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

Correlation

The correlation between SOXL and SPY is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 0.8

Performance

SOXL vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Semiconductor Bull 3x Shares (SOXL) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%NovemberDecember2025FebruaryMarchApril
1,890.38%
525.70%
SOXL
SPY

Key characteristics

Sharpe Ratio

SOXL:

-0.48

SPY:

0.54

Sortino Ratio

SOXL:

-0.16

SPY:

0.89

Omega Ratio

SOXL:

0.98

SPY:

1.13

Calmar Ratio

SOXL:

-0.70

SPY:

0.58

Martin Ratio

SOXL:

-1.21

SPY:

2.39

Ulcer Index

SOXL:

51.61%

SPY:

4.51%

Daily Std Dev

SOXL:

128.41%

SPY:

20.07%

Max Drawdown

SOXL:

-90.46%

SPY:

-55.19%

Current Drawdown

SOXL:

-83.12%

SPY:

-10.54%

Returns By Period

In the year-to-date period, SOXL achieves a -55.92% return, which is significantly lower than SPY's -6.44% return. Over the past 10 years, SOXL has outperformed SPY with an annualized return of 19.30%, while SPY has yielded a comparatively lower 11.95% annualized return.


SOXL

YTD

-55.92%

1M

-41.61%

6M

-64.80%

1Y

-65.83%

5Y*

8.19%

10Y*

19.30%

SPY

YTD

-6.44%

1M

-5.00%

6M

-5.02%

1Y

9.54%

5Y*

15.80%

10Y*

11.95%

*Annualized

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SOXL vs. SPY - Expense Ratio Comparison

SOXL has a 0.99% expense ratio, which is higher than SPY's 0.09% expense ratio.


Expense ratio chart for SOXL: current value is 0.99%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SOXL: 0.99%
Expense ratio chart for SPY: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
SPY: 0.09%

Risk-Adjusted Performance

SOXL vs. SPY — 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 77
Overall Rank
The Sharpe Ratio Rank of SOXL is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of SOXL is 1212
Sortino Ratio Rank
The Omega Ratio Rank of SOXL is 1212
Omega Ratio Rank
The Calmar Ratio Rank of SOXL is 11
Calmar Ratio Rank
The Martin Ratio Rank of SOXL is 55
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6565
Overall Rank
The Sharpe Ratio Rank of SPY is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6464
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6565
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6969
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6767
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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bull 3x Shares (SOXL) and SPDR S&P 500 ETF (SPY). 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 chart of Sharpe ratio for SOXL, currently valued at -0.48, compared to the broader market-1.000.001.002.003.004.00
SOXL: -0.48
SPY: 0.54
The chart of Sortino ratio for SOXL, currently valued at -0.16, compared to the broader market-2.000.002.004.006.008.00
SOXL: -0.16
SPY: 0.89
The chart of Omega ratio for SOXL, currently valued at 0.98, compared to the broader market0.501.001.502.00
SOXL: 0.98
SPY: 1.13
The chart of Calmar ratio for SOXL, currently valued at -0.70, compared to the broader market0.002.004.006.008.0010.0012.00
SOXL: -0.70
SPY: 0.58
The chart of Martin ratio for SOXL, currently valued at -1.21, compared to the broader market0.0020.0040.0060.00
SOXL: -1.21
SPY: 2.39

The current SOXL Sharpe Ratio is -0.48, which is lower than the SPY Sharpe Ratio of 0.54. The chart below compares the historical Sharpe Ratios of SOXL and SPY, 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-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
-0.48
0.54
SOXL
SPY

Dividends

SOXL vs. SPY - Dividend Comparison

SOXL's dividend yield for the trailing twelve months is around 2.92%, more than SPY's 1.31% yield.


TTM20242023202220212020201920182017201620152014
SOXL
Direxion Daily Semiconductor Bull 3x Shares
2.92%1.18%0.51%1.08%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.31%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

SOXL vs. SPY - Drawdown Comparison

The maximum SOXL drawdown since its inception was -90.46%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SOXL and SPY. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2025FebruaryMarchApril
-83.12%
-10.54%
SOXL
SPY

Volatility

SOXL vs. SPY - Volatility Comparison

Direxion Daily Semiconductor Bull 3x Shares (SOXL) has a higher volatility of 76.13% compared to SPDR S&P 500 ETF (SPY) at 15.13%. This indicates that SOXL's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%20.00%40.00%60.00%80.00%NovemberDecember2025FebruaryMarchApril
76.13%
15.13%
SOXL
SPY