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

Performance

USML vs. BDCX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) and ETRACS Quarterly Pay 1.5X Leveraged MVIS BDC Index ETN (BDCX). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
24.50%
1.05%
USML
BDCX

Returns By Period

In the year-to-date period, USML achieves a 38.15% return, which is significantly higher than BDCX's 12.53% return.


USML

YTD

38.15%

1M

3.27%

6M

24.50%

1Y

46.60%

5Y (annualized)

N/A

10Y (annualized)

N/A

BDCX

YTD

12.53%

1M

1.38%

6M

1.05%

1Y

18.59%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


USMLBDCX
Sharpe Ratio2.851.12
Sortino Ratio3.731.56
Omega Ratio1.491.20
Calmar Ratio2.351.36
Martin Ratio17.034.36
Ulcer Index2.74%4.26%
Daily Std Dev16.32%16.68%
Max Drawdown-35.34%-34.96%
Current Drawdown0.00%-2.54%

Compare stocks, funds, or ETFs

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


USML vs. BDCX - Expense Ratio Comparison

Both USML and BDCX have an expense ratio of 0.95%.


USML
ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN
Expense ratio chart for USML: 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 BDCX: 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%

Correlation

-0.50.00.51.00.5

The correlation between USML and BDCX is 0.52, 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

USML vs. BDCX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) and ETRACS Quarterly Pay 1.5X Leveraged MVIS BDC Index ETN (BDCX). 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 USML, currently valued at 2.85, compared to the broader market0.002.004.002.851.12
The chart of Sortino ratio for USML, currently valued at 3.73, compared to the broader market-2.000.002.004.006.008.0010.0012.003.731.56
The chart of Omega ratio for USML, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.20
The chart of Calmar ratio for USML, currently valued at 2.35, compared to the broader market0.005.0010.0015.0020.002.351.36
The chart of Martin ratio for USML, currently valued at 17.03, compared to the broader market0.0020.0040.0060.0080.00100.0017.034.36
USML
BDCX

The current USML Sharpe Ratio is 2.85, which is higher than the BDCX Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of USML and BDCX, 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
2.85
1.12
USML
BDCX

Dividends

USML vs. BDCX - Dividend Comparison

USML has not paid dividends to shareholders, while BDCX's dividend yield for the trailing twelve months is around 15.66%.


TTM2023202220212020
USML
ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN
0.00%0.00%0.00%0.00%0.00%
BDCX
ETRACS Quarterly Pay 1.5X Leveraged MVIS BDC Index ETN
15.66%14.71%17.46%11.52%6.32%

Drawdowns

USML vs. BDCX - Drawdown Comparison

The maximum USML drawdown since its inception was -35.34%, roughly equal to the maximum BDCX drawdown of -34.96%. Use the drawdown chart below to compare losses from any high point for USML and BDCX. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-2.54%
USML
BDCX

Volatility

USML vs. BDCX - Volatility Comparison

ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) and ETRACS Quarterly Pay 1.5X Leveraged MVIS BDC Index ETN (BDCX) have volatilities of 6.57% and 6.31%, 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
6.57%
6.31%
USML
BDCX