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

Key characteristics


RETLTQQQ
YTD Return8.48%64.96%
1Y Return89.80%119.79%
3Y Return (Ann)-42.65%0.92%
5Y Return (Ann)0.11%36.02%
10Y Return (Ann)2.65%36.15%
Sharpe Ratio1.222.20
Sortino Ratio1.912.54
Omega Ratio1.221.34
Calmar Ratio0.882.04
Martin Ratio4.889.24
Ulcer Index16.29%12.40%
Daily Std Dev65.17%52.07%
Max Drawdown-91.51%-81.66%
Current Drawdown-81.92%-3.47%

Correlation

-0.50.00.51.00.6

The correlation between RETL and TQQQ is 0.59, 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. TQQQ - Performance Comparison

In the year-to-date period, RETL achieves a 8.48% return, which is significantly lower than TQQQ's 64.96% return. Over the past 10 years, RETL has underperformed TQQQ with an annualized return of 2.65%, while TQQQ has yielded a comparatively higher 36.15% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
7.88%
40.84%
RETL
TQQQ

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RETL vs. TQQQ - Expense Ratio Comparison

RETL has a 0.99% expense ratio, which is higher than TQQQ's 0.95% expense ratio.


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 TQQQ: 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%

Risk-Adjusted Performance

RETL vs. TQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Retail Bull 3X Shares (RETL) and ProShares UltraPro QQQ (TQQQ). 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
TQQQ
Sharpe ratio
The chart of Sharpe ratio for TQQQ, currently valued at 2.20, compared to the broader market-2.000.002.004.002.20
Sortino ratio
The chart of Sortino ratio for TQQQ, currently valued at 2.54, compared to the broader market-2.000.002.004.006.008.0010.0012.002.54
Omega ratio
The chart of Omega ratio for TQQQ, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for TQQQ, currently valued at 2.04, compared to the broader market0.005.0010.0015.002.04
Martin ratio
The chart of Martin ratio for TQQQ, currently valued at 9.24, compared to the broader market0.0020.0040.0060.0080.00100.009.24

RETL vs. TQQQ - Sharpe Ratio Comparison

The current RETL Sharpe Ratio is 1.22, which is lower than the TQQQ Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of RETL and TQQQ, 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-0.500.000.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.22
2.20
RETL
TQQQ

Dividends

RETL vs. TQQQ - Dividend Comparison

RETL's dividend yield for the trailing twelve months is around 1.22%, more than TQQQ's 1.15% 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%
TQQQ
ProShares UltraPro QQQ
1.15%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%

Drawdowns

RETL vs. TQQQ - Drawdown Comparison

The maximum RETL drawdown since its inception was -91.51%, which is greater than TQQQ's maximum drawdown of -81.66%. Use the drawdown chart below to compare losses from any high point for RETL and TQQQ. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-81.92%
-3.47%
RETL
TQQQ

Volatility

RETL vs. TQQQ - Volatility Comparison

The current volatility for Direxion Daily Retail Bull 3X Shares (RETL) is 14.05%, while ProShares UltraPro QQQ (TQQQ) has a volatility of 15.47%. This indicates that RETL experiences smaller price fluctuations and is considered to be less risky than TQQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
14.05%
15.47%
RETL
TQQQ