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

Correlation

The correlation between SOXL and SOXS is -0.55. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

SOXL vs. SOXS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Semiconductor Bull 3x Shares (SOXL) and Direxion Daily Semiconductor Bear 3x Shares (SOXS). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SOXL:

-0.50

SOXS:

-0.40

Sortino Ratio

SOXL:

-0.25

SOXS:

0.23

Omega Ratio

SOXL:

0.97

SOXS:

1.03

Calmar Ratio

SOXL:

-0.73

SOXS:

-0.51

Martin Ratio

SOXL:

-1.19

SOXS:

-1.31

Ulcer Index

SOXL:

54.31%

SOXS:

38.46%

Daily Std Dev

SOXL:

127.74%

SOXS:

129.42%

Max Drawdown

SOXL:

-90.46%

SOXS:

-100.00%

Current Drawdown

SOXL:

-80.15%

SOXS:

-100.00%

Returns By Period

In the year-to-date period, SOXL achieves a -48.17% return, which is significantly lower than SOXS's -28.21% return. Over the past 10 years, SOXL has outperformed SOXS with an annualized return of 21.27%, while SOXS has yielded a comparatively lower -66.94% annualized return.


SOXL

YTD

-48.17%

1M

10.49%

6M

-59.92%

1Y

-64.32%

5Y*

9.41%

10Y*

21.27%

SOXS

YTD

-28.21%

1M

-22.71%

6M

-15.18%

1Y

-51.05%

5Y*

-72.00%

10Y*

-66.94%

*Annualized

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SOXL vs. SOXS - Expense Ratio Comparison

SOXL has a 0.99% expense ratio, which is lower than SOXS's 1.08% expense ratio.


Risk-Adjusted Performance

SOXL vs. SOXS — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SOXL
The Risk-Adjusted Performance Rank of SOXL is 55
Overall Rank
The Sharpe Ratio Rank of SOXL is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of SOXL is 99
Sortino Ratio Rank
The Omega Ratio Rank of SOXL is 99
Omega Ratio Rank
The Calmar Ratio Rank of SOXL is 00
Calmar Ratio Rank
The Martin Ratio Rank of SOXL is 44
Martin Ratio Rank

SOXS
The Risk-Adjusted Performance Rank of SOXS is 1111
Overall Rank
The Sharpe Ratio Rank of SOXS is 77
Sharpe Ratio Rank
The Sortino Ratio Rank of SOXS is 2222
Sortino Ratio Rank
The Omega Ratio Rank of SOXS is 2222
Omega Ratio Rank
The Calmar Ratio Rank of SOXS is 22
Calmar Ratio Rank
The Martin Ratio Rank of SOXS is 22
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SOXL vs. SOXS - Risk-Adjusted Performance Comparison

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


The current SOXL Sharpe Ratio is -0.50, which is comparable to the SOXS Sharpe Ratio of -0.40. The chart below compares the historical Sharpe Ratios of SOXL and SOXS, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

SOXL vs. SOXS - Dividend Comparison

SOXL's dividend yield for the trailing twelve months is around 2.49%, less than SOXS's 6.22% yield.


TTM20242023202220212020201920182017201620152014
SOXL
Direxion Daily Semiconductor Bull 3x Shares
2.49%1.18%0.51%1.08%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%
SOXS
Direxion Daily Semiconductor Bear 3x Shares
6.22%5.43%9.21%0.19%0.00%3.55%2.32%0.76%0.00%0.00%0.00%0.00%

Drawdowns

SOXL vs. SOXS - Drawdown Comparison

The maximum SOXL drawdown since its inception was -90.46%, smaller than the maximum SOXS drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SOXL and SOXS. For additional features, visit the drawdowns tool.


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Volatility

SOXL vs. SOXS - Volatility Comparison


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