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

Correlation

The correlation between VFMV and USML is 0.93, 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

VFMV vs. USML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard U.S. Minimum Volatility ETF (VFMV) and ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML). The values are adjusted to include any dividend payments, if applicable.

30.00%40.00%50.00%60.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
40.47%
51.86%
VFMV
USML

Key characteristics

Sharpe Ratio

VFMV:

1.97

USML:

1.56

Sortino Ratio

VFMV:

2.73

USML:

2.13

Omega Ratio

VFMV:

1.36

USML:

1.28

Calmar Ratio

VFMV:

3.43

USML:

1.51

Martin Ratio

VFMV:

13.56

USML:

8.66

Ulcer Index

VFMV:

1.33%

USML:

2.98%

Daily Std Dev

VFMV:

9.17%

USML:

16.53%

Max Drawdown

VFMV:

-33.64%

USML:

-35.34%

Current Drawdown

VFMV:

-5.27%

USML:

-11.55%

Returns By Period

In the year-to-date period, VFMV achieves a 17.02% return, which is significantly lower than USML's 24.39% return.


VFMV

YTD

17.02%

1M

-2.13%

6M

7.30%

1Y

17.45%

5Y*

7.69%

10Y*

N/A

USML

YTD

24.39%

1M

-5.69%

6M

10.12%

1Y

25.55%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


VFMV vs. USML - Expense Ratio Comparison

VFMV has a 0.13% expense ratio, which is lower than USML's 0.95% 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 VFMV: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

VFMV vs. USML - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard U.S. Minimum Volatility ETF (VFMV) and ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML). 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 VFMV, currently valued at 1.97, compared to the broader market0.002.004.001.971.56
The chart of Sortino ratio for VFMV, currently valued at 2.73, compared to the broader market-2.000.002.004.006.008.0010.002.732.13
The chart of Omega ratio for VFMV, currently valued at 1.36, compared to the broader market0.501.001.502.002.503.001.361.28
The chart of Calmar ratio for VFMV, currently valued at 3.43, compared to the broader market0.005.0010.0015.003.431.51
The chart of Martin ratio for VFMV, currently valued at 13.56, compared to the broader market0.0020.0040.0060.0080.00100.0013.568.66
VFMV
USML

The current VFMV Sharpe Ratio is 1.97, which is comparable to the USML Sharpe Ratio of 1.56. The chart below compares the historical Sharpe Ratios of VFMV and USML, 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
1.97
1.56
VFMV
USML

Dividends

VFMV vs. USML - Dividend Comparison

VFMV's dividend yield for the trailing twelve months is around 0.98%, while USML has not paid dividends to shareholders.


TTM202320222021202020192018
VFMV
Vanguard U.S. Minimum Volatility ETF
0.98%2.20%2.08%1.31%2.14%2.43%2.30%
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%

Drawdowns

VFMV vs. USML - Drawdown Comparison

The maximum VFMV drawdown since its inception was -33.64%, roughly equal to the maximum USML drawdown of -35.34%. Use the drawdown chart below to compare losses from any high point for VFMV and USML. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.27%
-11.55%
VFMV
USML

Volatility

VFMV vs. USML - Volatility Comparison

The current volatility for Vanguard U.S. Minimum Volatility ETF (VFMV) is 2.93%, while ETRACS 2x Leveraged MSCI US Minimum Volatility Factor TR ETN (USML) has a volatility of 5.82%. This indicates that VFMV experiences smaller price fluctuations and is considered to be less risky than USML 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
2.93%
5.82%
VFMV
USML
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