FAZ vs. SQQQ
Compare and contrast key facts about Direxion Daily Financial Bear 3X Shares (FAZ) and ProShares UltraPro Short QQQ (SQQQ).
FAZ and SQQQ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FAZ is a passively managed fund by Direxion that tracks the performance of the Russell 1000 Financial Services Index (-300%). It was launched on Nov 6, 2008. SQQQ is a passively managed fund by ProShares that tracks the performance of the NASDAQ-100 Index (-300%). It was launched on Feb 9, 2010. Both FAZ and SQQQ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FAZ or SQQQ.
Key characteristics
| FAZ | SQQQ | |
|---|---|---|
| YTD Return | -55.07% | -50.78% |
| 1Y Return | -67.25% | -61.24% |
| 3Y Return (Ann) | -29.95% | -39.55% |
| 5Y Return (Ann) | -52.01% | -59.81% |
| 10Y Return (Ann) | -44.40% | -52.50% |
| Sharpe Ratio | -1.64 | -1.17 |
| Sortino Ratio | -3.09 | -2.12 |
| Omega Ratio | 0.65 | 0.77 |
| Calmar Ratio | -0.67 | -0.61 |
| Martin Ratio | -1.54 | -1.49 |
| Ulcer Index | 43.65% | 40.86% |
| Daily Std Dev | 41.00% | 51.94% |
| Max Drawdown | -100.00% | -100.00% |
| Current Drawdown | -100.00% | -100.00% |
Correlation
The correlation between FAZ and SQQQ is 0.62, 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.
Performance
FAZ vs. SQQQ - Performance Comparison
In the year-to-date period, FAZ achieves a -55.07% return, which is significantly lower than SQQQ's -50.78% return. Over the past 10 years, FAZ has outperformed SQQQ with an annualized return of -44.40%, while SQQQ has yielded a comparatively lower -52.50% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
Risk-Adjusted Performance
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.
Dividends
FAZ vs. SQQQ - Dividend Comparison
FAZ's dividend yield for the trailing twelve months is around 8.62%, less than SQQQ's 10.00% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
FAZ Direxion Daily Financial Bear 3X Shares | 8.62% | 4.88% | 0.00% | 0.00% | 0.62% | 1.62% | 0.57% | 0.00% |
SQQQ ProShares UltraPro Short QQQ | 10.00% | 8.01% | 0.06% | 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.
Volatility
FAZ vs. SQQQ - Volatility Comparison
Direxion Daily Financial Bear 3X Shares (FAZ) has a higher volatility of 22.86% compared to ProShares UltraPro Short QQQ (SQQQ) at 15.44%. This indicates that FAZ's price experiences larger fluctuations and is considered to be riskier than SQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.