DZZ vs. SCO
DZZ (DB Gold Double Short Exchange Traded Notes) and SCO (ProShares UltraShort Bloomberg Crude Oil) are both exchange-traded funds - DZZ is a Leveraged Commodities fund tracking the Deutsche Bank Liquid Commodity Index-Optimum Yield Gold (-200%), while SCO is a Oil & Gas fund tracking the Bloomberg Commodity Balanced WTI Crude Oil Index (-200%). Both are passively managed. Over the past 10 years, DZZ returned -10.01%/yr vs -37.10%/yr for SCO. At a 0.13 correlation, their price movements are largely independent. DZZ charges 0.75%/yr vs 0.95%/yr for SCO.
Performance
DZZ vs. SCO - Performance Comparison
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Returns By Period
In the year-to-date period, DZZ achieves a -52.47% return, which is significantly higher than SCO's -57.74% return. Over the past 10 years, DZZ has outperformed SCO with an annualized return of -10.01%, while SCO has yielded a comparatively lower -37.10% annualized return.
DZZ
- 1D
- 0.02%
- 1M
- -12.68%
- YTD
- -52.47%
- 6M
- -48.59%
- 1Y
- -5.68%
- 3Y*
- -10.43%
- 5Y*
- -8.56%
- 10Y*
- -10.01%
SCO
- 1D
- 1.31%
- 1M
- 30.31%
- YTD
- -57.74%
- 6M
- -56.56%
- 1Y
- -50.02%
- 3Y*
- -32.22%
- 5Y*
- -38.03%
- 10Y*
- -37.10%
DZZ vs. SCO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DZZ DB Gold Double Short Exchange Traded Notes | -52.47% | 132.78% | -35.06% | -8.14% | 2.79% | 0.56% | -37.13% | -26.64% | 8.21% | -21.81% |
SCO ProShares UltraShort Bloomberg Crude Oil | -57.74% | 15.90% | -19.00% | -12.41% | -62.59% | -72.62% | -4.20% | -58.50% | 19.22% | -22.40% |
Correlation
The correlation between DZZ and SCO is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.09 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Nov 25, 2008 | 0.13 |
The correlation between DZZ and SCO shifts across timeframes, from -0.09 (1 year) to 0.13 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
DZZ vs. SCO — Risk / Return Rank
DZZ
SCO
DZZ vs. SCO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DB Gold Double Short Exchange Traded Notes (DZZ) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DZZ | SCO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.86 | ||
| Sortino ratioReturn per unit of downside risk | +2.77 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 0.86 | +0.33 |
| Calmar ratioReturn relative to maximum drawdown | -0.07 | -0.69 | +0.62 |
| Martin ratioReturn relative to average drawdown | -0.10 | -1.35 | +1.25 |
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Drawdowns
DZZ vs. SCO - Drawdown Comparison
The maximum DZZ drawdown since its inception was -96.64%, roughly equal to the maximum SCO drawdown of -99.80%. Use the drawdown chart below to compare losses from any high point for DZZ and SCO.
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Drawdown Indicators
| DZZ | SCO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.64% | -99.80% | +3.16% |
Max Drawdown (1Y)Largest decline over 1 year | -81.05% | -72.24% | -8.81% |
Max Drawdown (3Y)Largest decline over 3 years | -81.05% | -78.76% | -2.29% |
Max Drawdown (5Y)Largest decline over 5 years | -81.05% | -94.80% | +13.75% |
Max Drawdown (10Y)Largest decline over 10 years | -81.05% | -99.51% | +18.46% |
Current DrawdownCurrent decline from peak | -95.55% | -99.72% | +4.17% |
Average DrawdownAverage peak-to-trough decline | -82.32% | -85.20% | +2.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 56.22% | 37.01% | +19.21% |
Volatility
DZZ vs. SCO - Volatility Comparison
The current volatility for DB Gold Double Short Exchange Traded Notes (DZZ) is 15.04%, while ProShares UltraShort Bloomberg Crude Oil (SCO) has a volatility of 15.93%. This indicates that DZZ 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.
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Volatility by Period
| DZZ | SCO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.04% | 15.93% | -0.89% |
Volatility (6M)Calculated over the trailing 6-month period | 60.07% | 47.12% | +12.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 169.84% | 57.11% | +112.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 83.80% | 60.04% | +23.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 64.06% | 71.88% | -7.82% |
DZZ vs. SCO - Expense Ratio Comparison
DZZ has a 0.75% expense ratio, which is lower than SCO's 0.95% expense ratio.
Dividends
DZZ vs. SCO - Dividend Comparison
Neither DZZ nor SCO has paid dividends to shareholders.
Frequently Asked Questions
DZZ and SCO have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SCO has higher volatility (15.93%) compared to DZZ (15.04%). In terms of maximum drawdown, DZZ dropped -96.64% vs SCO's -99.80%.
On 10-year performance, DZZ leads with -10.01% vs -37.10% for SCO. On fees, DZZ is cheaper at 0.75% per year. On volatility, DZZ has been the lower-risk option at 15.04%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DZZ has performed better with a -10.01% return vs -37.10%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DZZ is cheaper with a 0.75% expense ratio, compared with 0.95% for SCO.
DZZ and SCO have nearly identical dividend yields, around 0.00%.
DZZ is categorized as Leveraged Commodities, while SCO is Oil & Gas. DZZ tracks Deutsche Bank Liquid Commodity Index-Optimum Yield Gold (-200%), while SCO tracks Bloomberg Commodity Balanced WTI Crude Oil Index (-200%). They also come from different issuers: Deutsche Bank and ProShares. Their fees differ too: 0.75% for DZZ and 0.95% for SCO.
DZZ currently has the higher Sharpe Ratio (-0.03 vs -0.90), 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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