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

Performance

FNGD vs. SOXS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD) and Direxion Daily Semiconductor Bear 3x Shares (SOXS). The values are adjusted to include any dividend payments, if applicable.

-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-33.33%
0
FNGD
SOXS

Returns By Period

In the year-to-date period, FNGD achieves a -71.46% return, which is significantly lower than SOXS's -56.24% return.


FNGD

YTD

-71.46%

1M

-12.42%

6M

-46.75%

1Y

-75.38%

5Y (annualized)

-77.74%

10Y (annualized)

N/A

SOXS

YTD

-56.24%

1M

21.15%

6M

-6.96%

1Y

-69.47%

5Y (annualized)

-76.14%

10Y (annualized)

-65.47%

Key characteristics


FNGDSOXS
Sharpe Ratio-1.05-0.66
Sortino Ratio-2.17-0.85
Omega Ratio0.760.90
Calmar Ratio-0.75-0.68
Martin Ratio-1.34-1.08
Ulcer Index56.00%62.54%
Daily Std Dev71.29%102.40%
Max Drawdown-99.98%-100.00%
Current Drawdown-99.98%-100.00%

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FNGD vs. SOXS - Expense Ratio Comparison

FNGD 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 FNGD: 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%

Correlation

-0.50.00.51.00.8

The correlation between FNGD and SOXS is 0.77, 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

FNGD vs. SOXS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD) 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.


Sharpe ratio
The chart of Sharpe ratio for FNGD, currently valued at -1.05, compared to the broader market0.002.004.00-1.05-0.66
The chart of Sortino ratio for FNGD, currently valued at -2.17, compared to the broader market-2.000.002.004.006.008.0010.0012.00-2.17-0.85
The chart of Omega ratio for FNGD, currently valued at 0.76, compared to the broader market0.501.001.502.002.503.000.760.90
The chart of Calmar ratio for FNGD, currently valued at -0.75, compared to the broader market0.005.0010.0015.00-0.75-0.68
The chart of Martin ratio for FNGD, currently valued at -1.34, compared to the broader market0.0020.0040.0060.0080.00100.00-1.34-1.08
FNGD
SOXS

The current FNGD Sharpe Ratio is -1.05, which is lower than the SOXS Sharpe Ratio of -0.66. The chart below compares the historical Sharpe Ratios of FNGD 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
-1.05
-0.66
FNGD
SOXS

Dividends

FNGD vs. SOXS - Dividend Comparison

FNGD has not paid dividends to shareholders, while SOXS's dividend yield for the trailing twelve months is around 6.57%.


TTM202320222021202020192018
FNGD
MicroSectors FANG+™ Index -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
6.57%9.21%0.19%0.00%3.55%2.32%0.76%

Drawdowns

FNGD vs. SOXS - Drawdown Comparison

The maximum FNGD drawdown since its inception was -99.98%, roughly equal to the maximum SOXS drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for FNGD and SOXS. For additional features, visit the drawdowns tool.


-99.99%-99.99%-99.98%-99.98%-99.97%JuneJulyAugustSeptemberOctoberNovember
-99.98%
-99.99%
FNGD
SOXS

Volatility

FNGD vs. SOXS - Volatility Comparison

The current volatility for MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD) is 20.12%, while Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a volatility of 26.18%. This indicates that FNGD 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
20.12%
26.18%
FNGD
SOXS