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UCO vs. ERX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between UCO and ERX is 0.64, 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.


-0.50.00.51.00.6

Performance

UCO vs. ERX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Ultra Bloomberg Crude Oil (UCO) and Direxion Daily Energy Bull 2X Shares (ERX). The values are adjusted to include any dividend payments, if applicable.

-100.00%-95.00%-90.00%-85.00%-80.00%JulyAugustSeptemberOctoberNovemberDecember
-99.52%
-83.68%
UCO
ERX

Key characteristics

Sharpe Ratio

UCO:

-0.13

ERX:

-0.14

Sortino Ratio

UCO:

0.12

ERX:

0.05

Omega Ratio

UCO:

1.01

ERX:

1.01

Calmar Ratio

UCO:

-0.06

ERX:

-0.05

Martin Ratio

UCO:

-0.37

ERX:

-0.36

Ulcer Index

UCO:

16.33%

ERX:

13.72%

Daily Std Dev

UCO:

45.14%

ERX:

35.59%

Max Drawdown

UCO:

-99.95%

ERX:

-99.54%

Current Drawdown

UCO:

-99.58%

ERX:

-95.32%

Returns By Period

In the year-to-date period, UCO achieves a -0.46% return, which is significantly higher than ERX's -3.74% return. Over the past 10 years, UCO has underperformed ERX with an annualized return of -28.60%, while ERX has yielded a comparatively higher -20.65% annualized return.


UCO

YTD

-0.46%

1M

-0.50%

6M

-21.32%

1Y

-9.03%

5Y*

-27.01%

10Y*

-28.60%

ERX

YTD

-3.74%

1M

-23.63%

6M

-11.65%

1Y

-7.25%

5Y*

-18.74%

10Y*

-20.65%

Compare stocks, funds, or ETFs

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


UCO vs. ERX - Expense Ratio Comparison

UCO has a 0.95% expense ratio, which is lower than ERX's 1.09% expense ratio.


ERX
Direxion Daily Energy Bull 2X Shares
Expense ratio chart for ERX: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
Expense ratio chart for UCO: 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

UCO vs. ERX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra Bloomberg Crude Oil (UCO) and Direxion Daily Energy Bull 2X Shares (ERX). 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 UCO, currently valued at -0.13, compared to the broader market0.002.004.00-0.13-0.14
The chart of Sortino ratio for UCO, currently valued at 0.12, compared to the broader market-2.000.002.004.006.008.0010.000.120.05
The chart of Omega ratio for UCO, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.001.011.01
The chart of Calmar ratio for UCO, currently valued at -0.06, compared to the broader market0.005.0010.0015.00-0.06-0.05
The chart of Martin ratio for UCO, currently valued at -0.37, compared to the broader market0.0020.0040.0060.0080.00100.00-0.37-0.36
UCO
ERX

The current UCO Sharpe Ratio is -0.13, which is comparable to the ERX Sharpe Ratio of -0.14. The chart below compares the historical Sharpe Ratios of UCO and ERX, 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-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.13
-0.14
UCO
ERX

Dividends

UCO vs. ERX - Dividend Comparison

UCO has not paid dividends to shareholders, while ERX's dividend yield for the trailing twelve months is around 3.18%.


TTM2023202220212020201920182017
UCO
ProShares Ultra Bloomberg Crude Oil
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ERX
Direxion Daily Energy Bull 2X Shares
3.18%3.17%2.23%2.16%2.35%1.56%3.10%0.85%

Drawdowns

UCO vs. ERX - Drawdown Comparison

The maximum UCO drawdown since its inception was -99.95%, roughly equal to the maximum ERX drawdown of -99.54%. Use the drawdown chart below to compare losses from any high point for UCO and ERX. For additional features, visit the drawdowns tool.


-100.00%-99.00%-98.00%-97.00%-96.00%-95.00%-94.00%JulyAugustSeptemberOctoberNovemberDecember
-99.58%
-95.32%
UCO
ERX

Volatility

UCO vs. ERX - Volatility Comparison

ProShares Ultra Bloomberg Crude Oil (UCO) has a higher volatility of 10.36% compared to Direxion Daily Energy Bull 2X Shares (ERX) at 9.81%. This indicates that UCO's price experiences larger fluctuations and is considered to be riskier than ERX 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
10.36%
9.81%
UCO
ERX
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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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