SCO vs. DGP
SCO (ProShares UltraShort Bloomberg Crude Oil) and DGP (DB Gold Double Long Exchange Traded Notes) are both Leveraged Commodities funds - SCO tracks the Bloomberg Commodity Balanced WTI Crude Oil Index (-200%) while DGP tracks the Deutsche Bank Liquid Commodity Index-Optimum Yield Gold (200%). Both are passively managed. Over the past 10 years, SCO returned -38.69%/yr vs 20.46%/yr for DGP. At a correlation of -0.15, they often move in opposite directions. SCO charges 0.95%/yr vs 0.75%/yr for DGP.
Performance
SCO vs. DGP - Performance Comparison
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Returns By Period
In the year-to-date period, SCO achieves a -68.52% return, which is significantly lower than DGP's 1.01% return. Over the past 10 years, SCO has underperformed DGP with an annualized return of -38.69%, while DGP has yielded a comparatively higher 20.46% annualized return.
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%
DGP
- 1D
- -1.70%
- 1M
- -3.55%
- YTD
- 1.01%
- 6M
- 5.64%
- 1Y
- 57.52%
- 3Y*
- 57.85%
- 5Y*
- 30.49%
- 10Y*
- 20.46%
SCO vs. DGP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
DGP DB Gold Double Long Exchange Traded Notes | 1.01% | 141.40% | 53.16% | 16.97% | -5.54% | -11.29% | 45.29% | 32.27% | -7.48% | 24.20% |
Correlation
The correlation between SCO and DGP is 0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.12 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.15 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.09 |
Correlation (All Time) Calculated using the full available price history since Nov 26, 2008 | -0.15 |
The correlation between SCO and DGP shifts across timeframes, from -0.15 (all time) to 0.05 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SCO vs. DGP — Risk / Return Rank
SCO
DGP
SCO vs. DGP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Crude Oil (SCO) and DB Gold Double Long Exchange Traded Notes (DGP). 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.
| SCO | DGP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.31 | ||
| Sortino ratioReturn per unit of downside risk | -3.94 | ||
| Omega ratioGain probability vs. loss probability | 0.75 | 1.23 | -0.48 |
| Calmar ratioReturn relative to maximum drawdown | -0.94 | 1.58 | -2.52 |
| Martin ratioReturn relative to average drawdown | -1.97 | 4.05 | -6.02 |
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
| SCO | DGP | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.20 | 1.10 | -2.31 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.72 | 0.79 | -1.51 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.54 | 0.59 | -1.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.38 | 0.28 | -0.66 |
Drawdowns
SCO vs. DGP - Drawdown Comparison
The maximum SCO drawdown since its inception was -99.80%, which is greater than DGP's maximum drawdown of -75.31%. Use the drawdown chart below to compare losses from any high point for SCO and DGP.
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Drawdown Indicators
| SCO | DGP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.80% | -75.31% | -24.49% |
Max Drawdown (1Y)Largest decline over 1 year | -72.24% | -36.58% | -35.66% |
Max Drawdown (3Y)Largest decline over 3 years | -79.85% | -36.58% | -43.27% |
Max Drawdown (5Y)Largest decline over 5 years | -94.80% | -51.24% | -43.56% |
Max Drawdown (10Y)Largest decline over 10 years | -99.51% | -51.24% | -48.27% |
Current DrawdownCurrent decline from peak | -99.79% | -32.78% | -67.01% |
Average DrawdownAverage peak-to-trough decline | -85.17% | -41.09% | -44.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.60% | 14.24% | +20.36% |
Volatility
SCO vs. DGP - Volatility Comparison
ProShares UltraShort Bloomberg Crude Oil (SCO) has a higher volatility of 20.05% compared to DB Gold Double Long Exchange Traded Notes (DGP) at 10.48%. This indicates that SCO's price experiences larger fluctuations and is considered to be riskier than DGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SCO | DGP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 20.05% | 10.48% | +9.57% |
Volatility (6M)Calculated over the trailing 6-month period | 45.60% | 46.34% | -0.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.64% | 52.47% | +4.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.74% | 38.77% | +20.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 71.95% | 35.04% | +36.91% |
SCO vs. DGP - Expense Ratio Comparison
SCO has a 0.95% expense ratio, which is higher than DGP's 0.75% expense ratio.
Dividends
SCO vs. DGP - Dividend Comparison
Neither SCO nor DGP has paid dividends to shareholders.
Frequently Asked Questions
SCO and DGP have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SCO has higher volatility (20.05%) compared to DGP (10.48%). In terms of maximum drawdown, SCO dropped -99.80% vs DGP's -75.31%.
On 10-year performance, DGP leads with 20.46% vs -38.69% for SCO. On fees, DGP is cheaper at 0.75% per year. On volatility, DGP has been the lower-risk option at 10.48%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DGP has performed better with a 20.46% return vs -38.69%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DGP is cheaper with a 0.75% expense ratio, compared with 0.95% for SCO.
SCO and DGP have nearly identical dividend yields, around 0.00%.
SCO tracks Bloomberg Commodity Balanced WTI Crude Oil Index (-200%), while DGP tracks Deutsche Bank Liquid Commodity Index-Optimum Yield Gold (200%). They also come from different issuers: ProShares and Deutsche Bank. Their fees differ too: 0.95% for SCO and 0.75% for DGP.
DGP currently has the higher Sharpe Ratio (1.10 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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