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BERZ vs. SOXS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


BERZSOXS
YTD Return-66.16%-63.13%
1Y Return-75.55%-77.24%
3Y Return (Ann)-57.62%-62.45%
Sharpe Ratio-1.09-0.78
Sortino Ratio-2.39-1.47
Omega Ratio0.750.84
Calmar Ratio-0.80-0.80
Martin Ratio-1.47-1.25
Ulcer Index52.88%64.16%
Daily Std Dev71.00%102.37%
Max Drawdown-97.18%-100.00%
Current Drawdown-97.18%-100.00%

Correlation

-0.50.00.51.00.9

The correlation between BERZ and SOXS is 0.88, 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.

Performance

BERZ vs. SOXS - Performance Comparison

The year-to-date returns for both investments are quite close, with BERZ having a -66.16% return and SOXS slightly higher at -63.13%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-49.61%
-32.41%
BERZ
SOXS

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BERZ vs. SOXS - Expense Ratio Comparison

BERZ has a 0.95% expense ratio, which is lower than SOXS's 1.08% expense ratio.


SOXS
Direxion Daily Semiconductor Bear 3x Shares
Expense ratio chart for SOXS: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
Expense ratio chart for BERZ: 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%

Risk-Adjusted Performance

BERZ vs. SOXS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MicroSectors Solactive FANG & Innovation -3X Inverse Leveraged ETN (BERZ) and Direxion Daily Semiconductor Bear 3x Shares (SOXS). 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.


BERZ
Sharpe ratio
The chart of Sharpe ratio for BERZ, currently valued at -1.09, compared to the broader market-2.000.002.004.006.00-1.09
Sortino ratio
The chart of Sortino ratio for BERZ, currently valued at -2.39, compared to the broader market0.005.0010.00-2.39
Omega ratio
The chart of Omega ratio for BERZ, currently valued at 0.75, compared to the broader market1.001.502.002.503.000.75
Calmar ratio
The chart of Calmar ratio for BERZ, currently valued at -0.80, compared to the broader market0.005.0010.0015.00-0.80
Martin ratio
The chart of Martin ratio for BERZ, currently valued at -1.47, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.47
SOXS
Sharpe ratio
The chart of Sharpe ratio for SOXS, currently valued at -0.78, compared to the broader market-2.000.002.004.006.00-0.78
Sortino ratio
The chart of Sortino ratio for SOXS, currently valued at -1.47, compared to the broader market0.005.0010.00-1.47
Omega ratio
The chart of Omega ratio for SOXS, currently valued at 0.84, compared to the broader market1.001.502.002.503.000.84
Calmar ratio
The chart of Calmar ratio for SOXS, currently valued at -0.82, compared to the broader market0.005.0010.0015.00-0.82
Martin ratio
The chart of Martin ratio for SOXS, currently valued at -1.25, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.25

BERZ vs. SOXS - Sharpe Ratio Comparison

The current BERZ Sharpe Ratio is -1.09, which is lower than the SOXS Sharpe Ratio of -0.78. The chart below compares the historical Sharpe Ratios of BERZ and SOXS, 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 Ratio-1.20-1.10-1.00-0.90-0.80-0.70-0.60JuneJulyAugustSeptemberOctoberNovember
-1.09
-0.78
BERZ
SOXS

Dividends

BERZ vs. SOXS - Dividend Comparison

BERZ has not paid dividends to shareholders, while SOXS's dividend yield for the trailing twelve months is around 7.80%.


TTM202320222021202020192018
BERZ
MicroSectors Solactive FANG & Innovation -3X Inverse Leveraged ETN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SOXS
Direxion Daily Semiconductor Bear 3x Shares
7.80%9.21%0.19%0.00%3.55%2.32%0.76%

Drawdowns

BERZ vs. SOXS - Drawdown Comparison

The maximum BERZ drawdown since its inception was -97.18%, roughly equal to the maximum SOXS drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for BERZ and SOXS. For additional features, visit the drawdowns tool.


-98.00%-97.00%-96.00%-95.00%-94.00%JuneJulyAugustSeptemberOctoberNovember
-97.18%
-97.18%
BERZ
SOXS

Volatility

BERZ vs. SOXS - Volatility Comparison

The current volatility for MicroSectors Solactive FANG & Innovation -3X Inverse Leveraged ETN (BERZ) is 22.38%, while Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a volatility of 27.97%. This indicates that BERZ experiences smaller price fluctuations and is considered to be less risky than SOXS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
22.38%
27.97%
BERZ
SOXS