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FNGS vs. MAGSX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


FNGSMAGSX
YTD Return37.92%10.40%
1Y Return65.71%22.02%
3Y Return (Ann)15.68%2.22%
Sharpe Ratio2.782.71
Sortino Ratio3.373.90
Omega Ratio1.461.50
Calmar Ratio3.811.60
Martin Ratio12.4818.19
Ulcer Index5.44%1.25%
Daily Std Dev24.46%8.40%
Max Drawdown-48.98%-56.42%
Current Drawdown-2.05%-1.80%

Correlation

-0.50.00.51.00.7

The correlation between FNGS and MAGSX is 0.72, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

FNGS vs. MAGSX - Performance Comparison

In the year-to-date period, FNGS achieves a 37.92% return, which is significantly higher than MAGSX's 10.40% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%25.00%MayJuneJulyAugustSeptemberOctober
23.63%
7.62%
FNGS
MAGSX

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FNGS vs. MAGSX - Expense Ratio Comparison

FNGS has a 0.58% expense ratio, which is lower than MAGSX's 0.71% expense ratio.


MAGSX
Madison Aggressive Allocation Fund
Expense ratio chart for MAGSX: current value at 0.71% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.71%
Expense ratio chart for FNGS: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%

Risk-Adjusted Performance

FNGS vs. MAGSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MicroSectors FANG+ ETN (FNGS) and Madison Aggressive Allocation Fund (MAGSX). 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.


FNGS
Sharpe ratio
The chart of Sharpe ratio for FNGS, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for FNGS, currently valued at 3.37, compared to the broader market0.005.0010.003.37
Omega ratio
The chart of Omega ratio for FNGS, currently valued at 1.46, compared to the broader market1.001.502.002.503.001.46
Calmar ratio
The chart of Calmar ratio for FNGS, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for FNGS, currently valued at 12.48, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.48
MAGSX
Sharpe ratio
The chart of Sharpe ratio for MAGSX, currently valued at 2.71, compared to the broader market-2.000.002.004.006.002.71
Sortino ratio
The chart of Sortino ratio for MAGSX, currently valued at 3.90, compared to the broader market0.005.0010.003.90
Omega ratio
The chart of Omega ratio for MAGSX, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for MAGSX, currently valued at 1.60, compared to the broader market0.005.0010.0015.001.60
Martin ratio
The chart of Martin ratio for MAGSX, currently valued at 18.19, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.19

FNGS vs. MAGSX - Sharpe Ratio Comparison

The current FNGS Sharpe Ratio is 2.78, which is comparable to the MAGSX Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of FNGS and MAGSX, 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 Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.78
2.71
FNGS
MAGSX

Dividends

FNGS vs. MAGSX - Dividend Comparison

FNGS has not paid dividends to shareholders, while MAGSX's dividend yield for the trailing twelve months is around 1.71%.


TTM20232022202120202019201820172016201520142013
FNGS
MicroSectors FANG+ 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%
MAGSX
Madison Aggressive Allocation Fund
1.71%1.89%1.26%9.97%8.66%5.42%10.79%5.89%3.82%9.57%9.71%0.34%

Drawdowns

FNGS vs. MAGSX - Drawdown Comparison

The maximum FNGS drawdown since its inception was -48.98%, smaller than the maximum MAGSX drawdown of -56.42%. Use the drawdown chart below to compare losses from any high point for FNGS and MAGSX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.05%
-1.80%
FNGS
MAGSX

Volatility

FNGS vs. MAGSX - Volatility Comparison

MicroSectors FANG+ ETN (FNGS) has a higher volatility of 5.88% compared to Madison Aggressive Allocation Fund (MAGSX) at 1.85%. This indicates that FNGS's price experiences larger fluctuations and is considered to be riskier than MAGSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%MayJuneJulyAugustSeptemberOctober
5.88%
1.85%
FNGS
MAGSX