SCO vs. JEPQ
SCO (ProShares UltraShort Bloomberg Crude Oil) and JEPQ (JPMorgan Nasdaq Equity Premium Income ETF) are both exchange-traded funds - SCO is a Leveraged Commodities fund tracking the Bloomberg Commodity Balanced WTI Crude Oil Index (-200%), while JEPQ is a Nasdaq-100 fund tracking the Nasdaq-100 Index. Both are passively managed. Over the past 3 years, SCO returned -37.96%/yr vs 20.92%/yr for JEPQ. At a correlation of -0.04, they often move in opposite directions. SCO charges 0.95%/yr vs 0.35%/yr for JEPQ.
Performance
SCO vs. JEPQ - 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 JEPQ's 9.54% 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%
JEPQ
- 1D
- -0.10%
- 1M
- 4.31%
- YTD
- 9.54%
- 6M
- 9.75%
- 1Y
- 29.00%
- 3Y*
- 20.92%
- 5Y*
- —
- 10Y*
- —
SCO vs. JEPQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SCO ProShares UltraShort Bloomberg Crude Oil | -68.52% | 15.90% | -19.00% | -12.41% | -1.45% |
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 9.54% | 15.18% | 24.85% | 36.28% | -12.89% |
Correlation
The correlation between SCO and JEPQ is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.24 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.05 |
Correlation (All Time) Calculated using the full available price history since May 5, 2022 | -0.04 |
The correlation between SCO and JEPQ shifts across timeframes, from -0.04 (all time) to 0.24 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
SCO vs. JEPQ — Risk / Return Rank
SCO
JEPQ
SCO vs. JEPQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Crude Oil (SCO) and JPMorgan Nasdaq Equity Premium Income ETF (JEPQ). 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 | JEPQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.69 | ||
| Sortino ratioReturn per unit of downside risk | -5.63 | ||
| Omega ratioGain probability vs. loss probability | 0.75 | 1.49 | -0.74 |
| Calmar ratioReturn relative to maximum drawdown | -0.94 | 3.31 | -4.25 |
| Martin ratioReturn relative to average drawdown | -1.97 | 16.22 | -18.19 |
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 | JEPQ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -1.20 | 2.49 | -3.69 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.72 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | -0.54 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.38 | 1.00 | -1.38 |
Drawdowns
SCO vs. JEPQ - Drawdown Comparison
The maximum SCO drawdown since its inception was -99.80%, which is greater than JEPQ's maximum drawdown of -20.07%. Use the drawdown chart below to compare losses from any high point for SCO and JEPQ.
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Drawdown Indicators
| SCO | JEPQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -99.80% | -20.07% | -79.73% |
Max Drawdown (1Y)Largest decline over 1 year | -72.24% | -8.82% | -63.42% |
Max Drawdown (3Y)Largest decline over 3 years | -79.85% | -20.07% | -59.78% |
Max Drawdown (5Y)Largest decline over 5 years | -94.80% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -99.51% | — | — |
Current DrawdownCurrent decline from peak | -99.79% | -0.10% | -99.69% |
Average DrawdownAverage peak-to-trough decline | -85.17% | -3.42% | -81.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 34.60% | 1.79% | +32.81% |
Volatility
SCO vs. JEPQ - Volatility Comparison
ProShares UltraShort Bloomberg Crude Oil (SCO) has a higher volatility of 20.05% compared to JPMorgan Nasdaq Equity Premium Income ETF (JEPQ) at 1.26%. This indicates that SCO's price experiences larger fluctuations and is considered to be riskier than JEPQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SCO | JEPQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 20.05% | 1.26% | +18.79% |
Volatility (6M)Calculated over the trailing 6-month period | 45.60% | 9.07% | +36.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 56.64% | 11.73% | +44.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 59.74% | 16.61% | +43.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 71.95% | 16.61% | +55.34% |
SCO vs. JEPQ - Expense Ratio Comparison
SCO has a 0.95% expense ratio, which is higher than JEPQ's 0.35% expense ratio.
Dividends
SCO vs. JEPQ - Dividend Comparison
SCO has not paid dividends to shareholders, while JEPQ's dividend yield for the trailing twelve months is around 10.07%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
JEPQ JPMorgan Nasdaq Equity Premium Income ETF | 10.07% | 10.53% | 9.65% | 10.03% | 9.44% |
SCO ProShares UltraShort Bloomberg Crude Oil | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
SCO and JEPQ have a correlation of 0.24, 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 JEPQ (1.26%). In terms of maximum drawdown, SCO dropped -99.80% vs JEPQ's -20.07%.
On 3-year performance, JEPQ leads with 20.92% vs -37.96% for SCO. On fees, JEPQ is cheaper at 0.35% per year. On volatility, JEPQ has been the lower-risk option at 1.26%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, JEPQ has performed better with a 20.92% return vs -37.96%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
JEPQ is cheaper with a 0.35% expense ratio, compared with 0.95% for SCO.
JEPQ has the higher dividend yield at 10.07%, compared with 0.00% for SCO.
SCO is categorized as Leveraged Commodities, while JEPQ is Nasdaq-100. SCO tracks Bloomberg Commodity Balanced WTI Crude Oil Index (-200%), while JEPQ tracks Nasdaq-100 Index. They also come from different issuers: ProShares and JPMorgan. Their fees differ too: 0.95% for SCO and 0.35% for JEPQ.
JEPQ currently has the higher Sharpe Ratio (2.49 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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