DGZ vs. GLL
DGZ (DB Gold Short Exchange Traded Notes) and GLL (ProShares UltraShort Gold) are both exchange-traded funds - DGZ is a Inverse Commodities fund tracking the Deutsche Bank Liquid Commodity Index - Optimum Yield Gold Excess Return (-100%), while GLL is a Leveraged Commodities fund tracking the Bloomberg Gold (-200%). Both are passively managed. Over the past 10 years, DGZ returned -9.10%/yr vs -23.52%/yr for GLL. Their correlation of 0.82 suggests significant overlap in exposure. DGZ charges 0.75%/yr vs 0.95%/yr for GLL.
Performance
DGZ vs. GLL - Performance Comparison
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Returns By Period
In the year-to-date period, DGZ achieves a -2.01% return, which is significantly higher than GLL's -16.21% return. Over the past 10 years, DGZ has outperformed GLL with an annualized return of -9.10%, while GLL has yielded a comparatively lower -23.52% annualized return.
DGZ
- 1D
- 1.49%
- 1M
- 7.99%
- YTD
- -2.01%
- 6M
- -0.71%
- 1Y
- -18.73%
- 3Y*
- -17.92%
- 5Y*
- -11.08%
- 10Y*
- -9.10%
GLL
- 1D
- -0.27%
- 1M
- 5.49%
- YTD
- -16.21%
- 6M
- -20.17%
- 1Y
- -48.42%
- 3Y*
- -41.85%
- 5Y*
- -29.43%
- 10Y*
- -23.52%
DGZ vs. GLL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DGZ DB Gold Short Exchange Traded Notes | -2.01% | -32.55% | -16.46% | -4.75% | 4.93% | 1.53% | -20.80% | -13.42% | 4.88% | -11.36% |
GLL ProShares UltraShort Gold | -16.21% | -62.81% | -33.33% | -14.91% | -2.12% | 1.66% | -41.47% | -26.95% | 5.39% | -23.67% |
Correlation
The correlation between DGZ and GLL is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.40 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.46 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.59 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.69 |
Correlation (All Time) Calculated using the full available price history since Dec 4, 2008 | 0.82 |
Over the past year, the correlation between DGZ and GLL has dropped to 0.40 - well below their long-term average of 0.82, suggesting their price drivers have been diverging.
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Return for Risk
DGZ vs. GLL — Risk / Return Rank
DGZ
GLL
DGZ vs. GLL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DB Gold Short Exchange Traded Notes (DGZ) and ProShares UltraShort Gold (GLL). 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.
| DGZ | GLL | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.28 | -0.93 | +0.64 |
Sortino ratioReturn per unit of downside risk | 0.01 | -1.51 | +1.51 |
Omega ratioGain probability vs. loss probability | 1.00 | 0.83 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | -0.51 | -0.79 | +0.27 |
Martin ratioReturn relative to average drawdown | -0.90 | -1.23 | +0.33 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DGZ | GLL | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.28 | -0.93 | +0.64 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.32 | -0.82 | +0.51 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.33 | -0.73 | +0.40 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.32 | -0.68 | +0.35 |
Drawdowns
DGZ vs. GLL - Drawdown Comparison
The maximum DGZ drawdown since its inception was -86.32%, smaller than the maximum GLL drawdown of -99.24%. Use the drawdown chart below to compare losses from any high point for DGZ and GLL.
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Drawdown Indicators
| DGZ | GLL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -86.32% | -99.24% | +12.92% |
Max Drawdown (1Y)Largest decline over 1 year | -38.32% | -65.10% | +26.78% |
Max Drawdown (3Y)Largest decline over 3 years | -59.54% | -87.95% | +28.41% |
Max Drawdown (5Y)Largest decline over 5 years | -61.54% | -89.76% | +28.22% |
Max Drawdown (10Y)Largest decline over 10 years | -71.49% | -95.76% | +24.27% |
Current DrawdownCurrent decline from peak | -83.21% | -98.96% | +15.75% |
Average DrawdownAverage peak-to-trough decline | -57.73% | -85.13% | +27.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 21.76% | 41.61% | -19.85% |
Volatility
DGZ vs. GLL - Volatility Comparison
DB Gold Short Exchange Traded Notes (DGZ) has a higher volatility of 44.94% compared to ProShares UltraShort Gold (GLL) at 11.61%. This indicates that DGZ's price experiences larger fluctuations and is considered to be riskier than GLL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DGZ | GLL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 44.94% | 11.61% | +33.33% |
Volatility (6M)Calculated over the trailing 6-month period | 54.77% | 44.38% | +10.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 66.21% | 52.57% | +13.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 35.18% | 35.93% | -0.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.37% | 32.12% | -4.75% |
DGZ vs. GLL - Expense Ratio Comparison
DGZ has a 0.75% expense ratio, which is lower than GLL's 0.95% expense ratio.
Dividends
DGZ vs. GLL - Dividend Comparison
Neither DGZ nor GLL has paid dividends to shareholders.
Frequently Asked Questions
DGZ and GLL have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DGZ has higher volatility (44.94%) compared to GLL (11.61%). In terms of maximum drawdown, DGZ dropped -86.32% vs GLL's -99.24%.
On 10-year performance, DGZ leads with -9.10% vs -23.52% for GLL. On fees, DGZ is cheaper at 0.75% per year. On volatility, GLL has been the lower-risk option at 11.61%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DGZ has performed better with a -9.10% return vs -23.52%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DGZ is cheaper with a 0.75% expense ratio, compared with 0.95% for GLL.
DGZ and GLL have nearly identical dividend yields, around 0.00%.
DGZ is categorized as Inverse Commodities, while GLL is Leveraged Commodities. DGZ tracks Deutsche Bank Liquid Commodity Index - Optimum Yield Gold Excess Return (-100%), while GLL tracks Bloomberg Gold (-200%). They also come from different issuers: Deutsche Bank and ProShares. Their fees differ too: 0.75% for DGZ and 0.95% for GLL.
DGZ currently has the higher Sharpe Ratio (-0.28 vs -0.93), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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