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

Correlation

The correlation between USML and SCHG is 0.69, 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.


-0.50.00.51.00.7

Performance

USML vs. SCHG - 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 Schwab U.S. Large-Cap Growth ETF (SCHG). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
53.84%
70.96%
USML
SCHG

Key characteristics

Sharpe Ratio

USML:

1.84

SCHG:

2.22

Sortino Ratio

USML:

2.48

SCHG:

2.86

Omega Ratio

USML:

1.32

SCHG:

1.40

Calmar Ratio

USML:

1.86

SCHG:

3.13

Martin Ratio

USML:

9.61

SCHG:

12.34

Ulcer Index

USML:

3.14%

SCHG:

3.14%

Daily Std Dev

USML:

16.42%

SCHG:

17.45%

Max Drawdown

USML:

-35.34%

SCHG:

-34.59%

Current Drawdown

USML:

-10.40%

SCHG:

-2.75%

Returns By Period

In the year-to-date period, USML achieves a 26.01% return, which is significantly lower than SCHG's 37.04% return.


USML

YTD

26.01%

1M

-7.60%

6M

10.31%

1Y

27.49%

5Y*

N/A

10Y*

N/A

SCHG

YTD

37.04%

1M

3.40%

6M

12.88%

1Y

37.14%

5Y*

20.24%

10Y*

16.77%

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. SCHG - Expense Ratio Comparison

USML has a 0.95% expense ratio, which is higher than SCHG's 0.04% expense ratio.


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 SCHG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

USML vs. SCHG - 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 Schwab U.S. Large-Cap Growth ETF (SCHG). 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 1.84, compared to the broader market0.002.004.001.842.22
The chart of Sortino ratio for USML, currently valued at 2.48, compared to the broader market-2.000.002.004.006.008.0010.002.482.86
The chart of Omega ratio for USML, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.40
The chart of Calmar ratio for USML, currently valued at 1.86, compared to the broader market0.005.0010.0015.001.863.13
The chart of Martin ratio for USML, currently valued at 9.61, compared to the broader market0.0020.0040.0060.0080.00100.009.6112.34
USML
SCHG

The current USML Sharpe Ratio is 1.84, which is comparable to the SCHG Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of USML and SCHG, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.84
2.22
USML
SCHG

Dividends

USML vs. SCHG - Dividend Comparison

USML has not paid dividends to shareholders, while SCHG's dividend yield for the trailing twelve months is around 0.41%.


TTM20232022202120202019201820172016201520142013
USML
ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR 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%
SCHG
Schwab U.S. Large-Cap Growth ETF
0.41%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%1.07%

Drawdowns

USML vs. SCHG - Drawdown Comparison

The maximum USML drawdown since its inception was -35.34%, roughly equal to the maximum SCHG drawdown of -34.59%. Use the drawdown chart below to compare losses from any high point for USML and SCHG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.40%
-2.75%
USML
SCHG

Volatility

USML vs. SCHG - Volatility Comparison

ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) has a higher volatility of 5.87% compared to Schwab U.S. Large-Cap Growth ETF (SCHG) at 5.07%. This indicates that USML's price experiences larger fluctuations and is considered to be riskier than SCHG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.87%
5.07%
USML
SCHG
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