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DUG vs. DRIP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DUG and DRIP is 0.91, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

DUG vs. DRIP - Performance Comparison

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

-20.00%-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
15.05%
27.45%
DUG
DRIP

Key characteristics

Sharpe Ratio

DUG:

0.11

DRIP:

0.39

Sortino Ratio

DUG:

0.43

DRIP:

0.90

Omega Ratio

DUG:

1.05

DRIP:

1.10

Calmar Ratio

DUG:

0.04

DRIP:

0.18

Martin Ratio

DUG:

0.18

DRIP:

0.88

Ulcer Index

DUG:

21.66%

DRIP:

20.04%

Daily Std Dev

DUG:

35.41%

DRIP:

44.89%

Max Drawdown

DUG:

-99.86%

DRIP:

-99.90%

Current Drawdown

DUG:

-99.80%

DRIP:

-99.84%

Returns By Period

In the year-to-date period, DUG achieves a 0.48% return, which is significantly lower than DRIP's 13.77% return.


DUG

YTD

0.48%

1M

31.19%

6M

15.04%

1Y

2.06%

5Y*

-42.78%

10Y*

-26.58%

DRIP

YTD

13.77%

1M

28.59%

6M

26.35%

1Y

14.17%

5Y*

-51.58%

10Y*

N/A

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DUG vs. DRIP - Expense Ratio Comparison

DUG has a 0.95% expense ratio, which is lower than DRIP's 1.07% 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 DUG: 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

DUG vs. DRIP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Oil & Gas (DUG) and Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP). 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 DUG, currently valued at 0.11, compared to the broader market0.002.004.000.110.39
The chart of Sortino ratio for DUG, currently valued at 0.43, compared to the broader market-2.000.002.004.006.008.0010.000.430.90
The chart of Omega ratio for DUG, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.10
The chart of Calmar ratio for DUG, currently valued at 0.04, compared to the broader market0.005.0010.0015.000.040.18
The chart of Martin ratio for DUG, currently valued at 0.18, compared to the broader market0.0020.0040.0060.0080.00100.000.180.88
DUG
DRIP

The current DUG Sharpe Ratio is 0.11, which is lower than the DRIP Sharpe Ratio of 0.39. The chart below compares the historical Sharpe Ratios of DUG and DRIP, 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
0.11
0.39
DUG
DRIP

Dividends

DUG vs. DRIP - Dividend Comparison

DUG's dividend yield for the trailing twelve months is around 3.85%, less than DRIP's 4.34% yield.


TTM202320222021202020192018
DUG
ProShares UltraShort Oil & Gas
3.85%1.56%0.28%0.00%0.10%0.46%0.27%
DRIP
Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares
4.34%5.09%0.00%0.00%0.01%0.96%0.58%

Drawdowns

DUG vs. DRIP - Drawdown Comparison

The maximum DUG drawdown since its inception was -99.86%, roughly equal to the maximum DRIP drawdown of -99.90%. Use the drawdown chart below to compare losses from any high point for DUG and DRIP. For additional features, visit the drawdowns tool.


-99.80%-99.60%-99.40%-99.20%-99.00%-98.80%-98.60%JulyAugustSeptemberOctoberNovemberDecember
-98.58%
-99.84%
DUG
DRIP

Volatility

DUG vs. DRIP - Volatility Comparison

The current volatility for ProShares UltraShort Oil & Gas (DUG) is 9.71%, while Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP) has a volatility of 13.40%. This indicates that DUG experiences smaller price fluctuations and is considered to be less risky than DRIP 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%JulyAugustSeptemberOctoberNovemberDecember
9.71%
13.40%
DUG
DRIP
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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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