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SCO vs. DRIP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SCO and DRIP is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

SCO vs. DRIP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort Bloomberg Crude Oil (SCO) and Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP). The values are adjusted to include any dividend payments, if applicable.

-100.00%-99.00%-98.00%-97.00%-96.00%JulyAugustSeptemberOctoberNovemberDecember
-96.79%
-99.36%
SCO
DRIP

Key characteristics

Sharpe Ratio

SCO:

-0.19

DRIP:

0.29

Sortino Ratio

SCO:

0.04

DRIP:

0.76

Omega Ratio

SCO:

1.00

DRIP:

1.09

Calmar Ratio

SCO:

-0.09

DRIP:

0.13

Martin Ratio

SCO:

-0.45

DRIP:

0.65

Ulcer Index

SCO:

18.96%

DRIP:

20.04%

Daily Std Dev

SCO:

45.13%

DRIP:

44.81%

Max Drawdown

SCO:

-99.50%

DRIP:

-99.90%

Current Drawdown

SCO:

-99.39%

DRIP:

-99.84%

Returns By Period

In the year-to-date period, SCO achieves a -14.27% return, which is significantly lower than DRIP's 12.66% return.


SCO

YTD

-14.27%

1M

-0.50%

6M

13.07%

1Y

-8.67%

5Y*

-40.98%

10Y*

-30.61%

DRIP

YTD

12.66%

1M

31.60%

6M

22.89%

1Y

15.52%

5Y*

-51.64%

10Y*

N/A

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


SCO vs. DRIP - Expense Ratio Comparison

SCO has a 0.95% expense ratio, which is lower than DRIP's 1.07% expense ratio.


DRIP
Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares
Expense ratio chart for DRIP: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%
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

SCO vs. DRIP - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Crude Oil (SCO) and Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP). 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 SCO, currently valued at -0.19, compared to the broader market0.002.004.00-0.190.29
The chart of Sortino ratio for SCO, currently valued at 0.04, compared to the broader market-2.000.002.004.006.008.0010.000.040.76
The chart of Omega ratio for SCO, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.001.09
The chart of Calmar ratio for SCO, currently valued at -0.09, compared to the broader market0.005.0010.0015.00-0.090.13
The chart of Martin ratio for SCO, currently valued at -0.45, compared to the broader market0.0020.0040.0060.0080.00100.00-0.450.65
SCO
DRIP

The current SCO Sharpe Ratio is -0.19, which is lower than the DRIP Sharpe Ratio of 0.29. The chart below compares the historical Sharpe Ratios of SCO and DRIP, 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-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.19
0.29
SCO
DRIP

Dividends

SCO vs. DRIP - Dividend Comparison

SCO has not paid dividends to shareholders, while DRIP's dividend yield for the trailing twelve months is around 3.65%.


TTM202320222021202020192018
SCO
ProShares UltraShort Bloomberg Crude Oil
0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DRIP
Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares
3.65%5.09%0.00%0.00%0.01%0.96%0.58%

Drawdowns

SCO vs. DRIP - Drawdown Comparison

The maximum SCO drawdown since its inception was -99.50%, roughly equal to the maximum DRIP drawdown of -99.90%. Use the drawdown chart below to compare losses from any high point for SCO and DRIP. For additional features, visit the drawdowns tool.


-99.80%-99.60%-99.40%-99.20%-99.00%JulyAugustSeptemberOctoberNovemberDecember
-99.21%
-99.84%
SCO
DRIP

Volatility

SCO vs. DRIP - Volatility Comparison

The current volatility for ProShares UltraShort Bloomberg Crude Oil (SCO) is 10.41%, while Direxion Daily S&P Oil & Gas Exploration & Production Bear 2x Shares (DRIP) has a volatility of 12.77%. This indicates that SCO experiences smaller price fluctuations and is considered to be less risky than DRIP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


8.00%10.00%12.00%14.00%16.00%18.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.41%
12.77%
SCO
DRIP
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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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