^NDX vs. SPXL
Compare and contrast key facts about NASDAQ 100 (^NDX) and Direxion Daily S&P 500 Bull 3X Shares (SPXL).
SPXL is a passively managed fund by Direxion that tracks the performance of the S&P 500 Index (300%). It was launched on Nov 5, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^NDX or SPXL.
Performance
^NDX vs. SPXL - Performance Comparison
Returns By Period
In the year-to-date period, ^NDX achieves a 23.27% return, which is significantly lower than SPXL's 71.49% return. Over the past 10 years, ^NDX has underperformed SPXL with an annualized return of 17.12%, while SPXL has yielded a comparatively higher 24.10% annualized return.
^NDX
23.27%
1.72%
11.37%
29.62%
20.24%
17.12%
SPXL
71.49%
3.88%
34.00%
94.94%
25.27%
24.10%
Key characteristics
| ^NDX | SPXL | |
|---|---|---|
| Sharpe Ratio | 1.71 | 2.68 |
| Sortino Ratio | 2.30 | 3.04 |
| Omega Ratio | 1.31 | 1.42 |
| Calmar Ratio | 2.22 | 2.64 |
| Martin Ratio | 8.00 | 15.98 |
| Ulcer Index | 3.77% | 6.08% |
| Daily Std Dev | 17.59% | 36.19% |
| Max Drawdown | -82.90% | -76.86% |
| Current Drawdown | -1.78% | -3.03% |
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Correlation
The correlation between ^NDX and SPXL is 0.90, 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
^NDX vs. SPXL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 (^NDX) and Direxion Daily S&P 500 Bull 3X Shares (SPXL). 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.
Drawdowns
^NDX vs. SPXL - Drawdown Comparison
The maximum ^NDX drawdown since its inception was -82.90%, which is greater than SPXL's maximum drawdown of -76.86%. Use the drawdown chart below to compare losses from any high point for ^NDX and SPXL. For additional features, visit the drawdowns tool.
Volatility
^NDX vs. SPXL - Volatility Comparison
The current volatility for NASDAQ 100 (^NDX) is 5.40%, while Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a volatility of 11.95%. This indicates that ^NDX experiences smaller price fluctuations and is considered to be less risky than SPXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.