ProShares UltraPro Sortino Ratio
| UPRO ETF | | | USD 139.22 3.20 2.35% |
The Sortino Ratio measures risk-adjusted return using only downside deviation rather than total volatility. Unlike the Sharpe Ratio, which penalizes both upside and downside volatility equally, the Sortino Ratio penalizes only returns below a target threshold, making it a more targeted measure of harmful volatility. Below is ProShares UltraPro's current Sortino Ratio with peer comparisons and related risk metrics.
Current Sortino Ratio Value
The current Sortino Ratio of 0.1095 places ProShares UltraPro at its current reading on this measure. This reflects ProShares UltraPro's positioning relative to its own recent range within ETF.
Sortino Ratio | = | ER[a] - ER[b]DD |
| = | 0.1095 | |
| ER[a] | = | Expected return on investing in ProShares UltraPro |
| ER[b] | = | Expected return on market index or selected benchmark |
| DD | = | Downside Deviation |
Sortino Ratio Peers Comparison
ProShares UltraPro's Sortino Ratio of 0.1095 falls below the 0.12 peer average. Values range from 0.0345 (Invesco SAMPP MidCap) to 0.1469 (VictoryShares Free Cash), with moderate dispersion across the group. ProShares UltraPro's risk-adjusted return trails the peer average, indicating less efficient compensation for the risk incurred.
Sortino Ratio Relative To Other Indicators
The chart below plots Sortino Ratio against Maximum Drawdown for ProShares UltraPro and its peers. Each point represents one equity — position along the horizontal axis shows Sortino Ratio while the vertical axis shows Maximum Drawdown. Equities that cluster in different quadrants carry distinct risk-return profiles. Use the dropdowns to swap in other indicators for either axis.
ProShares UltraPro shows nearly
96.40 of Maximum Drawdown per unit of Sortino Ratio (
0.11 versus
10.56 ). This indicates Maximum Drawdown substantially exceeds Sortino Ratio for ProShares UltraPro.
Methodology, Assumptions & Data Sources
ProShares UltraPro has a current Sortino Ratio reading of 0.1095. Sortino Ratio for ProShares UltraPro is derived by applying a defined formula to historical price observations, producing a time-series of comparable readings. Price data is sourced from standardized end-of-day feeds across supported exchanges, normalized for corporate actions. The calculation assumes continuous price data across the selected period. All readings are presented as reference data.
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