SCO vs. GSG
SCO (ProShares UltraShort Bloomberg Crude Oil) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - SCO is a Oil & Gas fund tracking the Bloomberg Commodity Balanced WTI Crude Oil Index (-200%), while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. Both are passively managed. Over the past 10 years, SCO returned -38.31%/yr vs 7.61%/yr for GSG. At a correlation of -0.92, they often move in opposite directions. SCO charges 0.95%/yr vs 0.75%/yr for GSG.
Performance
SCO vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, SCO achieves a -63.25% return, which is significantly lower than GSG's 33.95% return. Over the past 10 years, SCO has underperformed GSG with an annualized return of -38.31%, while GSG has yielded a comparatively higher 7.61% annualized return.
SCO
- 1D
- 1.91%
- 1M
- -7.45%
- 6M
- -61.02%
- YTD
- -63.25%
- 1Y
- -57.90%
- 3Y*
- -32.51%
- 5Y*
- -39.94%
- 10Y*
- -38.31%
GSG
- 1D
- -0.93%
- 1M
- 4.15%
- 6M
- 29.74%
- YTD
- 33.95%
- 1Y
- 37.41%
- 3Y*
- 15.32%
- 5Y*
- 14.20%
- 10Y*
- 7.61%
SCO vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SCO ProShares UltraShort Bloomberg Crude Oil | -63.25% | 15.90% | -19.00% | -12.41% | -62.59% | -72.62% | -4.20% | -58.50% | 19.22% | -22.40% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 33.95% | 5.93% | 8.52% | -5.51% | 24.08% | 38.77% | -23.94% | 15.62% | -13.88% | 3.89% |
Correlation
The correlation between SCO and GSG is -0.91, 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 | -0.91 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.93 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.93 |
Correlation (All Time) Calculated using the full available price history since Nov 25, 2008 | -0.92 |
The correlation between SCO and GSG has been stable across timeframes, ranging from -0.93 to -0.91 - a consistent structural relationship.
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Return for Risk
SCO vs. GSG — Risk / Return Rank
SCO
GSG
SCO vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Crude Oil (SCO) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| SCO | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.60 | ||
| Sortino ratioReturn per unit of downside risk | -3.83 | ||
| Omega ratioGain probability vs. loss probability | 0.82 | 1.29 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | -0.80 | 2.00 | -2.80 |
| Martin ratioReturn relative to average drawdown | -1.45 | 6.66 | -8.11 |
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Drawdowns
SCO vs. GSG - Drawdown Comparison
The maximum SCO drawdown since its inception was -99.80%, which is greater than GSG's maximum drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for SCO and GSG.
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Drawdown Indicators
| SCO | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.80% | -89.62% | -10.18% |
Max Drawdown (1Y)Largest decline over 1 year | -72.24% | -18.81% | -53.43% |
Max Drawdown (3Y)Largest decline over 3 years | -74.64% | -18.81% | -55.83% |
Max Drawdown (5Y)Largest decline over 5 years | -94.80% | -29.12% | -65.68% |
Max Drawdown (10Y)Largest decline over 10 years | -99.51% | -57.64% | -41.87% |
Current DrawdownCurrent decline from peak | -99.76% | -59.56% | -40.20% |
Average DrawdownAverage peak-to-trough decline | -85.25% | -63.68% | -21.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 39.97% | 5.63% | +34.34% |
Volatility
SCO vs. GSG - Volatility Comparison
ProShares UltraShort Bloomberg Crude Oil (SCO) has a higher volatility of 20.88% compared to iShares S&P GSCI Commodity-Indexed Trust (GSG) at 7.17%. This indicates that SCO's price experiences larger fluctuations and is considered to be riskier than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SCO | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 20.88% | 7.17% | +13.71% |
Volatility (6M)Calculated over the trailing 6-month period | 49.34% | 21.54% | +27.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 57.86% | 23.48% | +34.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 60.40% | 22.80% | +37.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 71.79% | 22.00% | +49.79% |
SCO vs. GSG - Expense Ratio Comparison
SCO has a 0.95% expense ratio, which is higher than GSG's 0.75% expense ratio.
Dividends
SCO vs. GSG - Dividend Comparison
Neither SCO nor GSG has paid dividends to shareholders.
Frequently Asked Questions
SCO and GSG have a correlation of -0.91, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SCO has higher volatility (20.88%) compared to GSG (7.17%). In terms of maximum drawdown, SCO dropped -99.80% vs GSG's -89.62%.
On 10-year performance, GSG leads with 7.61% vs -38.31% for SCO. On fees, GSG is cheaper at 0.75% per year. On volatility, GSG has been the lower-risk option at 7.17%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GSG has performed better with a 7.61% return vs -38.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GSG is cheaper with a 0.75% expense ratio, compared with 0.95% for SCO.
SCO and GSG have nearly identical dividend yields, around 0.00%.
SCO is categorized as Oil & Gas, while GSG is Commodities. SCO tracks Bloomberg Commodity Balanced WTI Crude Oil Index (-200%), while GSG tracks S&P GSCI Total Return Index. They also come from different issuers: ProShares and iShares. Their fees differ too: 0.95% for SCO and 0.75% for GSG.
GSG currently has the higher Sharpe Ratio (1.60 vs -1.00), 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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