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

Performance

USML vs. UPRO - 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 ProShares UltraPro S&P 500 (UPRO). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
16.22%
27.81%
USML
UPRO

Returns By Period

In the year-to-date period, USML achieves a 31.65% return, which is significantly lower than UPRO's 68.74% return.


USML

YTD

31.65%

1M

-3.65%

6M

16.22%

1Y

41.13%

5Y (annualized)

N/A

10Y (annualized)

N/A

UPRO

YTD

68.74%

1M

1.54%

6M

27.81%

1Y

92.49%

5Y (annualized)

24.82%

10Y (annualized)

24.04%

Key characteristics


USMLUPRO
Sharpe Ratio2.592.66
Sortino Ratio3.413.02
Omega Ratio1.451.41
Calmar Ratio2.072.56
Martin Ratio15.3315.94
Ulcer Index2.73%6.07%
Daily Std Dev16.13%36.44%
Max Drawdown-35.34%-76.82%
Current Drawdown-4.50%-4.46%

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USML vs. UPRO - Expense Ratio Comparison

USML has a 0.95% expense ratio, which is higher than UPRO's 0.92% 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 UPRO: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%

Correlation

-0.50.00.51.00.8

The correlation between USML and UPRO is 0.82, 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.

Risk-Adjusted Performance

USML vs. UPRO - 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 ProShares UltraPro S&P 500 (UPRO). 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 2.59, compared to the broader market0.002.004.006.002.592.66
The chart of Sortino ratio for USML, currently valued at 3.41, compared to the broader market-2.000.002.004.006.008.0010.0012.003.413.02
The chart of Omega ratio for USML, currently valued at 1.45, compared to the broader market0.501.001.502.002.503.001.451.41
The chart of Calmar ratio for USML, currently valued at 2.07, compared to the broader market0.005.0010.0015.002.072.56
The chart of Martin ratio for USML, currently valued at 15.33, compared to the broader market0.0020.0040.0060.0080.00100.0015.3315.94
USML
UPRO

The current USML Sharpe Ratio is 2.59, which is comparable to the UPRO Sharpe Ratio of 2.66. The chart below compares the historical Sharpe Ratios of USML and UPRO, 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 Ratio1.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.59
2.66
USML
UPRO

Dividends

USML vs. UPRO - Dividend Comparison

USML has not paid dividends to shareholders, while UPRO's dividend yield for the trailing twelve months is around 0.75%.


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%
UPRO
ProShares UltraPro S&P 500
0.75%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%

Drawdowns

USML vs. UPRO - Drawdown Comparison

The maximum USML drawdown since its inception was -35.34%, smaller than the maximum UPRO drawdown of -76.82%. Use the drawdown chart below to compare losses from any high point for USML and UPRO. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.50%
-4.46%
USML
UPRO

Volatility

USML vs. UPRO - Volatility Comparison

The current volatility for ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) is 5.98%, while ProShares UltraPro S&P 500 (UPRO) has a volatility of 12.31%. This indicates that USML experiences smaller price fluctuations and is considered to be less risky than UPRO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
5.98%
12.31%
USML
UPRO