PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DRIP vs. SCO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DRIP and SCO is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

DRIP vs. SCO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP) and ProShares UltraShort Bloomberg Crude Oil (SCO). The values are adjusted to include any dividend payments, if applicable.

-100.00%-99.00%-98.00%-97.00%-96.00%JulyAugustSeptemberOctoberNovemberDecember
-99.36%
-96.79%
DRIP
SCO

Key characteristics

Sharpe Ratio

DRIP:

0.29

SCO:

-0.19

Sortino Ratio

DRIP:

0.76

SCO:

0.04

Omega Ratio

DRIP:

1.09

SCO:

1.00

Calmar Ratio

DRIP:

0.13

SCO:

-0.09

Martin Ratio

DRIP:

0.65

SCO:

-0.45

Ulcer Index

DRIP:

20.04%

SCO:

18.96%

Daily Std Dev

DRIP:

44.81%

SCO:

45.13%

Max Drawdown

DRIP:

-99.90%

SCO:

-99.50%

Current Drawdown

DRIP:

-99.84%

SCO:

-99.39%

Returns By Period

In the year-to-date period, DRIP achieves a 12.66% return, which is significantly higher than SCO's -14.27% return.


DRIP

YTD

12.66%

1M

31.60%

6M

22.89%

1Y

15.52%

5Y*

-51.64%

10Y*

N/A

SCO

YTD

-14.27%

1M

-0.50%

6M

13.07%

1Y

-8.67%

5Y*

-40.98%

10Y*

-30.61%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DRIP vs. SCO - Expense Ratio Comparison

DRIP has a 1.07% expense ratio, which is higher than SCO's 0.95% expense ratio.


DRIP
Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares
Expense ratio chart for DRIP: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
Expense ratio chart for SCO: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

DRIP vs. SCO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP) and ProShares UltraShort Bloomberg Crude Oil (SCO). 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 DRIP, currently valued at 0.29, compared to the broader market0.002.004.000.29-0.19
The chart of Sortino ratio for DRIP, currently valued at 0.76, compared to the broader market-2.000.002.004.006.008.0010.000.760.04
The chart of Omega ratio for DRIP, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.00
The chart of Calmar ratio for DRIP, currently valued at 0.13, compared to the broader market0.005.0010.0015.000.13-0.09
The chart of Martin ratio for DRIP, currently valued at 0.65, compared to the broader market0.0020.0040.0060.0080.00100.000.65-0.45
DRIP
SCO

The current DRIP Sharpe Ratio is 0.29, which is higher than the SCO Sharpe Ratio of -0.19. The chart below compares the historical Sharpe Ratios of DRIP and SCO, 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
0.29
-0.19
DRIP
SCO

Dividends

DRIP vs. SCO - Dividend Comparison

DRIP's dividend yield for the trailing twelve months is around 3.65%, while SCO has not paid dividends to shareholders.


TTM202320222021202020192018
DRIP
Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares
3.65%5.09%0.00%0.00%0.01%0.96%0.58%
SCO
ProShares UltraShort Bloomberg Crude Oil
0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DRIP vs. SCO - Drawdown Comparison

The maximum DRIP drawdown since its inception was -99.90%, roughly equal to the maximum SCO drawdown of -99.50%. Use the drawdown chart below to compare losses from any high point for DRIP and SCO. For additional features, visit the drawdowns tool.


-99.80%-99.60%-99.40%-99.20%-99.00%JulyAugustSeptemberOctoberNovemberDecember
-99.84%
-99.21%
DRIP
SCO

Volatility

DRIP vs. SCO - Volatility Comparison

Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP) has a higher volatility of 12.77% compared to ProShares UltraShort Bloomberg Crude Oil (SCO) at 10.41%. This indicates that DRIP's price experiences larger fluctuations and is considered to be riskier than SCO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


8.00%10.00%12.00%14.00%16.00%18.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
12.77%
10.41%
DRIP
SCO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab