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^DJUSEN vs. BOIL
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^DJUSENBOIL
YTD Return4.74%-67.79%
1Y Return-3.71%-84.15%
3Y Return (Ann)21.24%-80.88%
5Y Return (Ann)8.11%-68.95%
10Y Return (Ann)-0.87%-61.66%
Sharpe Ratio-0.25-0.87
Daily Std Dev18.11%96.70%
Max Drawdown-77.35%-100.00%
Current Drawdown-14.78%-100.00%

Correlation

-0.50.00.51.00.1

The correlation between ^DJUSEN and BOIL is 0.15, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

^DJUSEN vs. BOIL - Performance Comparison

In the year-to-date period, ^DJUSEN achieves a 4.74% return, which is significantly higher than BOIL's -67.79% return. Over the past 10 years, ^DJUSEN has outperformed BOIL with an annualized return of -0.87%, while BOIL has yielded a comparatively lower -61.66% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%AprilMayJuneJulyAugustSeptember
-4.20%
-100.00%
^DJUSEN
BOIL

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Risk-Adjusted Performance

^DJUSEN vs. BOIL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Oil & Gas Index (^DJUSEN) and ProShares Ultra Bloomberg Natural Gas (BOIL). 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.


^DJUSEN
Sharpe ratio
The chart of Sharpe ratio for ^DJUSEN, currently valued at -0.25, compared to the broader market-1.000.001.002.00-0.25
Sortino ratio
The chart of Sortino ratio for ^DJUSEN, currently valued at -0.23, compared to the broader market-1.000.001.002.003.00-0.23
Omega ratio
The chart of Omega ratio for ^DJUSEN, currently valued at 0.97, compared to the broader market1.001.201.400.97
Calmar ratio
The chart of Calmar ratio for ^DJUSEN, currently valued at -0.20, compared to the broader market0.001.002.003.004.005.00-0.20
Martin ratio
The chart of Martin ratio for ^DJUSEN, currently valued at -0.60, compared to the broader market0.005.0010.0015.0020.00-0.60
BOIL
Sharpe ratio
The chart of Sharpe ratio for BOIL, currently valued at -0.87, compared to the broader market-1.000.001.002.00-0.87
Sortino ratio
The chart of Sortino ratio for BOIL, currently valued at -1.91, compared to the broader market-1.000.001.002.003.00-1.91
Omega ratio
The chart of Omega ratio for BOIL, currently valued at 0.80, compared to the broader market1.001.201.400.80
Calmar ratio
The chart of Calmar ratio for BOIL, currently valued at -0.84, compared to the broader market0.001.002.003.004.005.00-0.84
Martin ratio
The chart of Martin ratio for BOIL, currently valued at -1.22, compared to the broader market0.005.0010.0015.0020.00-1.22

^DJUSEN vs. BOIL - Sharpe Ratio Comparison

The current ^DJUSEN Sharpe Ratio is -0.25, which is higher than the BOIL Sharpe Ratio of -0.87. The chart below compares the 12-month rolling Sharpe Ratio of ^DJUSEN and BOIL.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-0.25
-0.87
^DJUSEN
BOIL

Drawdowns

^DJUSEN vs. BOIL - Drawdown Comparison

The maximum ^DJUSEN drawdown since its inception was -77.35%, smaller than the maximum BOIL drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for ^DJUSEN and BOIL. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%AprilMayJuneJulyAugustSeptember
-14.78%
-100.00%
^DJUSEN
BOIL

Volatility

^DJUSEN vs. BOIL - Volatility Comparison

The current volatility for Dow Jones U.S. Oil & Gas Index (^DJUSEN) is 5.80%, while ProShares Ultra Bloomberg Natural Gas (BOIL) has a volatility of 17.63%. This indicates that ^DJUSEN experiences smaller price fluctuations and is considered to be less risky than BOIL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%AprilMayJuneJulyAugustSeptember
5.80%
17.63%
^DJUSEN
BOIL