Correlation
The correlation between ^SML and SAA is 0.79, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
^SML vs. SAA
Compare and contrast key facts about S&P Small-Cap 600 Index (^SML) and ProShares Ultra SmallCap600 (SAA).
SAA is a passively managed fund by ProShares that tracks the performance of the S&P SmallCap 600 Index (200%). It was launched on Jan 25, 2007.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SML or SAA.
Performance
^SML vs. SAA - Performance Comparison
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Key characteristics
^SML:
-0.10
SAA:
-0.26
^SML:
0.10
SAA:
-0.05
^SML:
1.01
SAA:
0.99
^SML:
-0.04
SAA:
-0.24
^SML:
-0.11
SAA:
-0.63
^SML:
10.48%
SAA:
20.70%
^SML:
24.29%
SAA:
49.91%
^SML:
-59.17%
SAA:
-87.39%
^SML:
-16.86%
SAA:
-40.87%
Returns By Period
In the year-to-date period, ^SML achieves a -8.80% return, which is significantly higher than SAA's -20.49% return. Both investments have delivered pretty close results over the past 10 years, with ^SML having a 6.00% annualized return and SAA not far behind at 5.89%.
^SML
-8.80%
4.42%
-16.20%
-3.41%
1.30%
9.84%
6.00%
SAA
-20.49%
8.25%
-33.26%
-14.63%
-5.09%
12.87%
5.89%
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Risk-Adjusted Performance
^SML vs. SAA — Risk-Adjusted Performance Rank
^SML
SAA
^SML vs. SAA - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P Small-Cap 600 Index (^SML) and ProShares Ultra SmallCap600 (SAA). 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.
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Drawdowns
^SML vs. SAA - Drawdown Comparison
The maximum ^SML drawdown since its inception was -59.17%, smaller than the maximum SAA drawdown of -87.39%. Use the drawdown chart below to compare losses from any high point for ^SML and SAA.
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Volatility
^SML vs. SAA - Volatility Comparison
The current volatility for S&P Small-Cap 600 Index (^SML) is 6.56%, while ProShares Ultra SmallCap600 (SAA) has a volatility of 12.95%. This indicates that ^SML experiences smaller price fluctuations and is considered to be less risky than SAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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