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KOLD vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

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.


-0.50.00.51.0-0.0

Performance

KOLD vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort Bloomberg Natural Gas (KOLD) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
-71.95%
409.10%
KOLD
^GSPC

Key characteristics

Sharpe Ratio

KOLD:

-0.07

^GSPC:

2.10

Sortino Ratio

KOLD:

0.63

^GSPC:

2.80

Omega Ratio

KOLD:

1.07

^GSPC:

1.39

Calmar Ratio

KOLD:

-0.07

^GSPC:

3.09

Martin Ratio

KOLD:

-0.27

^GSPC:

13.49

Ulcer Index

KOLD:

26.78%

^GSPC:

1.94%

Daily Std Dev

KOLD:

102.10%

^GSPC:

12.52%

Max Drawdown

KOLD:

-99.45%

^GSPC:

-56.78%

Current Drawdown

KOLD:

-94.09%

^GSPC:

-2.62%

Returns By Period

In the year-to-date period, KOLD achieves a 5.88% return, which is significantly lower than ^GSPC's 24.34% return. Over the past 10 years, KOLD has underperformed ^GSPC with an annualized return of -14.21%, while ^GSPC has yielded a comparatively higher 11.06% annualized return.


KOLD

YTD

5.88%

1M

-12.81%

6M

19.28%

1Y

3.40%

5Y*

-32.38%

10Y*

-14.21%

^GSPC

YTD

24.34%

1M

0.23%

6M

8.53%

1Y

24.95%

5Y*

13.01%

10Y*

11.06%

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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.


Sharpe ratio
The chart of Sharpe ratio for KOLD, currently valued at -0.07, compared to the broader market0.002.004.00-0.072.10
The chart of Sortino ratio for KOLD, currently valued at 0.63, compared to the broader market-2.000.002.004.006.008.0010.000.632.80
The chart of Omega ratio for KOLD, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.39
The chart of Calmar ratio for KOLD, currently valued at -0.07, compared to the broader market0.005.0010.0015.00-0.073.09
The chart of Martin ratio for KOLD, currently valued at -0.27, compared to the broader market0.0020.0040.0060.0080.00100.00-0.2713.49
KOLD
^GSPC

The current KOLD Sharpe Ratio is -0.07, which is lower than the ^GSPC Sharpe Ratio of 2.10. 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 Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.07
2.10
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%JulyAugustSeptemberOctoberNovemberDecember
-94.09%
-2.62%
KOLD
^GSPC

Volatility

KOLD vs. ^GSPC - Volatility Comparison

ProShares UltraShort Bloomberg Natural Gas (KOLD) has a higher volatility of 31.57% compared to S&P 500 (^GSPC) at 3.79%. 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%JulyAugustSeptemberOctoberNovemberDecember
31.57%
3.79%
KOLD
^GSPC
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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.

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