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

Correlation

The correlation between KOLD and SCO is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

KOLD vs. SCO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort Bloomberg Natural Gas (KOLD) and ProShares UltraShort Bloomberg Crude Oil (SCO). The values are adjusted to include any dividend payments, if applicable.

-100.00%-90.00%-80.00%-70.00%-60.00%-50.00%JulyAugustSeptemberOctoberNovemberDecember
-71.95%
-96.93%
KOLD
SCO

Key characteristics

Sharpe Ratio

KOLD:

-0.07

SCO:

-0.19

Sortino Ratio

KOLD:

0.63

SCO:

0.04

Omega Ratio

KOLD:

1.07

SCO:

1.00

Calmar Ratio

KOLD:

-0.07

SCO:

-0.09

Martin Ratio

KOLD:

-0.27

SCO:

-0.45

Ulcer Index

KOLD:

26.78%

SCO:

18.96%

Daily Std Dev

KOLD:

102.10%

SCO:

45.13%

Max Drawdown

KOLD:

-99.45%

SCO:

-99.50%

Current Drawdown

KOLD:

-94.09%

SCO:

-99.39%

Returns By Period

In the year-to-date period, KOLD achieves a 5.88% return, which is significantly higher than SCO's -14.27% return. Over the past 10 years, KOLD has outperformed SCO with an annualized return of -14.21%, while SCO has yielded a comparatively lower -30.61% annualized return.


KOLD

YTD

5.88%

1M

-12.81%

6M

19.28%

1Y

3.40%

5Y*

-32.38%

10Y*

-14.21%

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.


KOLD vs. SCO - Expense Ratio Comparison

Both KOLD and SCO have an expense ratio of 0.95%.


KOLD
ProShares UltraShort Bloomberg Natural Gas
Expense ratio chart for KOLD: 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%
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

KOLD vs. SCO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Natural Gas (KOLD) 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 KOLD, currently valued at -0.07, compared to the broader market0.002.004.00-0.07-0.19
The chart of Sortino ratio for KOLD, currently valued at 0.63, compared to the broader market-2.000.002.004.006.008.0010.000.630.04
The chart of Omega ratio for KOLD, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.00
The chart of Calmar ratio for KOLD, currently valued at -0.07, compared to the broader market0.005.0010.0015.00-0.07-0.09
The chart of Martin ratio for KOLD, currently valued at -0.27, compared to the broader market0.0020.0040.0060.0080.00100.00-0.27-0.45
KOLD
SCO

The current KOLD Sharpe Ratio is -0.07, which is higher than the SCO Sharpe Ratio of -0.19. The chart below compares the historical Sharpe Ratios of KOLD 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.07
-0.19
KOLD
SCO

Dividends

KOLD vs. SCO - Dividend Comparison

Neither KOLD nor SCO has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

KOLD vs. SCO - Drawdown Comparison

The maximum KOLD drawdown since its inception was -99.45%, roughly equal to the maximum SCO drawdown of -99.50%. Use the drawdown chart below to compare losses from any high point for KOLD and SCO. For additional features, visit the drawdowns tool.


-100.00%-98.00%-96.00%-94.00%-92.00%-90.00%JulyAugustSeptemberOctoberNovemberDecember
-94.09%
-99.21%
KOLD
SCO

Volatility

KOLD vs. SCO - Volatility Comparison

ProShares UltraShort Bloomberg Natural Gas (KOLD) has a higher volatility of 31.57% compared to ProShares UltraShort Bloomberg Crude Oil (SCO) at 10.41%. This indicates that KOLD'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.


5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
31.57%
10.41%
KOLD
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