PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SOXS vs. FNGD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SOXS and FNGD is 0.77, 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.


-0.50.00.51.00.8

Performance

SOXS vs. FNGD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Semiconductor Bear 3x Shares (SOXS) and MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD). The values are adjusted to include any dividend payments, if applicable.

-99.99%-99.99%-99.98%-99.98%-99.97%JulyAugustSeptemberOctoberNovemberDecember
-99.98%
-99.99%
SOXS
FNGD

Key characteristics

Sharpe Ratio

SOXS:

-0.59

FNGD:

-1.04

Sortino Ratio

SOXS:

-0.58

FNGD:

-2.17

Omega Ratio

SOXS:

0.94

FNGD:

0.77

Calmar Ratio

SOXS:

-0.61

FNGD:

-0.76

Martin Ratio

SOXS:

-1.07

FNGD:

-1.36

Ulcer Index

SOXS:

57.36%

FNGD:

55.94%

Daily Std Dev

SOXS:

103.54%

FNGD:

73.60%

Max Drawdown

SOXS:

-100.00%

FNGD:

-99.99%

Current Drawdown

SOXS:

-100.00%

FNGD:

-99.99%

Returns By Period

In the year-to-date period, SOXS achieves a -59.17% return, which is significantly higher than FNGD's -76.38% return.


SOXS

YTD

-59.17%

1M

-4.65%

6M

18.40%

1Y

-60.69%

5Y*

-75.01%

10Y*

-65.71%

FNGD

YTD

-76.38%

1M

-20.95%

6M

-43.91%

1Y

-75.84%

5Y*

-77.33%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SOXS vs. FNGD - Expense Ratio Comparison

SOXS has a 1.08% expense ratio, which is higher than FNGD's 0.95% expense ratio.


SOXS
Direxion Daily Semiconductor Bear 3x Shares
Expense ratio chart for SOXS: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
Expense ratio chart for FNGD: 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

SOXS vs. FNGD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bear 3x Shares (SOXS) and MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD). 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 SOXS, currently valued at -0.59, compared to the broader market0.002.004.00-0.59-1.04
The chart of Sortino ratio for SOXS, currently valued at -0.58, compared to the broader market-2.000.002.004.006.008.0010.00-0.58-2.17
The chart of Omega ratio for SOXS, currently valued at 0.94, compared to the broader market0.501.001.502.002.503.000.940.77
The chart of Calmar ratio for SOXS, currently valued at -0.61, compared to the broader market0.005.0010.0015.00-0.61-0.76
The chart of Martin ratio for SOXS, currently valued at -1.07, compared to the broader market0.0020.0040.0060.0080.00100.00-1.07-1.36
SOXS
FNGD

The current SOXS Sharpe Ratio is -0.59, which is higher than the FNGD Sharpe Ratio of -1.04. The chart below compares the historical Sharpe Ratios of SOXS and FNGD, 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-1.20-1.10-1.00-0.90-0.80-0.70-0.60JulyAugustSeptemberOctoberNovemberDecember
-0.59
-1.04
SOXS
FNGD

Dividends

SOXS vs. FNGD - Dividend Comparison

SOXS's dividend yield for the trailing twelve months is around 7.05%, while FNGD has not paid dividends to shareholders.


TTM202320222021202020192018
SOXS
Direxion Daily Semiconductor Bear 3x Shares
7.05%9.21%0.19%0.00%3.55%2.32%0.76%
FNGD
MicroSectors FANG+™ Index -3X Inverse Leveraged ETN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SOXS vs. FNGD - Drawdown Comparison

The maximum SOXS drawdown since its inception was -100.00%, roughly equal to the maximum FNGD drawdown of -99.99%. Use the drawdown chart below to compare losses from any high point for SOXS and FNGD. For additional features, visit the drawdowns tool.


-99.99%-99.99%-99.98%-99.98%-99.97%JulyAugustSeptemberOctoberNovemberDecember
-99.99%
-99.99%
SOXS
FNGD

Volatility

SOXS vs. FNGD - Volatility Comparison

Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a higher volatility of 24.34% compared to MicroSectors FANG+™ Index -3X Inverse Leveraged ETN (FNGD) at 21.92%. This indicates that SOXS's price experiences larger fluctuations and is considered to be riskier than FNGD 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%JulyAugustSeptemberOctoberNovemberDecember
24.34%
21.92%
SOXS
FNGD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab