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

Performance

MEXX vs. QLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily MSCI Mexico Bull 3X Shares (MEXX) and ProShares Ultra QQQ (QLD). The values are adjusted to include any dividend payments, if applicable.

-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-65.01%
16.39%
MEXX
QLD

Returns By Period

In the year-to-date period, MEXX achieves a -68.78% return, which is significantly lower than QLD's 39.36% return.


MEXX

YTD

-68.78%

1M

-18.61%

6M

-65.01%

1Y

-58.21%

5Y (annualized)

-15.26%

10Y (annualized)

N/A

QLD

YTD

39.36%

1M

2.28%

6M

16.39%

1Y

54.40%

5Y (annualized)

31.30%

10Y (annualized)

28.84%

Key characteristics


MEXXQLD
Sharpe Ratio-0.831.51
Sortino Ratio-1.131.99
Omega Ratio0.851.27
Calmar Ratio-0.701.96
Martin Ratio-1.436.52
Ulcer Index41.76%8.04%
Daily Std Dev71.73%34.82%
Max Drawdown-95.58%-83.13%
Current Drawdown-84.99%-4.45%

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MEXX vs. QLD - Expense Ratio Comparison

MEXX has a 1.21% expense ratio, which is higher than QLD's 0.95% 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 QLD: 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

-0.50.00.51.00.4

The correlation between MEXX and QLD is 0.44, 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.

Risk-Adjusted Performance

MEXX vs. QLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily MSCI Mexico Bull 3X Shares (MEXX) and ProShares Ultra QQQ (QLD). 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 MEXX, currently valued at -0.83, compared to the broader market0.002.004.00-0.831.51
The chart of Sortino ratio for MEXX, currently valued at -1.13, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.131.99
The chart of Omega ratio for MEXX, currently valued at 0.85, compared to the broader market0.501.001.502.002.503.000.851.27
The chart of Calmar ratio for MEXX, currently valued at -0.70, compared to the broader market0.005.0010.0015.00-0.701.96
The chart of Martin ratio for MEXX, currently valued at -1.43, compared to the broader market0.0020.0040.0060.0080.00100.00-1.436.52
MEXX
QLD

The current MEXX Sharpe Ratio is -0.83, which is lower than the QLD Sharpe Ratio of 1.51. The chart below compares the historical Sharpe Ratios of MEXX and QLD, 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
-0.83
1.51
MEXX
QLD

Dividends

MEXX vs. QLD - Dividend Comparison

MEXX's dividend yield for the trailing twelve months is around 5.34%, more than QLD's 0.27% yield.


TTM20232022202120202019201820172016201520142013
MEXX
Direxion Daily MSCI Mexico Bull 3X Shares
5.34%1.66%1.33%0.63%0.12%1.60%5.61%0.27%0.00%0.00%0.00%0.00%
QLD
ProShares Ultra QQQ
0.27%0.33%0.31%0.00%0.00%0.13%0.06%0.02%0.90%0.11%0.19%0.13%

Drawdowns

MEXX vs. QLD - Drawdown Comparison

The maximum MEXX drawdown since its inception was -95.58%, which is greater than QLD's maximum drawdown of -83.13%. Use the drawdown chart below to compare losses from any high point for MEXX and QLD. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-84.99%
-4.45%
MEXX
QLD

Volatility

MEXX vs. QLD - Volatility Comparison

Direxion Daily MSCI Mexico Bull 3X Shares (MEXX) has a higher volatility of 16.85% compared to ProShares Ultra QQQ (QLD) at 11.37%. This indicates that MEXX's price experiences larger fluctuations and is considered to be riskier than QLD 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%JuneJulyAugustSeptemberOctoberNovember
16.85%
11.37%
MEXX
QLD