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NVR vs. SPXL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

NVR vs. SPXL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in NVR, Inc. (NVR) and Direxion Daily S&P 500 Bull 3X Shares (SPXL). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
20.68%
28.96%
NVR
SPXL

Returns By Period

In the year-to-date period, NVR achieves a 28.56% return, which is significantly lower than SPXL's 68.92% return. Over the past 10 years, NVR has underperformed SPXL with an annualized return of 22.07%, while SPXL has yielded a comparatively higher 24.01% annualized return.


NVR

YTD

28.56%

1M

-6.79%

6M

20.68%

1Y

44.13%

5Y (annualized)

19.59%

10Y (annualized)

22.07%

SPXL

YTD

68.92%

1M

2.06%

6M

28.96%

1Y

94.17%

5Y (annualized)

24.92%

10Y (annualized)

24.01%

Key characteristics


NVRSPXL
Sharpe Ratio1.852.56
Sortino Ratio2.562.95
Omega Ratio1.321.40
Calmar Ratio4.002.50
Martin Ratio10.1915.27
Ulcer Index4.19%6.08%
Daily Std Dev23.07%36.18%
Max Drawdown-97.91%-76.86%
Current Drawdown-9.31%-4.49%

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Correlation

-0.50.00.51.00.5

The correlation between NVR and SPXL is 0.48, 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

NVR vs. SPXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for NVR, Inc. (NVR) and Direxion Daily S&P 500 Bull 3X Shares (SPXL). 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 NVR, currently valued at 1.85, compared to the broader market-4.00-2.000.002.004.001.852.56
The chart of Sortino ratio for NVR, currently valued at 2.56, compared to the broader market-4.00-2.000.002.004.002.562.95
The chart of Omega ratio for NVR, currently valued at 1.32, compared to the broader market0.501.001.502.001.321.40
The chart of Calmar ratio for NVR, currently valued at 4.00, compared to the broader market0.002.004.006.004.002.50
The chart of Martin ratio for NVR, currently valued at 10.19, compared to the broader market-10.000.0010.0020.0030.0010.1915.27
NVR
SPXL

The current NVR Sharpe Ratio is 1.85, which is comparable to the SPXL Sharpe Ratio of 2.56. The chart below compares the historical Sharpe Ratios of NVR and SPXL, 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 Ratio1.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.85
2.56
NVR
SPXL

Dividends

NVR vs. SPXL - Dividend Comparison

NVR has not paid dividends to shareholders, while SPXL's dividend yield for the trailing twelve months is around 0.70%.


TTM2023202220212020201920182017
NVR
NVR, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.70%0.98%0.33%0.11%0.22%0.84%1.02%3.88%

Drawdowns

NVR vs. SPXL - Drawdown Comparison

The maximum NVR drawdown since its inception was -97.91%, which is greater than SPXL's maximum drawdown of -76.86%. Use the drawdown chart below to compare losses from any high point for NVR and SPXL. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.31%
-4.49%
NVR
SPXL

Volatility

NVR vs. SPXL - Volatility Comparison

The current volatility for NVR, Inc. (NVR) is 5.64%, while Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a volatility of 12.28%. This indicates that NVR experiences smaller price fluctuations and is considered to be less risky than SPXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
5.64%
12.28%
NVR
SPXL