DZZ vs. SCO
DZZ (DB Gold Double Short Exchange Traded Notes) and SCO (ProShares UltraShort Bloomberg Crude Oil) are both Leveraged Commodities funds - DZZ tracks the Deutsche Bank Liquid Commodity Index-Optimum Yield Gold (-200%) while SCO tracks the Bloomberg Commodity Balanced WTI Crude Oil Index (-200%). Both are passively managed. Over the past 10 years, DZZ returned -10.52%/yr vs -38.69%/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 -48.31% return, which is significantly higher than SCO's -68.52% return. Over the past 10 years, DZZ has outperformed SCO with an annualized return of -10.52%, while SCO has yielded a comparatively lower -38.69% annualized return.
DZZ
- 1D
- 1.45%
- 1M
- -16.65%
- YTD
- -48.31%
- 6M
- -41.62%
- 1Y
- 11.20%
- 3Y*
- -6.90%
- 5Y*
- -4.82%
- 10Y*
- -10.52%
SCO
- 1D
- -2.80%
- 1M
- 0.04%
- YTD
- -68.52%
- 6M
- -67.29%
- 1Y
- -68.07%
- 3Y*
- -37.96%
- 5Y*
- -42.81%
- 10Y*
- -38.69%
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 | -48.31% | 132.78% | -35.06% | -8.14% | 2.79% | 0.56% | -37.13% | -26.64% | 8.21% | -21.81% |
SCO ProShares UltraShort Bloomberg Crude Oil | -68.52% | 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 -0.10, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.10 |
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 26, 2008 | 0.13 |
The correlation between DZZ and SCO shifts across timeframes, from -0.10 (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.
| DZZ | SCO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.07 | -1.20 | +1.27 |
Sortino ratioReturn per unit of downside risk | 1.69 | -2.34 | +4.03 |
Omega ratioGain probability vs. loss probability | 1.22 | 0.75 | +0.47 |
Calmar ratioReturn relative to maximum drawdown | 0.14 | -0.94 | +1.08 |
Martin ratioReturn relative to average drawdown | 0.21 | -1.97 | +2.18 |
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
| DZZ | SCO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.07 | -1.20 | +1.27 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.06 | -0.72 | +0.66 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.16 | -0.54 | +0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.23 | -0.38 | +0.15 |
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 | -80.84% | -72.24% | -8.60% |
Max Drawdown (3Y)Largest decline over 3 years | -80.84% | -79.85% | -0.99% |
Max Drawdown (5Y)Largest decline over 5 years | -80.84% | -94.80% | +13.96% |
Max Drawdown (10Y)Largest decline over 10 years | -80.84% | -99.51% | +18.67% |
Current DrawdownCurrent decline from peak | -95.16% | -99.79% | +4.63% |
Average DrawdownAverage peak-to-trough decline | -82.30% | -85.17% | +2.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 53.19% | 34.60% | +18.59% |
Volatility
DZZ vs. SCO - Volatility Comparison
DB Gold Double Short Exchange Traded Notes (DZZ) has a higher volatility of 30.21% compared to ProShares UltraShort Bloomberg Crude Oil (SCO) at 20.05%. This indicates that DZZ'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.
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Volatility by Period
| DZZ | SCO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 30.21% | 20.05% | +10.16% |
Volatility (6M)Calculated over the trailing 6-month period | 59.65% | 45.60% | +14.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 169.45% | 56.64% | +112.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 83.63% | 59.74% | +23.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 64.05% | 71.95% | -7.90% |
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 -0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DZZ has higher volatility (30.21%) compared to SCO (20.05%). In terms of maximum drawdown, DZZ dropped -96.64% vs SCO's -99.80%.
On 10-year performance, DZZ leads with -10.52% vs -38.69% for SCO. On fees, DZZ is cheaper at 0.75% per year. On volatility, SCO has been the lower-risk option at 20.05%. 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 -10.52% return vs -38.69%. 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 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 (0.07 vs -1.20), 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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