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

Key characteristics


GLLFNGD
YTD Return-37.32%-71.96%
1Y Return-43.33%-79.51%
3Y Return (Ann)-19.82%-63.80%
5Y Return (Ann)-22.06%-77.85%
Sharpe Ratio-1.46-1.12
Sortino Ratio-2.38-2.52
Omega Ratio0.750.73
Calmar Ratio-0.43-0.80
Martin Ratio-1.53-1.38
Ulcer Index27.64%58.01%
Daily Std Dev28.91%71.40%
Max Drawdown-97.04%-99.98%
Current Drawdown-96.86%-99.98%

Correlation

-0.50.00.51.00.1

The correlation between GLL and FNGD is 0.06, 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.

Performance

GLL vs. FNGD - Performance Comparison

In the year-to-date period, GLL achieves a -37.32% return, which is significantly higher than FNGD's -71.96% 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%JuneJulyAugustSeptemberOctoberNovember
-20.62%
-50.00%
GLL
FNGD

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.


GLL
Sharpe ratio
The chart of Sharpe ratio for GLL, currently valued at -1.46, compared to the broader market-2.000.002.004.006.00-1.46
Sortino ratio
The chart of Sortino ratio for GLL, currently valued at -2.38, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.38
Omega ratio
The chart of Omega ratio for GLL, currently valued at 0.75, compared to the broader market1.001.502.002.503.000.75
Calmar ratio
The chart of Calmar ratio for GLL, currently valued at -0.52, compared to the broader market0.005.0010.0015.00-0.52
Martin ratio
The chart of Martin ratio for GLL, currently valued at -1.53, compared to the broader market0.0020.0040.0060.0080.00100.00-1.53
FNGD
Sharpe ratio
The chart of Sharpe ratio for FNGD, currently valued at -1.12, compared to the broader market-2.000.002.004.006.00-1.12
Sortino ratio
The chart of Sortino ratio for FNGD, currently valued at -2.52, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.52
Omega ratio
The chart of Omega ratio for FNGD, currently valued at 0.73, compared to the broader market1.001.502.002.503.000.73
Calmar ratio
The chart of Calmar ratio for FNGD, currently valued at -0.80, compared to the broader market0.005.0010.0015.00-0.80
Martin ratio
The chart of Martin ratio for FNGD, currently valued at -1.38, compared to the broader market0.0020.0040.0060.0080.00100.00-1.38

GLL vs. FNGD - Sharpe Ratio Comparison

The current GLL Sharpe Ratio is -1.46, which is lower than the FNGD Sharpe Ratio of -1.12. 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-1.60-1.40-1.20-1.00-0.80JuneJulyAugustSeptemberOctoberNovember
-1.46
-1.12
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 -99.98%. 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%JuneJulyAugustSeptemberOctoberNovember
-80.82%
-99.98%
GLL
FNGD

Volatility

GLL vs. FNGD - Volatility Comparison

The current volatility for ProShares UltraShort Gold (GLL) is 9.25%, while MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD) has a volatility of 18.29%. 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%JuneJulyAugustSeptemberOctoberNovember
9.25%
18.29%
GLL
FNGD