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USML vs. HDLB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

USML vs. HDLB - 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 Monthly Pay 2xLeveraged US High Dividend Low Volatility ETN Series B (HDLB). The values are adjusted to include any dividend payments, if applicable.

0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
24.50%
39.72%
USML
HDLB

Returns By Period

In the year-to-date period, USML achieves a 38.15% return, which is significantly lower than HDLB's 47.12% return.


USML

YTD

38.15%

1M

3.27%

6M

24.50%

1Y

46.60%

5Y (annualized)

N/A

10Y (annualized)

N/A

HDLB

YTD

47.12%

1M

4.78%

6M

39.73%

1Y

63.29%

5Y (annualized)

1.62%

10Y (annualized)

N/A

Key characteristics


USMLHDLB
Sharpe Ratio2.852.55
Sortino Ratio3.733.15
Omega Ratio1.491.41
Calmar Ratio2.351.60
Martin Ratio17.0316.21
Ulcer Index2.74%3.90%
Daily Std Dev16.32%24.84%
Max Drawdown-35.34%-78.70%
Current Drawdown0.00%-2.03%

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USML vs. HDLB - Expense Ratio Comparison

USML has a 0.95% expense ratio, which is lower than HDLB's 1.65% expense ratio.


HDLB
ETRACS Monthly Pay 2xLeveraged US High Dividend Low Volatility ETN Series B
Expense ratio chart for HDLB: current value at 1.65% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.65%
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%

Correlation

-0.50.00.51.00.7

The correlation between USML and HDLB is 0.68, 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. HDLB - 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 Monthly Pay 2xLeveraged US High Dividend Low Volatility ETN Series B (HDLB). 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 market0.002.004.002.852.55
The chart of Sortino ratio for USML, currently valued at 3.73, compared to the broader market-2.000.002.004.006.008.0010.0012.003.733.15
The chart of Omega ratio for USML, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.41
The chart of Calmar ratio for USML, currently valued at 2.35, compared to the broader market0.005.0010.0015.0020.002.351.97
The chart of Martin ratio for USML, currently valued at 17.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.0316.21
USML
HDLB

The current USML Sharpe Ratio is 2.85, which is comparable to the HDLB Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of USML and HDLB, 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
2.55
USML
HDLB

Dividends

USML vs. HDLB - Dividend Comparison

USML has not paid dividends to shareholders, while HDLB's dividend yield for the trailing twelve months is around 8.64%.


TTM20232022202120202019
USML
ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN
0.00%0.00%0.00%0.00%0.00%0.00%
HDLB
ETRACS Monthly Pay 2xLeveraged US High Dividend Low Volatility ETN Series B
8.64%12.36%12.28%8.07%16.24%0.97%

Drawdowns

USML vs. HDLB - Drawdown Comparison

The maximum USML drawdown since its inception was -35.34%, smaller than the maximum HDLB drawdown of -78.70%. Use the drawdown chart below to compare losses from any high point for USML and HDLB. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
USML
HDLB

Volatility

USML vs. HDLB - Volatility Comparison

ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) has a higher volatility of 6.57% compared to ETRACS Monthly Pay 2xLeveraged US High Dividend Low Volatility ETN Series B (HDLB) at 5.92%. This indicates that USML's price experiences larger fluctuations and is considered to be riskier than HDLB 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%JuneJulyAugustSeptemberOctoberNovember
6.57%
5.92%
USML
HDLB