2.10

SDOW:

-0.31

Martin Ratio

^DJI:

6.06

SDOW:

-1.53

Ulcer Index

^DJI:

2.10%

SDOW:

20.21%

Daily Std Dev

^DJI:

11.32%

SDOW:

33.57%

Max Drawdown

^DJI:

-53.78%

SDOW:

-99.94%

Current Drawdown

^DJI:

-5.94%

SDOW:

-99.93%

Returns By Period

In the year-to-date period, ^DJI achieves a 12.34% return, which is significantly higher than SDOW's -27.91% return. Over the past 10 years, ^DJI has outperformed SDOW with an annualized return of 8.98%, while SDOW has yielded a comparatively lower -36.25% annualized return.


^DJI

YTD

12.34%

1M

-2.14%

6M

8.20%

1Y

14.19%

5Y*

8.29%

10Y*

8.98%

SDOW

YTD

-27.91%

1M

4.20%

6M

-22.36%

1Y

-30.95%

5Y*

-38.18%

10Y*

-36.25%

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Risk-Adjusted Performance

^DJI vs. SDOW - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) and ProShares UltraPro Short Dow30 (SDOW). 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 ^DJI, currently valued at 1.26, compared to the broader market-1.000.001.002.001.26-0.92
The chart of Sortino ratio for ^DJI, currently valued at 1.83, compared to the broader market-1.000.001.002.003.001.83-1.28
The chart of Omega ratio for ^DJI, currently valued at 1.24, compared to the broader market0.800.901.001.101.201.301.401.240.85
The chart of Calmar ratio for ^DJI, currently valued at 2.34, compared to the broader market0.001.002.003.004.002.34-0.31
The chart of Martin ratio for ^DJI, currently valued at 6.64, compared to the broader market0.005.0010.0015.006.64-1.53
^DJI
SDOW

The current ^DJI Sharpe Ratio is 1.13, which is higher than the SDOW Sharpe Ratio of -0.92. The chart below compares the historical Sharpe Ratios of ^DJI and SDOW, 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-2.00-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.26
-0.92
^DJI
SDOW

Drawdowns

^DJI vs. SDOW - Drawdown Comparison

The maximum ^DJI drawdown since its inception was -53.78%, smaller than the maximum SDOW drawdown of -99.94%. Use the drawdown chart below to compare losses from any high point for ^DJI and SDOW. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.94%
-99.93%
^DJI
SDOW

Volatility

^DJI vs. SDOW - Volatility Comparison

The current volatility for Dow Jones Industrial Average (^DJI) is 3.57%, while ProShares UltraPro Short Dow30 (SDOW) has a volatility of 10.85%. This indicates that ^DJI experiences smaller price fluctuations and is considered to be less risky than SDOW 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
3.57%
10.85%
^DJI
SDOW
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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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