etf comparison

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

etf comparison

Last updated Jul 25, 2024

Asset Allocation

Position	Category/Sector	Weight
FTEC Fidelity MSCI Information Technology Index ETF	Technology Equities	8.33%
FTXL First Trust Nasdaq Semiconductor ETF	Technology Equities	8.33%
IETC iShares Evolved U.S. Technology ETF	Technology Equities, Actively Managed	8.33%
IGM iShares Expanded Tech Sector ETF	Technology Equities	8.33%
IXN iShares Global Tech ETF	Technology Equities	8.33%
PSI Invesco Dynamic Semiconductors ETF	Technology Equities	8.33%
PTF Invesco DWA Technology Momentum ETF	Technology Equities	8.33%
QQQ Invesco QQQ	Large Cap Blend Equities	8.33%
SOXX iShares PHLX Semiconductor ETF	Technology Equities	8.33%
SPXL Direxion Daily S&P 500 Bull 3X Shares	Leveraged Equities, Leveraged	8.33%
VGT Vanguard Information Technology ETF	Technology Equities	8.33%
XLK Technology Select Sector SPDR Fund	Technology Equities	8.33%

Benchmark

S&P 500

Rebalance portfolio

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in etf comparison, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

etf comparison

Benchmark (^GSPC)

Portfolio components

The earliest data available for this chart is Mar 23, 2018, corresponding to the inception date of IETC

Returns By Period

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC S&P 500	13.20%	-1.28%	10.32%	18.23%	12.31%	10.58%
etf comparison	16.74%	-5.36%	10.95%	28.05%	22.48%	N/A
Portfolio components:
SPXL Direxion Daily S&P 500 Bull 3X Shares	34.95%	-4.96%	26.07%	45.70%	20.90%	22.77%
IXN iShares Global Tech ETF	15.16%	-5.43%	9.17%	25.94%	21.01%	18.82%
FTXL First Trust Nasdaq Semiconductor ETF	13.91%	-6.83%	9.27%	29.56%	22.00%	N/A
SOXX iShares PHLX Semiconductor ETF	17.20%	-8.86%	9.91%	34.07%	29.26%	27.55%
XLK Technology Select Sector SPDR Fund	11.34%	-5.71%	5.00%	22.25%	22.16%	19.90%
PSI Invesco Dynamic Semiconductors ETF	13.14%	-9.87%	8.39%	22.59%	23.64%	23.36%
FTEC Fidelity MSCI Information Technology Index ETF	15.31%	-3.32%	9.62%	25.65%	21.26%	19.92%
VGT Vanguard Information Technology ETF	15.09%	-3.40%	9.51%	24.73%	21.09%	20.16%
IETC iShares Evolved U.S. Technology ETF	17.08%	-2.39%	10.19%	30.30%	19.83%	N/A
PTF Invesco DWA Technology Momentum ETF	15.22%	-4.21%	14.50%	16.93%	17.21%	17.82%
IGM iShares Expanded Tech Sector ETF	20.00%	-4.80%	11.68%	35.82%	21.34%	22.69%
QQQ Invesco QQQ	12.23%	-4.40%	7.80%	22.23%	19.44%	17.83%

Monthly Returns

The table below presents the monthly returns of etf comparison, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2024	1.84%	7.99%	2.95%	-5.98%	8.03%	7.67%							16.74%
2023	11.65%	-0.38%	8.77%	-2.47%	9.52%	7.64%	4.47%	-2.84%	-7.38%	-3.97%	14.88%	7.81%	55.52%
2022	-10.70%	-3.76%	2.75%	-14.36%	0.73%	-12.53%	15.49%	-7.41%	-13.09%	6.85%	9.90%	-9.18%	-33.95%
2021	0.51%	4.06%	1.28%	4.39%	-0.25%	6.45%	2.46%	3.96%	-5.73%	8.61%	4.06%	2.97%	37.22%
2020	1.73%	-7.69%	-12.56%	16.60%	8.93%	6.47%	8.08%	9.11%	-4.60%	-2.59%	16.11%	6.37%	50.29%
2019	11.20%	6.34%	3.86%	7.55%	-11.06%	10.33%	4.49%	-2.64%	1.05%	4.53%	5.16%	5.27%	54.18%
2018			0.97%	-1.66%	8.02%	-1.29%	3.11%	6.57%	-1.36%	-10.98%	0.63%	-9.48%	-6.94%

Expense Ratio

etf comparison features an expense ratio of 0.40%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SPXL

Direxion Daily S&P 500 Bull 3X Shares

FTXL

First Trust Nasdaq Semiconductor ETF

PTF

Invesco DWA Technology Momentum ETF

PSI

Invesco Dynamic Semiconductors ETF

IXN

iShares Global Tech ETF

SOXX

iShares PHLX Semiconductor ETF

IGM

iShares Expanded Tech Sector ETF

QQQ

Invesco QQQ

IETC

iShares Evolved U.S. Technology ETF

XLK

Technology Select Sector SPDR Fund

VGT

Vanguard Information Technology ETF

FTEC

Fidelity MSCI Information Technology Index ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of etf comparison is 37, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

etf comparison

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.

etf comparison

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
SPXL Direxion Daily S&P 500 Bull 3X Shares	1.33	1.85	1.23	0.87	4.73
IXN iShares Global Tech ETF	1.29	1.78	1.23	1.90	5.84
FTXL First Trust Nasdaq Semiconductor ETF	1.01	1.48	1.18	1.20	4.08
SOXX iShares PHLX Semiconductor ETF	1.11	1.60	1.20	1.86	4.56
XLK Technology Select Sector SPDR Fund	1.11	1.55	1.20	1.88	5.32
PSI Invesco Dynamic Semiconductors ETF	0.71	1.12	1.14	0.80	2.67
FTEC Fidelity MSCI Information Technology Index ETF	1.29	1.77	1.22	1.95	5.80
VGT Vanguard Information Technology ETF	1.24	1.72	1.22	1.79	5.44
IETC iShares Evolved U.S. Technology ETF	1.65	2.22	1.29	1.79	9.10
PTF Invesco DWA Technology Momentum ETF	0.58	0.96	1.12	0.47	1.92
IGM iShares Expanded Tech Sector ETF	1.77	2.38	1.31	2.37	9.65
QQQ Invesco QQQ	1.35	1.87	1.24	1.58	6.75

Sharpe Ratio

The current etf comparison Sharpe ratio is 1.38. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.23 to 1.94, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of etf comparison with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

etf comparison

Benchmark (^GSPC)

Portfolio components

Dividends

Dividend yield

etf comparison granted a 0.54% dividend yield in the last twelve months.

	TTM	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013
etf comparison	0.54%	0.61%	0.75%	0.41%	0.52%	0.83%	0.98%	0.93%	0.79%	0.72%	0.95%	0.64%
Portfolio components:
SPXL Direxion Daily S&P 500 Bull 3X Shares	0.88%	0.98%	0.32%	0.11%	0.22%	0.84%	1.02%	3.88%	0.00%	0.00%	0.00%	0.00%
IXN iShares Global Tech ETF	0.47%	0.55%	0.81%	0.58%	0.63%	1.06%	0.94%	0.93%	1.03%	1.12%	1.14%	1.02%
FTXL First Trust Nasdaq Semiconductor ETF	0.54%	0.60%	0.89%	0.25%	0.48%	0.92%	0.71%	0.47%	0.11%	0.00%	0.00%	0.00%
SOXX iShares PHLX Semiconductor ETF	0.65%	0.78%	1.25%	0.64%	0.81%	1.23%	1.37%	0.90%	1.08%	1.29%	1.56%	1.18%
XLK Technology Select Sector SPDR Fund	0.71%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%	1.75%	1.70%
PSI Invesco Dynamic Semiconductors ETF	0.22%	0.40%	0.61%	0.14%	0.21%	0.52%	0.83%	0.21%	0.68%	0.16%	1.77%	0.57%
FTEC Fidelity MSCI Information Technology Index ETF	0.68%	0.77%	0.93%	0.63%	0.83%	1.03%	1.20%	0.96%	1.25%	1.27%	1.09%	0.18%
VGT Vanguard Information Technology ETF	0.67%	0.65%	0.91%	0.64%	0.82%	1.11%	1.29%	0.99%	1.31%	1.28%	1.12%	1.05%
IETC iShares Evolved U.S. Technology ETF	0.63%	0.79%	0.92%	0.73%	0.48%	0.79%	1.27%	0.00%	0.00%	0.00%	0.00%	0.00%
PTF Invesco DWA Technology Momentum ETF	0.03%	0.07%	0.00%	0.00%	0.00%	0.00%	0.08%	0.04%	0.26%	0.00%	0.68%	0.17%
IGM iShares Expanded Tech Sector ETF	0.32%	0.39%	0.53%	0.16%	0.32%	0.50%	0.57%	0.57%	0.90%	0.78%	0.87%	0.78%
QQQ Invesco QQQ	0.63%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%	1.41%	1.01%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

etf comparison

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the etf comparison. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the etf comparison was 41.03%, occurring on Oct 14, 2022. Recovery took 296 trading sessions.

The current etf comparison drawdown is 9.58%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-41.03%	Dec 28, 2021	202	Oct 14, 2022	296	Dec 19, 2023	498
-35.5%	Feb 20, 2020	22	Mar 20, 2020	56	Jun 10, 2020	78
-26.36%	Aug 30, 2018	80	Dec 24, 2018	59	Mar 21, 2019	139
-13.37%	Sep 3, 2020	14	Sep 23, 2020	32	Nov 6, 2020	46
-12.85%	May 6, 2019	20	Jun 3, 2019	26	Jul 10, 2019	46

Volatility

Volatility Chart

The current etf comparison volatility is 8.55%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

etf comparison

Benchmark (^GSPC)

Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	PTF	FTXL	PSI	SPXL	SOXX	IETC	QQQ	XLK	IGM	IXN	FTEC	VGT
PTF	1.00	0.77	0.80	0.74	0.79	0.84	0.83	0.82	0.86	0.82	0.85	0.85
FTXL	0.77	1.00	0.96	0.76	0.96	0.78	0.81	0.82	0.82	0.84	0.83	0.83
PSI	0.80	0.96	1.00	0.77	0.98	0.80	0.82	0.83	0.84	0.85	0.85	0.85
SPXL	0.74	0.76	0.77	1.00	0.79	0.88	0.91	0.90	0.90	0.90	0.90	0.91
SOXX	0.79	0.96	0.98	0.79	1.00	0.82	0.85	0.87	0.86	0.88	0.87	0.88
IETC	0.84	0.78	0.80	0.88	0.82	1.00	0.96	0.95	0.97	0.95	0.96	0.96
QQQ	0.83	0.81	0.82	0.91	0.85	0.96	1.00	0.97	0.98	0.96	0.97	0.97
XLK	0.82	0.82	0.83	0.90	0.87	0.95	0.97	1.00	0.97	0.99	0.99	0.99
IGM	0.86	0.82	0.84	0.90	0.86	0.97	0.98	0.97	1.00	0.97	0.98	0.98
IXN	0.82	0.84	0.85	0.90	0.88	0.95	0.96	0.99	0.97	1.00	0.99	0.99
FTEC	0.85	0.83	0.85	0.90	0.87	0.96	0.97	0.99	0.98	0.99	1.00	1.00
VGT	0.85	0.83	0.85	0.91	0.88	0.96	0.97	0.99	0.98	0.99	1.00	1.00

The correlation results are calculated based on daily price changes starting from Mar 26, 2018