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BDCX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between BDCX and ^GSPC is 0.59, 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

BDCX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ETRACS Quarterly Pay 1.5X Leveraged MVIS BDC Index ETN (BDCX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
2.62%
10.26%
BDCX
^GSPC

Key characteristics

Sharpe Ratio

BDCX:

0.87

^GSPC:

2.16

Sortino Ratio

BDCX:

1.27

^GSPC:

2.87

Omega Ratio

BDCX:

1.16

^GSPC:

1.40

Calmar Ratio

BDCX:

1.09

^GSPC:

3.19

Martin Ratio

BDCX:

3.47

^GSPC:

13.87

Ulcer Index

BDCX:

4.30%

^GSPC:

1.95%

Daily Std Dev

BDCX:

17.07%

^GSPC:

12.54%

Max Drawdown

BDCX:

-34.96%

^GSPC:

-56.78%

Current Drawdown

BDCX:

-0.94%

^GSPC:

-0.82%

Returns By Period

In the year-to-date period, BDCX achieves a 14.48% return, which is significantly lower than ^GSPC's 26.63% return.


BDCX

YTD

14.48%

1M

1.73%

6M

2.67%

1Y

14.90%

5Y*

N/A

10Y*

N/A

^GSPC

YTD

26.63%

1M

1.18%

6M

10.44%

1Y

27.03%

5Y*

13.30%

10Y*

11.23%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

BDCX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ETRACS Quarterly Pay 1.5X Leveraged MVIS BDC Index ETN (BDCX) and S&P 500 (^GSPC). 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 BDCX, currently valued at 0.87, compared to the broader market0.002.004.000.872.16
The chart of Sortino ratio for BDCX, currently valued at 1.27, compared to the broader market-2.000.002.004.006.008.0010.001.272.87
The chart of Omega ratio for BDCX, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.40
The chart of Calmar ratio for BDCX, currently valued at 1.09, compared to the broader market0.005.0010.0015.001.093.19
The chart of Martin ratio for BDCX, currently valued at 3.47, compared to the broader market0.0020.0040.0060.0080.00100.003.4713.87
BDCX
^GSPC

The current BDCX Sharpe Ratio is 0.87, which is lower than the ^GSPC Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of BDCX and ^GSPC, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.87
2.16
BDCX
^GSPC

Drawdowns

BDCX vs. ^GSPC - Drawdown Comparison

The maximum BDCX drawdown since its inception was -34.96%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for BDCX and ^GSPC. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.94%
-0.82%
BDCX
^GSPC

Volatility

BDCX vs. ^GSPC - Volatility Comparison

ETRACS Quarterly Pay 1.5X Leveraged MVIS BDC Index ETN (BDCX) has a higher volatility of 4.98% compared to S&P 500 (^GSPC) at 3.96%. This indicates that BDCX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.98%
3.96%
BDCX
^GSPC
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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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