SCO vs. DZZ
SCO (ProShares UltraShort Bloomberg Crude Oil) and DZZ (DB Gold Double Short Exchange Traded Notes) are both Leveraged Commodities funds - SCO tracks the Bloomberg Commodity Balanced WTI Crude Oil Index (-200%) while DZZ tracks the Deutsche Bank Liquid Commodity Index-Optimum Yield Gold (-200%). Both are passively managed. Over the past 10 years, SCO returned -38.21%/yr vs -10.94%/yr for DZZ. At a 0.13 correlation, their price movements are largely independent. SCO charges 0.95%/yr vs 0.75%/yr for DZZ.
Performance
SCO vs. DZZ - Performance Comparison
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Returns By Period
In the year-to-date period, SCO achieves a -67.25% return, which is significantly lower than DZZ's -50.78% return. Over the past 10 years, SCO has underperformed DZZ with an annualized return of -38.21%, while DZZ has yielded a comparatively higher -10.94% annualized return.
SCO
- 1D
- 4.05%
- 1M
- 1.14%
- YTD
- -67.25%
- 6M
- -65.49%
- 1Y
- -67.35%
- 3Y*
- -37.24%
- 5Y*
- -42.35%
- 10Y*
- -38.21%
DZZ
- 1D
- -4.79%
- 1M
- -19.92%
- YTD
- -50.78%
- 6M
- -42.90%
- 1Y
- 3.85%
- 3Y*
- -8.41%
- 5Y*
- -5.74%
- 10Y*
- -10.94%
SCO vs. DZZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SCO ProShares UltraShort Bloomberg Crude Oil | -67.25% | 15.90% | -19.00% | -12.41% | -62.59% | -72.62% | -4.20% | -58.50% | 19.22% | -22.40% |
DZZ DB Gold Double Short Exchange Traded Notes | -50.78% | 132.78% | -35.06% | -8.14% | 2.79% | 0.56% | -37.13% | -26.64% | 8.21% | -21.81% |
Correlation
The correlation between SCO and DZZ is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.09 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Nov 26, 2008 | 0.13 |
The correlation between SCO and DZZ shifts across timeframes, from -0.11 (1 year) to 0.13 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SCO vs. DZZ — Risk / Return Rank
SCO
DZZ
SCO vs. DZZ - 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 Short Exchange Traded Notes (DZZ). 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 | DZZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.21 | ||
| Sortino ratioReturn per unit of downside risk | -3.87 | ||
| Omega ratioGain probability vs. loss probability | 0.76 | 1.21 | -0.45 |
| Calmar ratioReturn relative to maximum drawdown | -0.93 | 0.05 | -0.98 |
| Martin ratioReturn relative to average drawdown | -1.94 | 0.07 | -2.01 |
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 | DZZ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.19 | 0.02 | -1.21 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.71 | -0.07 | -0.64 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.53 | -0.17 | -0.36 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.38 | -0.24 | -0.14 |
Drawdowns
SCO vs. DZZ - Drawdown Comparison
The maximum SCO drawdown since its inception was -99.80%, roughly equal to the maximum DZZ drawdown of -96.64%. Use the drawdown chart below to compare losses from any high point for SCO and DZZ.
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Drawdown Indicators
| SCO | DZZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.80% | -96.64% | -3.16% |
Max Drawdown (1Y)Largest decline over 1 year | -72.24% | -80.84% | +8.60% |
Max Drawdown (3Y)Largest decline over 3 years | -79.85% | -80.84% | +0.99% |
Max Drawdown (5Y)Largest decline over 5 years | -94.80% | -80.84% | -13.96% |
Max Drawdown (10Y)Largest decline over 10 years | -99.51% | -80.84% | -18.67% |
Current DrawdownCurrent decline from peak | -99.78% | -95.40% | -4.38% |
Average DrawdownAverage peak-to-trough decline | -85.18% | -82.30% | -2.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.87% | 53.43% | -18.56% |
Volatility
SCO vs. DZZ - Volatility Comparison
The current volatility for ProShares UltraShort Bloomberg Crude Oil (SCO) is 20.24%, while DB Gold Double Short Exchange Traded Notes (DZZ) has a volatility of 30.48%. This indicates that SCO experiences smaller price fluctuations and is considered to be less risky than DZZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SCO | DZZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 20.24% | 30.48% | -10.24% |
Volatility (6M)Calculated over the trailing 6-month period | 45.73% | 59.82% | -14.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.81% | 169.50% | -112.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.76% | 83.65% | -23.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 71.95% | 64.06% | +7.89% |
SCO vs. DZZ - Expense Ratio Comparison
SCO has a 0.95% expense ratio, which is higher than DZZ's 0.75% expense ratio.
Dividends
SCO vs. DZZ - Dividend Comparison
Neither SCO nor DZZ has paid dividends to shareholders.
Frequently Asked Questions
SCO and DZZ have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DZZ has higher volatility (30.48%) compared to SCO (20.24%). In terms of maximum drawdown, SCO dropped -99.80% vs DZZ's -96.64%.
On 10-year performance, DZZ leads with -10.94% vs -38.21% for SCO. On fees, DZZ is cheaper at 0.75% per year. On volatility, SCO has been the lower-risk option at 20.24%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, DZZ has performed better with a -10.94% return vs -38.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DZZ is cheaper with a 0.75% expense ratio, compared with 0.95% for SCO.
SCO and DZZ have nearly identical dividend yields, around 0.00%.
SCO tracks Bloomberg Commodity Balanced WTI Crude Oil Index (-200%), while DZZ 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 DZZ.
DZZ currently has the higher Sharpe Ratio (0.02 vs -1.19), 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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