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

Correlation

The correlation between BOIL and ^DJUSEN 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.


-0.50.00.51.00.2

Performance

BOIL vs. ^DJUSEN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Ultra Bloomberg Natural Gas (BOIL) and Dow Jones U.S. Oil & Gas Index (^DJUSEN). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember0
-7.28%
BOIL
^DJUSEN

Key characteristics

Sharpe Ratio

BOIL:

-0.64

^DJUSEN:

0.03

Sortino Ratio

BOIL:

-0.72

^DJUSEN:

0.16

Omega Ratio

BOIL:

0.92

^DJUSEN:

1.02

Calmar Ratio

BOIL:

-0.64

^DJUSEN:

0.02

Martin Ratio

BOIL:

-0.99

^DJUSEN:

0.09

Ulcer Index

BOIL:

64.38%

^DJUSEN:

6.20%

Daily Std Dev

BOIL:

100.46%

^DJUSEN:

17.50%

Max Drawdown

BOIL:

-100.00%

^DJUSEN:

-77.35%

Current Drawdown

BOIL:

-99.99%

^DJUSEN:

-17.34%

Returns By Period

In the year-to-date period, BOIL achieves a -64.46% return, which is significantly lower than ^DJUSEN's 1.59% return. Over the past 10 years, BOIL has underperformed ^DJUSEN with an annualized return of -58.77%, while ^DJUSEN has yielded a comparatively higher 0.47% annualized return.


BOIL

YTD

-64.46%

1M

10.98%

6M

-49.08%

1Y

-64.63%

5Y*

-64.09%

10Y*

-58.77%

^DJUSEN

YTD

1.59%

1M

-12.61%

6M

-7.17%

1Y

0.27%

5Y*

7.23%

10Y*

0.47%

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Risk-Adjusted Performance

BOIL vs. ^DJUSEN - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra Bloomberg Natural Gas (BOIL) and Dow Jones U.S. Oil & Gas Index (^DJUSEN). 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 BOIL, currently valued at -0.64, compared to the broader market0.002.004.00-0.640.03
The chart of Sortino ratio for BOIL, currently valued at -0.72, compared to the broader market-2.000.002.004.006.008.0010.00-0.720.16
The chart of Omega ratio for BOIL, currently valued at 0.92, compared to the broader market0.501.001.502.002.503.000.921.02
The chart of Calmar ratio for BOIL, currently valued at -0.64, compared to the broader market0.005.0010.0015.00-0.640.02
The chart of Martin ratio for BOIL, currently valued at -0.99, compared to the broader market0.0020.0040.0060.0080.00100.00-0.990.09
BOIL
^DJUSEN

The current BOIL Sharpe Ratio is -0.64, which is lower than the ^DJUSEN Sharpe Ratio of 0.03. The chart below compares the historical Sharpe Ratios of BOIL and ^DJUSEN, 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-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.64
0.03
BOIL
^DJUSEN

Drawdowns

BOIL vs. ^DJUSEN - Drawdown Comparison

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


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-99.99%
-17.34%
BOIL
^DJUSEN

Volatility

BOIL vs. ^DJUSEN - Volatility Comparison

ProShares Ultra Bloomberg Natural Gas (BOIL) has a higher volatility of 32.40% compared to Dow Jones U.S. Oil & Gas Index (^DJUSEN) at 4.76%. This indicates that BOIL's price experiences larger fluctuations and is considered to be riskier than ^DJUSEN 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%JulyAugustSeptemberOctoberNovemberDecember
32.40%
4.76%
BOIL
^DJUSEN
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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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