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DFEN vs. SPXL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFEN and SPXL is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

DFEN vs. SPXL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) and Direxion Daily S&P 500 Bull 3X Shares (SPXL). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
12.20%
14.57%
DFEN
SPXL

Key characteristics

Sharpe Ratio

DFEN:

0.56

SPXL:

1.77

Sortino Ratio

DFEN:

1.02

SPXL:

2.21

Omega Ratio

DFEN:

1.14

SPXL:

1.30

Calmar Ratio

DFEN:

0.38

SPXL:

2.10

Martin Ratio

DFEN:

3.18

SPXL:

10.75

Ulcer Index

DFEN:

8.29%

SPXL:

6.12%

Daily Std Dev

DFEN:

47.41%

SPXL:

37.22%

Max Drawdown

DFEN:

-91.36%

SPXL:

-76.86%

Current Drawdown

DFEN:

-54.82%

SPXL:

-10.83%

Returns By Period

In the year-to-date period, DFEN achieves a 25.22% return, which is significantly lower than SPXL's 63.33% return.


DFEN

YTD

25.22%

1M

-13.94%

6M

12.21%

1Y

32.72%

5Y*

-11.30%

10Y*

N/A

SPXL

YTD

63.33%

1M

-2.29%

6M

13.62%

1Y

62.99%

5Y*

21.49%

10Y*

23.52%

Compare stocks, funds, or ETFs

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


DFEN vs. SPXL - Expense Ratio Comparison

DFEN has a 0.99% expense ratio, which is lower than SPXL's 1.02% expense ratio.


SPXL
Direxion Daily S&P 500 Bull 3X Shares
Expense ratio chart for SPXL: current value at 1.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.02%
Expense ratio chart for DFEN: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%

Risk-Adjusted Performance

DFEN vs. SPXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) 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.


Sharpe ratio
The chart of Sharpe ratio for DFEN, currently valued at 0.56, compared to the broader market0.002.004.000.561.69
The chart of Sortino ratio for DFEN, currently valued at 1.02, compared to the broader market-2.000.002.004.006.008.0010.001.022.14
The chart of Omega ratio for DFEN, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.29
The chart of Calmar ratio for DFEN, currently valued at 0.38, compared to the broader market0.005.0010.0015.000.382.01
The chart of Martin ratio for DFEN, currently valued at 3.18, compared to the broader market0.0020.0040.0060.0080.00100.003.1810.24
DFEN
SPXL

The current DFEN Sharpe Ratio is 0.56, which is lower than the SPXL Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of DFEN and SPXL, 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 Ratio1.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.56
1.69
DFEN
SPXL

Dividends

DFEN vs. SPXL - Dividend Comparison

DFEN's dividend yield for the trailing twelve months is around 14.32%, more than SPXL's 0.73% yield.


TTM2023202220212020201920182017
DFEN
Direxion Daily Aerospace & Defense Bull 3X Shares
14.32%1.13%0.46%1.89%0.48%0.50%1.07%1.46%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.73%0.98%0.33%0.11%0.22%0.84%1.02%3.88%

Drawdowns

DFEN vs. SPXL - Drawdown Comparison

The maximum DFEN drawdown since its inception was -91.36%, which is greater than SPXL's maximum drawdown of -76.86%. Use the drawdown chart below to compare losses from any high point for DFEN and SPXL. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-54.82%
-10.83%
DFEN
SPXL

Volatility

DFEN vs. SPXL - Volatility Comparison

Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) has a higher volatility of 17.06% compared to Direxion Daily S&P 500 Bull 3X Shares (SPXL) at 10.97%. This indicates that DFEN's price experiences larger fluctuations and is considered to be riskier than SPXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
17.06%
10.97%
DFEN
SPXL
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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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