PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^DJUS vs. SQQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJUS and SQQQ is -0.87. 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.


-0.50.00.51.0-0.9

Performance

^DJUS vs. SQQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Index (^DJUS) and ProShares UltraPro Short QQQ (SQQQ). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%400.00%500.00%JulyAugustSeptemberOctoberNovemberDecember
440.05%
-100.00%
^DJUS
SQQQ

Key characteristics

Sharpe Ratio

^DJUS:

2.02

SQQQ:

-1.02

Sortino Ratio

^DJUS:

2.70

SQQQ:

-1.70

Omega Ratio

^DJUS:

1.38

SQQQ:

0.82

Calmar Ratio

^DJUS:

3.01

SQQQ:

-0.55

Martin Ratio

^DJUS:

12.85

SQQQ:

-1.44

Ulcer Index

^DJUS:

2.01%

SQQQ:

37.93%

Daily Std Dev

^DJUS:

12.76%

SQQQ:

53.54%

Max Drawdown

^DJUS:

-56.62%

SQQQ:

-100.00%

Current Drawdown

^DJUS:

-2.98%

SQQQ:

-100.00%

Returns By Period

In the year-to-date period, ^DJUS achieves a 23.89% return, which is significantly higher than SQQQ's -52.49% return. Over the past 10 years, ^DJUS has outperformed SQQQ with an annualized return of 10.76%, while SQQQ has yielded a comparatively lower -52.39% annualized return.


^DJUS

YTD

23.89%

1M

0.06%

6M

9.14%

1Y

24.47%

5Y*

12.63%

10Y*

10.76%

SQQQ

YTD

-52.49%

1M

-7.91%

6M

-25.07%

1Y

-52.77%

5Y*

-58.79%

10Y*

-52.39%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^DJUS vs. SQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Index (^DJUS) and ProShares UltraPro Short QQQ (SQQQ). 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 ^DJUS, currently valued at 2.02, compared to the broader market00.001.002.002.02
The chart of Sortino ratio for ^DJUS, currently valued at 2.70, compared to the broader market0-1.000.001.002.003.002.70
The chart of Omega ratio for ^DJUS, currently valued at 1.38, compared to the broader market00.901.001.101.201.301.401.38
The chart of Calmar ratio for ^DJUS, currently valued at 3.01, compared to the broader market0.001.002.003.003.01-0.55
The chart of Martin ratio for ^DJUS, currently valued at 12.85, compared to the broader market0.005.0010.0015.0020.0012.85-1.44
^DJUS
SQQQ

The current ^DJUS Sharpe Ratio is 2.02, which is higher than the SQQQ Sharpe Ratio of -1.02. The chart below compares the historical Sharpe Ratios of ^DJUS and SQQQ, 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
2.02
-1.02
^DJUS
SQQQ

Drawdowns

^DJUS vs. SQQQ - Drawdown Comparison

The maximum ^DJUS drawdown since its inception was -56.62%, smaller than the maximum SQQQ drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^DJUS and SQQQ. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.98%
-100.00%
^DJUS
SQQQ

Volatility

^DJUS vs. SQQQ - Volatility Comparison

The current volatility for Dow Jones U.S. Index (^DJUS) is 3.98%, while ProShares UltraPro Short QQQ (SQQQ) has a volatility of 15.39%. This indicates that ^DJUS experiences smaller price fluctuations and is considered to be less risky than SQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
3.98%
15.39%
^DJUS
SQQQ
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