PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

BMO FANG + ETN

Last updated Sep 23, 2023

Asset Allocation


FNGS 100%EquityEquity
PositionCategory/SectorWeight
FNGS
MicroSectors FANG+ ETN
Large Cap Growth Equities100%

Performance

The chart shows the growth of an initial investment of $10,000 in BMO FANG + ETN, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


0.00%10.00%20.00%30.00%40.00%AprilMayJuneJulyAugustSeptember
25.95%
8.79%
BMO FANG + ETN
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.94%8.61%12.52%16.97%9.06%N/A
BMO FANG + ETN-2.24%24.66%64.67%52.59%27.85%N/A
FNGS
MicroSectors FANG+ ETN
-2.24%24.66%64.67%52.59%27.85%N/A

Sharpe Ratio

The current BMO FANG + ETN Sharpe ratio is 1.45. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.45

The Sharpe ratio of BMO FANG + ETN is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00AprilMayJuneJulyAugustSeptember
1.45
0.81
BMO FANG + ETN
Benchmark (^GSPC)
Portfolio components

Dividend yield


BMO FANG + ETN doesn't pay dividends

Expense Ratio

The BMO FANG + ETN has a high expense ratio of 0.58%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.58%
0.00%2.15%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
FNGS
MicroSectors FANG+ ETN
1.45

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-10.92%
-9.93%
BMO FANG + ETN
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the BMO FANG + ETN. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the BMO FANG + ETN is 48.98%, recorded on Nov 9, 2022. It took 169 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.98%Nov 5, 2021255Nov 9, 2022169Jul 17, 2023424
-34.98%Feb 20, 202020Mar 18, 202053Jun 3, 202073
-16.4%Feb 17, 202114Mar 8, 2021123Aug 31, 2021137
-13.59%Sep 3, 20203Sep 8, 202059Dec 1, 202062
-11.22%Jul 19, 202323Aug 18, 2023

Volatility Chart

The current BMO FANG + ETN volatility is 6.20%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
6.20%
3.41%
BMO FANG + ETN
Benchmark (^GSPC)
Portfolio components