DRIP vs. SCO
Compare and contrast key facts about Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP) and ProShares UltraShort Bloomberg Crude Oil (SCO).
DRIP and SCO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DRIP is a passively managed fund by Direxion that tracks the performance of the S&P Oil & Gas Exploration & Production Select Industry Index (-300%). It was launched on Apr 1, 2020. SCO is a passively managed fund by ProShares that tracks the performance of the Bloomberg Commodity Balanced WTI Crude Oil Index (-200%). It was launched on Nov 24, 2008. Both DRIP and SCO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DRIP or SCO.
Key characteristics
| DRIP | SCO | |
|---|---|---|
| YTD Return | -9.76% | -10.48% |
| 1Y Return | -6.48% | 0.38% |
| 3Y Return (Ann) | -39.13% | -34.61% |
| 5Y Return (Ann) | -55.95% | -41.87% |
| Sharpe Ratio | -0.21 | 0.02 |
| Sortino Ratio | 0.00 | 0.38 |
| Omega Ratio | 1.00 | 1.04 |
| Calmar Ratio | -0.10 | 0.01 |
| Martin Ratio | -0.49 | 0.05 |
| Ulcer Index | 19.28% | 21.15% |
| Daily Std Dev | 45.08% | 47.63% |
| Max Drawdown | -99.90% | -99.50% |
| Current Drawdown | -99.87% | -99.37% |
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.
Performance
DRIP vs. SCO - Performance Comparison
In the year-to-date period, DRIP achieves a -9.76% return, which is significantly higher than SCO's -10.48% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DRIP vs. SCO - Expense Ratio Comparison
DRIP has a 1.07% expense ratio, which is higher than SCO's 0.95% expense ratio.
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.
Dividends
DRIP vs. SCO - Dividend Comparison
DRIP's dividend yield for the trailing twelve months is around 5.47%, while SCO has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
DRIP Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares | 5.47% | 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.
Volatility
DRIP vs. SCO - Volatility Comparison
The current volatility for Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP) is 14.65%, while ProShares UltraShort Bloomberg Crude Oil (SCO) has a volatility of 15.43%. This indicates that DRIP experiences smaller price fluctuations and is considered to be less risky than SCO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.