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^SP500TR vs. DDM
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP500TR and DDM is 0.93, 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.


-0.50.00.51.00.9

Performance

^SP500TR vs. DDM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 500 Total Return (^SP500TR) and ProShares Ultra Dow30 (DDM). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
8.00%
14.24%
^SP500TR
DDM

Key characteristics

Sharpe Ratio

^SP500TR:

2.03

DDM:

1.01

Sortino Ratio

^SP500TR:

2.71

DDM:

1.50

Omega Ratio

^SP500TR:

1.38

DDM:

1.19

Calmar Ratio

^SP500TR:

3.03

DDM:

1.88

Martin Ratio

^SP500TR:

13.52

DDM:

5.38

Ulcer Index

^SP500TR:

1.89%

DDM:

4.25%

Daily Std Dev

^SP500TR:

12.59%

DDM:

22.60%

Max Drawdown

^SP500TR:

-55.25%

DDM:

-81.70%

Current Drawdown

^SP500TR:

-3.54%

DDM:

-11.71%

Returns By Period

In the year-to-date period, ^SP500TR achieves a 24.77% return, which is significantly higher than DDM's 20.68% return. Over the past 10 years, ^SP500TR has underperformed DDM with an annualized return of 13.05%, while DDM has yielded a comparatively higher 16.53% annualized return.


^SP500TR

YTD

24.77%

1M

-0.24%

6M

7.73%

1Y

24.86%

5Y*

14.61%

10Y*

13.05%

DDM

YTD

20.68%

1M

-5.11%

6M

15.95%

1Y

21.24%

5Y*

11.97%

10Y*

16.53%

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Risk-Adjusted Performance

^SP500TR vs. DDM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and ProShares Ultra Dow30 (DDM). 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 ^SP500TR, currently valued at 2.03, compared to the broader market-1.000.001.002.002.031.01
The chart of Sortino ratio for ^SP500TR, currently valued at 2.71, compared to the broader market-1.000.001.002.003.002.711.50
The chart of Omega ratio for ^SP500TR, currently valued at 1.38, compared to the broader market0.800.901.001.101.201.301.401.381.19
The chart of Calmar ratio for ^SP500TR, currently valued at 3.03, compared to the broader market0.001.002.003.004.003.031.88
The chart of Martin ratio for ^SP500TR, currently valued at 13.52, compared to the broader market0.005.0010.0015.0013.525.38
^SP500TR
DDM

The current ^SP500TR Sharpe Ratio is 2.03, which is higher than the DDM Sharpe Ratio of 1.01. The chart below compares the historical Sharpe Ratios of ^SP500TR and DDM, 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.03
1.01
^SP500TR
DDM

Drawdowns

^SP500TR vs. DDM - Drawdown Comparison

The maximum ^SP500TR drawdown since its inception was -55.25%, smaller than the maximum DDM drawdown of -81.70%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and DDM. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.54%
-11.71%
^SP500TR
DDM

Volatility

^SP500TR vs. DDM - Volatility Comparison

The current volatility for S&P 500 Total Return (^SP500TR) is 3.65%, while ProShares Ultra Dow30 (DDM) has a volatility of 7.22%. This indicates that ^SP500TR experiences smaller price fluctuations and is considered to be less risky than DDM 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
3.65%
7.22%
^SP500TR
DDM
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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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