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

Correlation

The correlation between USML and SPLV is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

USML vs. SPLV - 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 Invesco S&P 500® Low Volatility ETF (SPLV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.68%
7.23%
USML
SPLV

Key characteristics

Sharpe Ratio

USML:

1.53

SPLV:

1.79

Sortino Ratio

USML:

2.10

SPLV:

2.50

Omega Ratio

USML:

1.27

SPLV:

1.32

Calmar Ratio

USML:

1.48

SPLV:

2.16

Martin Ratio

USML:

8.25

SPLV:

9.65

Ulcer Index

USML:

3.07%

SPLV:

1.68%

Daily Std Dev

USML:

16.53%

SPLV:

9.05%

Max Drawdown

USML:

-35.34%

SPLV:

-36.26%

Current Drawdown

USML:

-11.72%

SPLV:

-6.61%

Returns By Period

In the year-to-date period, USML achieves a 24.15% return, which is significantly higher than SPLV's 13.60% return.


USML

YTD

24.15%

1M

-5.70%

6M

8.77%

1Y

28.22%

5Y*

N/A

10Y*

N/A

SPLV

YTD

13.60%

1M

-3.94%

6M

7.21%

1Y

16.20%

5Y*

5.95%

10Y*

8.52%

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. SPLV - Expense Ratio Comparison

USML has a 0.95% expense ratio, which is higher than SPLV's 0.25% 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 SPLV: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

USML vs. SPLV - 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 Invesco S&P 500® Low Volatility ETF (SPLV). 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 1.73, compared to the broader market0.002.004.001.731.79
The chart of Sortino ratio for USML, currently valued at 2.34, compared to the broader market-2.000.002.004.006.008.0010.002.342.50
The chart of Omega ratio for USML, currently valued at 1.30, compared to the broader market0.501.001.502.002.503.001.301.32
The chart of Calmar ratio for USML, currently valued at 1.75, compared to the broader market0.005.0010.0015.001.752.16
The chart of Martin ratio for USML, currently valued at 8.94, compared to the broader market0.0020.0040.0060.0080.00100.008.949.65
USML
SPLV

The current USML Sharpe Ratio is 1.53, which is comparable to the SPLV Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of USML and SPLV, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.73
1.79
USML
SPLV

Dividends

USML vs. SPLV - Dividend Comparison

USML has not paid dividends to shareholders, while SPLV's dividend yield for the trailing twelve months is around 1.74%.


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%
SPLV
Invesco S&P 500® Low Volatility ETF
1.74%2.45%2.11%1.50%2.13%2.08%2.17%2.03%2.03%2.28%2.20%2.60%

Drawdowns

USML vs. SPLV - Drawdown Comparison

The maximum USML drawdown since its inception was -35.34%, roughly equal to the maximum SPLV drawdown of -36.26%. Use the drawdown chart below to compare losses from any high point for USML and SPLV. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-11.72%
-6.61%
USML
SPLV

Volatility

USML vs. SPLV - Volatility Comparison

ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) has a higher volatility of 5.59% compared to Invesco S&P 500® Low Volatility ETF (SPLV) at 3.00%. This indicates that USML's price experiences larger fluctuations and is considered to be riskier than SPLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.59%
3.00%
USML
SPLV
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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.

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