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

Correlation

The correlation between SCO and USO is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

SCO vs. USO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort Bloomberg Crude Oil (SCO) and United States Oil Fund LP (USO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SCO:

0.40

USO:

-0.34

Sortino Ratio

SCO:

0.87

USO:

-0.26

Omega Ratio

SCO:

1.10

USO:

0.97

Calmar Ratio

SCO:

0.18

USO:

-0.11

Martin Ratio

SCO:

1.19

USO:

-0.86

Ulcer Index

SCO:

15.19%

USO:

11.52%

Daily Std Dev

SCO:

51.23%

USO:

30.77%

Max Drawdown

SCO:

-99.50%

USO:

-98.19%

Current Drawdown

SCO:

-99.34%

USO:

-92.69%

Returns By Period

In the year-to-date period, SCO achieves a 15.84% return, which is significantly higher than USO's -9.12% return. Over the past 10 years, SCO has underperformed USO with an annualized return of -28.57%, while USO has yielded a comparatively higher -8.23% annualized return.


SCO

YTD

15.84%

1M

-0.15%

6M

9.68%

1Y

20.10%

3Y*

-5.40%

5Y*

-47.73%

10Y*

-28.57%

USO

YTD

-9.12%

1M

-1.18%

6M

-5.05%

1Y

-10.52%

3Y*

-5.61%

5Y*

20.88%

10Y*

-8.23%

*Annualized

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United States Oil Fund LP

SCO vs. USO - Expense Ratio Comparison

SCO has a 0.95% expense ratio, which is higher than USO's 0.79% expense ratio.


Risk-Adjusted Performance

SCO vs. USO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SCO
The Risk-Adjusted Performance Rank of SCO is 4141
Overall Rank
The Sharpe Ratio Rank of SCO is 4040
Sharpe Ratio Rank
The Sortino Ratio Rank of SCO is 5353
Sortino Ratio Rank
The Omega Ratio Rank of SCO is 4444
Omega Ratio Rank
The Calmar Ratio Rank of SCO is 2929
Calmar Ratio Rank
The Martin Ratio Rank of SCO is 4040
Martin Ratio Rank

USO
The Risk-Adjusted Performance Rank of USO is 88
Overall Rank
The Sharpe Ratio Rank of USO is 77
Sharpe Ratio Rank
The Sortino Ratio Rank of USO is 88
Sortino Ratio Rank
The Omega Ratio Rank of USO is 88
Omega Ratio Rank
The Calmar Ratio Rank of USO is 1212
Calmar Ratio Rank
The Martin Ratio Rank of USO is 66
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SCO vs. USO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Bloomberg Crude Oil (SCO) and United States Oil Fund LP (USO). 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.


The current SCO Sharpe Ratio is 0.40, which is higher than the USO Sharpe Ratio of -0.34. The chart below compares the historical Sharpe Ratios of SCO and USO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

SCO vs. USO - Dividend Comparison

Neither SCO nor USO has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

SCO vs. USO - Drawdown Comparison

The maximum SCO drawdown since its inception was -99.50%, roughly equal to the maximum USO drawdown of -98.19%. Use the drawdown chart below to compare losses from any high point for SCO and USO. For additional features, visit the drawdowns tool.


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Volatility

SCO vs. USO - Volatility Comparison

ProShares UltraShort Bloomberg Crude Oil (SCO) has a higher volatility of 16.03% compared to United States Oil Fund LP (USO) at 9.37%. This indicates that SCO's price experiences larger fluctuations and is considered to be riskier than USO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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