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RETL vs. SOXL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


RETLSOXL
YTD Return8.48%13.38%
1Y Return89.80%94.03%
3Y Return (Ann)-42.65%-17.11%
5Y Return (Ann)0.11%18.83%
10Y Return (Ann)2.65%35.67%
Sharpe Ratio1.220.90
Sortino Ratio1.911.65
Omega Ratio1.221.22
Calmar Ratio0.881.22
Martin Ratio4.883.02
Ulcer Index16.29%30.16%
Daily Std Dev65.17%100.90%
Max Drawdown-91.51%-90.46%
Current Drawdown-81.92%-50.48%

Correlation

-0.50.00.51.00.5

The correlation between RETL and SOXL is 0.53, 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

RETL vs. SOXL - Performance Comparison

In the year-to-date period, RETL achieves a 8.48% return, which is significantly lower than SOXL's 13.38% return. Over the past 10 years, RETL has underperformed SOXL with an annualized return of 2.65%, while SOXL has yielded a comparatively higher 35.67% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
7.88%
-13.30%
RETL
SOXL

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RETL vs. SOXL - Expense Ratio Comparison

Both RETL and SOXL have an expense ratio of 0.99%.


RETL
Direxion Daily Retail Bull 3X Shares
Expense ratio chart for RETL: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
Expense ratio chart for SOXL: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%

Risk-Adjusted Performance

RETL vs. SOXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Retail Bull 3X Shares (RETL) and Direxion Daily Semiconductor Bull 3x Shares (SOXL). 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.


RETL
Sharpe ratio
The chart of Sharpe ratio for RETL, currently valued at 1.22, compared to the broader market-2.000.002.004.001.22
Sortino ratio
The chart of Sortino ratio for RETL, currently valued at 1.91, compared to the broader market-2.000.002.004.006.008.0010.0012.001.91
Omega ratio
The chart of Omega ratio for RETL, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for RETL, currently valued at 0.88, compared to the broader market0.005.0010.0015.000.88
Martin ratio
The chart of Martin ratio for RETL, currently valued at 4.88, compared to the broader market0.0020.0040.0060.0080.00100.004.88
SOXL
Sharpe ratio
The chart of Sharpe ratio for SOXL, currently valued at 0.90, compared to the broader market-2.000.002.004.000.90
Sortino ratio
The chart of Sortino ratio for SOXL, currently valued at 1.65, compared to the broader market-2.000.002.004.006.008.0010.0012.001.65
Omega ratio
The chart of Omega ratio for SOXL, currently valued at 1.22, compared to the broader market1.001.502.002.503.001.22
Calmar ratio
The chart of Calmar ratio for SOXL, currently valued at 1.22, compared to the broader market0.005.0010.0015.001.22
Martin ratio
The chart of Martin ratio for SOXL, currently valued at 3.02, compared to the broader market0.0020.0040.0060.0080.00100.003.02

RETL vs. SOXL - Sharpe Ratio Comparison

The current RETL Sharpe Ratio is 1.22, which is higher than the SOXL Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of RETL and SOXL, 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 Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.22
0.90
RETL
SOXL

Dividends

RETL vs. SOXL - Dividend Comparison

RETL's dividend yield for the trailing twelve months is around 1.22%, more than SOXL's 0.87% yield.


TTM2023202220212020201920182017201620152014
RETL
Direxion Daily Retail Bull 3X Shares
1.22%1.35%0.71%0.22%0.19%0.92%1.19%0.01%2.60%0.00%0.00%
SOXL
Direxion Daily Semiconductor Bull 3x Shares
0.87%0.51%1.08%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%

Drawdowns

RETL vs. SOXL - Drawdown Comparison

The maximum RETL drawdown since its inception was -91.51%, roughly equal to the maximum SOXL drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for RETL and SOXL. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-81.92%
-50.48%
RETL
SOXL

Volatility

RETL vs. SOXL - Volatility Comparison

The current volatility for Direxion Daily Retail Bull 3X Shares (RETL) is 14.05%, while Direxion Daily Semiconductor Bull 3x Shares (SOXL) has a volatility of 28.88%. This indicates that RETL experiences smaller price fluctuations and is considered to be less risky than SOXL 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
14.05%
28.88%
RETL
SOXL