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KOLD vs. UPRO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


KOLDUPRO
YTD Return46.58%74.91%
1Y Return156.01%118.47%
3Y Return (Ann)-6.94%10.04%
5Y Return (Ann)-23.88%25.87%
10Y Return (Ann)-7.66%24.93%
Sharpe Ratio1.373.23
Sortino Ratio2.003.50
Omega Ratio1.241.49
Calmar Ratio1.402.75
Martin Ratio5.2619.52
Ulcer Index25.80%6.03%
Daily Std Dev99.39%36.51%
Max Drawdown-99.45%-76.82%
Current Drawdown-91.81%-0.97%

Correlation

-0.50.00.51.0-0.0

The correlation between KOLD and UPRO is -0.05. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Performance

KOLD vs. UPRO - Performance Comparison

In the year-to-date period, KOLD achieves a 46.58% return, which is significantly lower than UPRO's 74.91% return. Over the past 10 years, KOLD has underperformed UPRO with an annualized return of -7.66%, while UPRO has yielded a comparatively higher 24.93% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
23.78%
38.29%
KOLD
UPRO

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KOLD vs. UPRO - Expense Ratio Comparison

KOLD has a 0.95% expense ratio, which is higher than UPRO's 0.92% expense ratio.


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 UPRO: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%

Risk-Adjusted Performance

KOLD vs. UPRO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Natural Gas (KOLD) and ProShares UltraPro S&P 500 (UPRO). 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.


KOLD
Sharpe ratio
The chart of Sharpe ratio for KOLD, currently valued at 1.37, compared to the broader market-2.000.002.004.006.001.37
Sortino ratio
The chart of Sortino ratio for KOLD, currently valued at 2.00, compared to the broader market-2.000.002.004.006.008.0010.0012.002.00
Omega ratio
The chart of Omega ratio for KOLD, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for KOLD, currently valued at 1.40, compared to the broader market0.005.0010.0015.001.40
Martin ratio
The chart of Martin ratio for KOLD, currently valued at 5.26, compared to the broader market0.0020.0040.0060.0080.00100.005.26
UPRO
Sharpe ratio
The chart of Sharpe ratio for UPRO, currently valued at 3.23, compared to the broader market-2.000.002.004.006.003.23
Sortino ratio
The chart of Sortino ratio for UPRO, currently valued at 3.50, compared to the broader market-2.000.002.004.006.008.0010.0012.003.50
Omega ratio
The chart of Omega ratio for UPRO, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for UPRO, currently valued at 2.75, compared to the broader market0.005.0010.0015.002.75
Martin ratio
The chart of Martin ratio for UPRO, currently valued at 19.52, compared to the broader market0.0020.0040.0060.0080.00100.0019.52

KOLD vs. UPRO - Sharpe Ratio Comparison

The current KOLD Sharpe Ratio is 1.37, which is lower than the UPRO Sharpe Ratio of 3.23. The chart below compares the historical Sharpe Ratios of KOLD and UPRO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.37
3.23
KOLD
UPRO

Dividends

KOLD vs. UPRO - Dividend Comparison

KOLD has not paid dividends to shareholders, while UPRO's dividend yield for the trailing twelve months is around 0.72%.


TTM20232022202120202019201820172016201520142013
KOLD
ProShares UltraShort Bloomberg Natural Gas
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UPRO
ProShares UltraPro S&P 500
0.72%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%

Drawdowns

KOLD vs. UPRO - Drawdown Comparison

The maximum KOLD drawdown since its inception was -99.45%, which is greater than UPRO's maximum drawdown of -76.82%. Use the drawdown chart below to compare losses from any high point for KOLD and UPRO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-91.81%
-0.97%
KOLD
UPRO

Volatility

KOLD vs. UPRO - Volatility Comparison

ProShares UltraShort Bloomberg Natural Gas (KOLD) has a higher volatility of 27.94% compared to ProShares UltraPro S&P 500 (UPRO) at 11.63%. This indicates that KOLD's price experiences larger fluctuations and is considered to be riskier than UPRO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
27.94%
11.63%
KOLD
UPRO