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COMP vs. FNGU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

COMP vs. FNGU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Compass, Inc. (COMP) and MicroSectors FANG+™ Index 3X Leveraged ETN (FNGU). The values are adjusted to include any dividend payments, if applicable.

-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
67.41%
37.63%
COMP
FNGU

Returns By Period

In the year-to-date period, COMP achieves a 81.65% return, which is significantly lower than FNGU's 118.56% return.


COMP

YTD

81.65%

1M

22.62%

6M

67.40%

1Y

223.70%

5Y (annualized)

N/A

10Y (annualized)

N/A

FNGU

YTD

118.56%

1M

17.79%

6M

37.63%

1Y

148.90%

5Y (annualized)

62.08%

10Y (annualized)

N/A

Key characteristics


COMPFNGU
Sharpe Ratio3.252.08
Sortino Ratio3.702.40
Omega Ratio1.431.32
Calmar Ratio2.502.42
Martin Ratio19.888.59
Ulcer Index11.25%17.33%
Daily Std Dev68.82%71.42%
Max Drawdown-90.82%-92.34%
Current Drawdown-66.10%-9.03%

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Correlation

-0.50.00.51.00.5

The correlation between COMP and FNGU is 0.45, 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.

Risk-Adjusted Performance

COMP vs. FNGU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Compass, Inc. (COMP) and MicroSectors FANG+™ Index 3X Leveraged ETN (FNGU). 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 COMP, currently valued at 3.25, compared to the broader market-4.00-2.000.002.004.003.252.08
The chart of Sortino ratio for COMP, currently valued at 3.70, compared to the broader market-4.00-2.000.002.004.003.702.40
The chart of Omega ratio for COMP, currently valued at 1.43, compared to the broader market0.501.001.502.001.431.32
The chart of Calmar ratio for COMP, currently valued at 2.50, compared to the broader market0.002.004.006.002.502.42
The chart of Martin ratio for COMP, currently valued at 19.88, compared to the broader market0.0010.0020.0030.0019.888.59
COMP
FNGU

The current COMP Sharpe Ratio is 3.25, which is higher than the FNGU Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of COMP and FNGU, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
3.25
2.08
COMP
FNGU

Dividends

COMP vs. FNGU - Dividend Comparison

Neither COMP nor FNGU has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

COMP vs. FNGU - Drawdown Comparison

The maximum COMP drawdown since its inception was -90.82%, roughly equal to the maximum FNGU drawdown of -92.34%. Use the drawdown chart below to compare losses from any high point for COMP and FNGU. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-66.10%
-9.03%
COMP
FNGU

Volatility

COMP vs. FNGU - Volatility Comparison

Compass, Inc. (COMP) and MicroSectors FANG+™ Index 3X Leveraged ETN (FNGU) have volatilities of 19.53% and 19.90%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%30.00%35.00%JuneJulyAugustSeptemberOctoberNovember
19.53%
19.90%
COMP
FNGU