PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GLL vs. FNGD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GLL and FNGD is 0.07, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

GLL vs. FNGD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraShort Gold (GLL) and MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD). The values are adjusted to include any dividend payments, if applicable.

-100.00%-95.00%-90.00%-85.00%-80.00%-75.00%-70.00%-65.00%JulyAugustSeptemberOctoberNovemberDecember
-73.22%
-99.99%
GLL
FNGD

Key characteristics

Sharpe Ratio

GLL:

-1.18

FNGD:

-1.06

Sortino Ratio

GLL:

-1.85

FNGD:

-2.30

Omega Ratio

GLL:

0.81

FNGD:

0.75

Calmar Ratio

GLL:

-0.37

FNGD:

-0.78

Martin Ratio

GLL:

-1.22

FNGD:

-1.38

Ulcer Index

GLL:

29.13%

FNGD:

56.39%

Daily Std Dev

GLL:

29.99%

FNGD:

73.49%

Max Drawdown

GLL:

-97.04%

FNGD:

-99.99%

Current Drawdown

GLL:

-96.67%

FNGD:

-99.99%

Returns By Period

In the year-to-date period, GLL achieves a -33.56% return, which is significantly higher than FNGD's -77.46% return.


GLL

YTD

-33.56%

1M

1.74%

6M

-19.15%

1Y

-34.58%

5Y*

-20.79%

10Y*

-16.21%

FNGD

YTD

-77.46%

1M

-21.03%

6M

-49.19%

1Y

-77.07%

5Y*

-77.48%

10Y*

N/A

Compare stocks, funds, or ETFs

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


GLL vs. FNGD - Expense Ratio Comparison

Both GLL and FNGD have an expense ratio of 0.95%.


GLL
ProShares UltraShort Gold
Expense ratio chart for GLL: 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 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%

Risk-Adjusted Performance

GLL vs. FNGD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort Gold (GLL) and MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD). 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 GLL, currently valued at -1.18, compared to the broader market0.002.004.00-1.18-1.06
The chart of Sortino ratio for GLL, currently valued at -1.85, compared to the broader market-2.000.002.004.006.008.0010.00-1.85-2.30
The chart of Omega ratio for GLL, currently valued at 0.81, compared to the broader market0.501.001.502.002.503.000.810.75
The chart of Calmar ratio for GLL, currently valued at -0.43, compared to the broader market0.005.0010.0015.00-0.43-0.78
The chart of Martin ratio for GLL, currently valued at -1.22, compared to the broader market0.0020.0040.0060.0080.00100.00-1.22-1.38
GLL
FNGD

The current GLL Sharpe Ratio is -1.18, which is comparable to the FNGD Sharpe Ratio of -1.06. The chart below compares the historical Sharpe Ratios of GLL and FNGD, 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-1.60-1.40-1.20-1.00-0.80JulyAugustSeptemberOctoberNovemberDecember
-1.18
-1.06
GLL
FNGD

Dividends

GLL vs. FNGD - Dividend Comparison

Neither GLL nor FNGD has paid dividends to shareholders.


Tickers have no history of dividend payments

Drawdowns

GLL vs. FNGD - Drawdown Comparison

The maximum GLL drawdown since its inception was -97.04%, roughly equal to the maximum FNGD drawdown of -99.99%. Use the drawdown chart below to compare losses from any high point for GLL and FNGD. For additional features, visit the drawdowns tool.


-100.00%-95.00%-90.00%-85.00%-80.00%-75.00%JulyAugustSeptemberOctoberNovemberDecember
-79.67%
-99.99%
GLL
FNGD

Volatility

GLL vs. FNGD - Volatility Comparison

The current volatility for ProShares UltraShort Gold (GLL) is 10.94%, while MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD) has a volatility of 21.56%. This indicates that GLL experiences smaller price fluctuations and is considered to be less risky than FNGD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
10.94%
21.56%
GLL
FNGD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab