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^XNG vs. KOLD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^XNG and KOLD is -0.27. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.3

Performance

^XNG vs. KOLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NYSE Arca Natural Gas Index (^XNG) and ProShares UltraShort Bloomberg Natural Gas (KOLD). The values are adjusted to include any dividend payments, if applicable.

-80.00%-60.00%-40.00%-20.00%0.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.14%
-71.95%
^XNG
KOLD

Key characteristics

Sharpe Ratio

^XNG:

0.95

KOLD:

-0.07

Sortino Ratio

^XNG:

1.41

KOLD:

0.63

Omega Ratio

^XNG:

1.17

KOLD:

1.07

Calmar Ratio

^XNG:

0.31

KOLD:

-0.07

Martin Ratio

^XNG:

4.56

KOLD:

-0.27

Ulcer Index

^XNG:

3.13%

KOLD:

26.78%

Daily Std Dev

^XNG:

15.00%

KOLD:

102.10%

Max Drawdown

^XNG:

-84.52%

KOLD:

-99.45%

Current Drawdown

^XNG:

-35.33%

KOLD:

-94.09%

Returns By Period

In the year-to-date period, ^XNG achieves a 12.98% return, which is significantly higher than KOLD's 5.88% return. Over the past 10 years, ^XNG has outperformed KOLD with an annualized return of -1.68%, while KOLD has yielded a comparatively lower -14.21% annualized return.


^XNG

YTD

12.98%

1M

-6.99%

6M

7.44%

1Y

12.85%

5Y*

13.28%

10Y*

-1.68%

KOLD

YTD

5.88%

1M

-12.81%

6M

19.28%

1Y

3.40%

5Y*

-32.38%

10Y*

-14.21%

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Risk-Adjusted Performance

^XNG vs. KOLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NYSE Arca Natural Gas Index (^XNG) and ProShares UltraShort Bloomberg Natural Gas (KOLD). 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 ^XNG, currently valued at 0.95, compared to the broader market0.001.002.000.95-0.07
The chart of Sortino ratio for ^XNG, currently valued at 1.41, compared to the broader market-1.000.001.002.003.001.410.63
The chart of Omega ratio for ^XNG, currently valued at 1.17, compared to the broader market0.901.001.101.201.301.401.171.07
The chart of Calmar ratio for ^XNG, currently valued at 0.31, compared to the broader market0.001.002.003.000.31-0.07
The chart of Martin ratio for ^XNG, currently valued at 4.56, compared to the broader market0.005.0010.0015.0020.004.56-0.27
^XNG
KOLD

The current ^XNG Sharpe Ratio is 0.95, which is higher than the KOLD Sharpe Ratio of -0.07. The chart below compares the historical Sharpe Ratios of ^XNG and KOLD, 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 Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
0.95
-0.07
^XNG
KOLD

Drawdowns

^XNG vs. KOLD - Drawdown Comparison

The maximum ^XNG drawdown since its inception was -84.52%, smaller than the maximum KOLD drawdown of -99.45%. Use the drawdown chart below to compare losses from any high point for ^XNG and KOLD. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-35.33%
-94.09%
^XNG
KOLD

Volatility

^XNG vs. KOLD - Volatility Comparison

The current volatility for NYSE Arca Natural Gas Index (^XNG) is 5.14%, while ProShares UltraShort Bloomberg Natural Gas (KOLD) has a volatility of 31.57%. This indicates that ^XNG experiences smaller price fluctuations and is considered to be less risky than KOLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
5.14%
31.57%
^XNG
KOLD
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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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