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FNGD vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FNGDSPY
YTD Return-72.23%26.77%
1Y Return-78.61%37.43%
3Y Return (Ann)-64.11%10.15%
5Y Return (Ann)-77.95%15.86%
Sharpe Ratio-1.113.06
Sortino Ratio-2.434.08
Omega Ratio0.741.58
Calmar Ratio-0.784.44
Martin Ratio-1.4020.11
Ulcer Index55.90%1.85%
Daily Std Dev71.01%12.18%
Max Drawdown-99.98%-55.19%
Current Drawdown-99.98%-0.31%

Correlation

-0.50.00.51.0-0.8

The correlation between FNGD and SPY is -0.78. 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.

Performance

FNGD vs. SPY - Performance Comparison

In the year-to-date period, FNGD achieves a -72.23% return, which is significantly lower than SPY's 26.77% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-50.00%
14.78%
FNGD
SPY

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FNGD vs. SPY - Expense Ratio Comparison

FNGD has a 0.95% expense ratio, which is higher than SPY's 0.09% expense ratio.


FNGD
MicroSectors FANG+™ Index -3X Inverse Leveraged ETN
Expense ratio chart for FNGD: 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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

FNGD vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD) and SPDR S&P 500 ETF (SPY). 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.


FNGD
Sharpe ratio
The chart of Sharpe ratio for FNGD, currently valued at -1.11, compared to the broader market-2.000.002.004.00-1.11
Sortino ratio
The chart of Sortino ratio for FNGD, currently valued at -2.43, compared to the broader market0.005.0010.00-2.43
Omega ratio
The chart of Omega ratio for FNGD, currently valued at 0.74, compared to the broader market1.001.502.002.503.000.74
Calmar ratio
The chart of Calmar ratio for FNGD, currently valued at -0.78, compared to the broader market0.005.0010.0015.00-0.78
Martin ratio
The chart of Martin ratio for FNGD, currently valued at -1.40, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.40
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.06, compared to the broader market-2.000.002.004.003.06
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.08, compared to the broader market0.005.0010.004.08
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.44, compared to the broader market0.005.0010.0015.004.44
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.11, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.11

FNGD vs. SPY - Sharpe Ratio Comparison

The current FNGD Sharpe Ratio is -1.11, which is lower than the SPY Sharpe Ratio of 3.06. The chart below compares the historical Sharpe Ratios of FNGD and SPY, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-1.11
3.06
FNGD
SPY

Dividends

FNGD vs. SPY - Dividend Comparison

FNGD has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.


TTM20232022202120202019201820172016201520142013
FNGD
MicroSectors FANG+™ Index -3X Inverse Leveraged ETN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

FNGD vs. SPY - Drawdown Comparison

The maximum FNGD drawdown since its inception was -99.98%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for FNGD and SPY. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.98%
-0.31%
FNGD
SPY

Volatility

FNGD vs. SPY - Volatility Comparison

MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD) has a higher volatility of 18.38% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that FNGD's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%JuneJulyAugustSeptemberOctoberNovember
18.38%
3.88%
FNGD
SPY