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

Key characteristics


KOLD^GSPC
YTD Return37.97%25.48%
1Y Return124.62%33.14%
3Y Return (Ann)-8.79%8.55%
5Y Return (Ann)-24.50%13.96%
10Y Return (Ann)-8.21%11.39%
Sharpe Ratio1.422.91
Sortino Ratio2.033.88
Omega Ratio1.241.55
Calmar Ratio1.464.20
Martin Ratio5.4618.80
Ulcer Index25.84%1.90%
Daily Std Dev99.24%12.27%
Max Drawdown-99.45%-56.78%
Current Drawdown-92.29%-0.27%

Correlation

-0.50.00.51.0-0.0

The correlation between KOLD and ^GSPC 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. ^GSPC - Performance Comparison

In the year-to-date period, KOLD achieves a 37.97% return, which is significantly higher than ^GSPC's 25.48% return. Over the past 10 years, KOLD has underperformed ^GSPC with an annualized return of -8.21%, while ^GSPC has yielded a comparatively higher 11.39% 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%60.00%JuneJulyAugustSeptemberOctoberNovember
21.91%
12.76%
KOLD
^GSPC

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

KOLD vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Natural Gas (KOLD) and S&P 500 (^GSPC). 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 1.42, compared to the broader market-2.000.002.004.006.001.42
Sortino ratio
The chart of Sortino ratio for KOLD, currently valued at 2.03, compared to the broader market-2.000.002.004.006.008.0010.0012.002.03
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 1.46, compared to the broader market0.005.0010.0015.001.46
Martin ratio
The chart of Martin ratio for KOLD, currently valued at 5.46, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.46
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market-2.000.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.008.0010.0012.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market1.001.502.002.503.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.80

KOLD vs. ^GSPC - Sharpe Ratio Comparison

The current KOLD Sharpe Ratio is 1.42, which is lower than the ^GSPC Sharpe Ratio of 2.91. The chart below compares the historical Sharpe Ratios of KOLD and ^GSPC, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.42
2.91
KOLD
^GSPC

Drawdowns

KOLD vs. ^GSPC - Drawdown Comparison

The maximum KOLD drawdown since its inception was -99.45%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for KOLD and ^GSPC. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-92.29%
-0.27%
KOLD
^GSPC

Volatility

KOLD vs. ^GSPC - Volatility Comparison

ProShares UltraShort Bloomberg Natural Gas (KOLD) has a higher volatility of 28.56% compared to S&P 500 (^GSPC) at 3.75%. This indicates that KOLD's price experiences larger fluctuations and is considered to be riskier than ^GSPC 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
28.56%
3.75%
KOLD
^GSPC