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

Correlation

The correlation between USML and VOO 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.


-0.50.00.51.00.8

Performance

USML vs. VOO - 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 Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
53.84%
61.76%
USML
VOO

Key characteristics

Sharpe Ratio

USML:

1.84

VOO:

2.25

Sortino Ratio

USML:

2.48

VOO:

2.98

Omega Ratio

USML:

1.32

VOO:

1.42

Calmar Ratio

USML:

1.86

VOO:

3.31

Martin Ratio

USML:

9.61

VOO:

14.77

Ulcer Index

USML:

3.14%

VOO:

1.90%

Daily Std Dev

USML:

16.42%

VOO:

12.46%

Max Drawdown

USML:

-35.34%

VOO:

-33.99%

Current Drawdown

USML:

-10.40%

VOO:

-2.47%

Returns By Period

The year-to-date returns for both investments are quite close, with USML having a 26.01% return and VOO slightly higher at 26.02%.


USML

YTD

26.01%

1M

-7.60%

6M

10.31%

1Y

27.49%

5Y*

N/A

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

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. VOO - Expense Ratio Comparison

USML has a 0.95% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

USML vs. VOO - 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 Vanguard S&P 500 ETF (VOO). 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 market0.002.004.001.842.25
The chart of Sortino ratio for USML, currently valued at 2.48, compared to the broader market-2.000.002.004.006.008.0010.002.482.98
The chart of Omega ratio for USML, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.42
The chart of Calmar ratio for USML, currently valued at 1.86, compared to the broader market0.005.0010.0015.001.863.31
The chart of Martin ratio for USML, currently valued at 9.61, compared to the broader market0.0020.0040.0060.0080.00100.009.6114.77
USML
VOO

The current USML Sharpe Ratio is 1.84, which is comparable to the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of USML and VOO, 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
2.25
USML
VOO

Dividends

USML vs. VOO - Dividend Comparison

USML has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 0.91%.


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%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

USML vs. VOO - Drawdown Comparison

The maximum USML drawdown since its inception was -35.34%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for USML and VOO. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.40%
-2.47%
USML
VOO

Volatility

USML vs. VOO - Volatility Comparison

ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) has a higher volatility of 5.87% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that USML's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.87%
3.75%
USML
VOO
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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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