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FAZ vs. SQQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FAZ and SQQQ is -0.87. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0
Correlation: -0.9

Performance

FAZ vs. SQQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Financial Bear 3X Shares (FAZ) and ProShares UltraPro Short QQQ (SQQQ). The values are adjusted to include any dividend payments, if applicable.

-100.00%-100.00%-100.00%-99.99%-99.99%-99.99%NovemberDecember2025FebruaryMarchApril
-99.99%
-100.00%
FAZ
SQQQ

Key characteristics

Sharpe Ratio

FAZ:

-0.71

SQQQ:

-0.57

Sortino Ratio

FAZ:

-0.87

SQQQ:

-0.48

Omega Ratio

FAZ:

0.89

SQQQ:

0.94

Calmar Ratio

FAZ:

-0.43

SQQQ:

-0.42

Martin Ratio

FAZ:

-1.24

SQQQ:

-1.15

Ulcer Index

FAZ:

34.63%

SQQQ:

36.82%

Daily Std Dev

FAZ:

60.56%

SQQQ:

75.08%

Max Drawdown

FAZ:

-100.00%

SQQQ:

-100.00%

Current Drawdown

FAZ:

-100.00%

SQQQ:

-100.00%

Returns By Period

In the year-to-date period, FAZ achieves a -8.21% return, which is significantly lower than SQQQ's 3.12% return. Over the past 10 years, FAZ has outperformed SQQQ with an annualized return of -43.48%, while SQQQ has yielded a comparatively lower -50.95% annualized return.


FAZ

YTD

-8.21%

1M

4.55%

6M

-19.38%

1Y

-43.96%

5Y*

-51.11%

10Y*

-43.48%

SQQQ

YTD

3.12%

1M

-9.21%

6M

-7.21%

1Y

-42.83%

5Y*

-52.85%

10Y*

-50.95%

*Annualized

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FAZ vs. SQQQ - Expense Ratio Comparison

FAZ has a 1.07% expense ratio, which is higher than SQQQ's 0.95% expense ratio.


Expense ratio chart for FAZ: current value is 1.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
FAZ: 1.07%
Expense ratio chart for SQQQ: current value is 0.95%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SQQQ: 0.95%

Risk-Adjusted Performance

FAZ vs. SQQQ — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

FAZ
The Risk-Adjusted Performance Rank of FAZ is 22
Overall Rank
The Sharpe Ratio Rank of FAZ is 22
Sharpe Ratio Rank
The Sortino Ratio Rank of FAZ is 22
Sortino Ratio Rank
The Omega Ratio Rank of FAZ is 22
Omega Ratio Rank
The Calmar Ratio Rank of FAZ is 33
Calmar Ratio Rank
The Martin Ratio Rank of FAZ is 33
Martin Ratio Rank

SQQQ
The Risk-Adjusted Performance Rank of SQQQ is 44
Overall Rank
The Sharpe Ratio Rank of SQQQ is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of SQQQ is 55
Sortino Ratio Rank
The Omega Ratio Rank of SQQQ is 55
Omega Ratio Rank
The Calmar Ratio Rank of SQQQ is 33
Calmar Ratio Rank
The Martin Ratio Rank of SQQQ is 44
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.

FAZ vs. SQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Financial Bear 3X Shares (FAZ) and ProShares UltraPro Short QQQ (SQQQ). 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.


The chart of Sharpe ratio for FAZ, currently valued at -0.71, compared to the broader market-1.000.001.002.003.004.00
FAZ: -0.71
SQQQ: -0.57
The chart of Sortino ratio for FAZ, currently valued at -0.87, compared to the broader market-2.000.002.004.006.008.00
FAZ: -0.87
SQQQ: -0.48
The chart of Omega ratio for FAZ, currently valued at 0.89, compared to the broader market0.501.001.502.002.50
FAZ: 0.89
SQQQ: 0.94
The chart of Calmar ratio for FAZ, currently valued at -0.43, compared to the broader market0.002.004.006.008.0010.0012.00
FAZ: -0.43
SQQQ: -0.42
The chart of Martin ratio for FAZ, currently valued at -1.24, compared to the broader market0.0020.0040.0060.00
FAZ: -1.24
SQQQ: -1.15

The current FAZ Sharpe Ratio is -0.71, which is comparable to the SQQQ Sharpe Ratio of -0.57. The chart below compares the historical Sharpe Ratios of FAZ and SQQQ, 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-2.00-1.50-1.00-0.500.00NovemberDecember2025FebruaryMarchApril
-0.71
-0.57
FAZ
SQQQ

Dividends

FAZ vs. SQQQ - Dividend Comparison

FAZ's dividend yield for the trailing twelve months is around 6.83%, less than SQQQ's 9.00% yield.


TTM20242023202220212020201920182017
FAZ
Direxion Daily Financial Bear 3X Shares
6.83%7.36%4.88%0.00%0.00%0.62%1.62%0.57%0.00%
SQQQ
ProShares UltraPro Short QQQ
9.00%10.23%8.01%0.28%0.00%2.15%2.92%1.47%0.14%

Drawdowns

FAZ vs. SQQQ - Drawdown Comparison

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


-100.00%-100.00%-100.00%-99.99%-99.99%-99.99%NovemberDecember2025FebruaryMarchApril
-99.99%
-100.00%
FAZ
SQQQ

Volatility

FAZ vs. SQQQ - Volatility Comparison

The current volatility for Direxion Daily Financial Bear 3X Shares (FAZ) is 41.43%, while ProShares UltraPro Short QQQ (SQQQ) has a volatility of 55.95%. This indicates that FAZ experiences smaller price fluctuations and is considered to be less risky than SQQQ 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%NovemberDecember2025FebruaryMarchApril
41.43%
55.95%
FAZ
SQQQ