USML vs. USMV
Compare and contrast key facts about ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) and iShares Edge MSCI Min Vol USA ETF (USMV).
USML and USMV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. USML is a passively managed fund by UBS that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Feb 4, 2021. USMV is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Oct 18, 2011. Both USML and USMV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: USML or USMV.
Performance
USML vs. USMV - Performance Comparison
Returns By Period
In the year-to-date period, USML achieves a 38.15% return, which is significantly higher than USMV's 21.27% return.
USML
38.15%
3.27%
24.50%
46.60%
N/A
N/A
USMV
21.27%
1.70%
13.49%
25.60%
9.75%
10.88%
Key characteristics
| USML | USMV | |
|---|---|---|
| Sharpe Ratio | 2.85 | 3.00 |
| Sortino Ratio | 3.73 | 4.21 |
| Omega Ratio | 1.49 | 1.56 |
| Calmar Ratio | 2.35 | 5.85 |
| Martin Ratio | 17.03 | 19.44 |
| Ulcer Index | 2.74% | 1.32% |
| Daily Std Dev | 16.32% | 8.54% |
| Max Drawdown | -35.34% | -33.10% |
| Current Drawdown | 0.00% | -0.01% |
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USML vs. USMV - Expense Ratio Comparison
USML has a 0.95% expense ratio, which is higher than USMV's 0.15% expense ratio.
Correlation
The correlation between USML and USMV is 0.98, 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. USMV - 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 iShares Edge MSCI Min Vol USA ETF (USMV). 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.
Dividends
USML vs. USMV - Dividend Comparison
USML has not paid dividends to shareholders, while USMV's dividend yield for the trailing twelve months is around 1.60%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
USMV iShares Edge MSCI Min Vol USA ETF | 1.60% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% | 1.88% | 2.18% |
Drawdowns
USML vs. USMV - Drawdown Comparison
The maximum USML drawdown since its inception was -35.34%, which is greater than USMV's maximum drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for USML and USMV. For additional features, visit the drawdowns tool.
Volatility
USML vs. USMV - Volatility Comparison
ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) has a higher volatility of 6.57% compared to iShares Edge MSCI Min Vol USA ETF (USMV) at 3.32%. This indicates that USML's price experiences larger fluctuations and is considered to be riskier than USMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.