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MEXX vs. FZROX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MEXXFZROX
YTD Return-65.66%20.04%
1Y Return-48.38%32.79%
3Y Return (Ann)-11.47%7.08%
5Y Return (Ann)-14.39%14.43%
Sharpe Ratio-0.662.75
Sortino Ratio-0.673.66
Omega Ratio0.911.51
Calmar Ratio-0.573.87
Martin Ratio-1.2217.54
Ulcer Index38.99%1.96%
Daily Std Dev72.20%12.43%
Max Drawdown-95.58%-34.96%
Current Drawdown-83.49%-2.49%

Correlation

-0.50.00.51.00.6

The correlation between MEXX and FZROX is 0.55, 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

MEXX vs. FZROX - Performance Comparison

In the year-to-date period, MEXX achieves a -65.66% return, which is significantly lower than FZROX's 20.04% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-61.90%
10.65%
MEXX
FZROX

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MEXX vs. FZROX - Expense Ratio Comparison

MEXX has a 1.21% expense ratio, which is higher than FZROX's 0.00% expense ratio.


MEXX
Direxion Daily MSCI Mexico Bull 3X Shares
Expense ratio chart for MEXX: current value at 1.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.21%
Expense ratio chart for FZROX: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

MEXX vs. FZROX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily MSCI Mexico Bull 3X Shares (MEXX) and Fidelity ZERO Total Market Index Fund (FZROX). 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.


MEXX
Sharpe ratio
The chart of Sharpe ratio for MEXX, currently valued at -0.66, compared to the broader market0.002.004.006.00-0.66
Sortino ratio
The chart of Sortino ratio for MEXX, currently valued at -0.67, compared to the broader market0.005.0010.00-0.67
Omega ratio
The chart of Omega ratio for MEXX, currently valued at 0.91, compared to the broader market1.001.502.002.503.000.91
Calmar ratio
The chart of Calmar ratio for MEXX, currently valued at -0.62, compared to the broader market0.005.0010.0015.0020.00-0.62
Martin ratio
The chart of Martin ratio for MEXX, currently valued at -1.22, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.22
FZROX
Sharpe ratio
The chart of Sharpe ratio for FZROX, currently valued at 2.75, compared to the broader market0.002.004.006.002.75
Sortino ratio
The chart of Sortino ratio for FZROX, currently valued at 3.66, compared to the broader market0.005.0010.003.66
Omega ratio
The chart of Omega ratio for FZROX, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for FZROX, currently valued at 3.87, compared to the broader market0.005.0010.0015.0020.003.87
Martin ratio
The chart of Martin ratio for FZROX, currently valued at 17.54, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.54

MEXX vs. FZROX - Sharpe Ratio Comparison

The current MEXX Sharpe Ratio is -0.66, which is lower than the FZROX Sharpe Ratio of 2.75. The chart below compares the historical Sharpe Ratios of MEXX and FZROX, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.66
2.75
MEXX
FZROX

Dividends

MEXX vs. FZROX - Dividend Comparison

MEXX's dividend yield for the trailing twelve months is around 4.86%, more than FZROX's 1.13% yield.


TTM2023202220212020201920182017
MEXX
Direxion Daily MSCI Mexico Bull 3X Shares
4.86%1.66%1.33%0.63%0.12%1.60%5.61%0.27%
FZROX
Fidelity ZERO Total Market Index Fund
1.13%1.36%1.57%1.25%1.27%1.51%0.74%0.00%

Drawdowns

MEXX vs. FZROX - Drawdown Comparison

The maximum MEXX drawdown since its inception was -95.58%, which is greater than FZROX's maximum drawdown of -34.96%. Use the drawdown chart below to compare losses from any high point for MEXX and FZROX. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-76.52%
-2.49%
MEXX
FZROX

Volatility

MEXX vs. FZROX - Volatility Comparison

Direxion Daily MSCI Mexico Bull 3X Shares (MEXX) has a higher volatility of 12.15% compared to Fidelity ZERO Total Market Index Fund (FZROX) at 3.06%. This indicates that MEXX's price experiences larger fluctuations and is considered to be riskier than FZROX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%JuneJulyAugustSeptemberOctoberNovember
12.15%
3.06%
MEXX
FZROX