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

Performance

SOXS vs. QQQ - Performance Comparison

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

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
11.65%
SOXS
QQQ

Returns By Period

In the year-to-date period, SOXS achieves a -58.37% return, which is significantly lower than QQQ's 23.84% return. Over the past 10 years, SOXS has underperformed QQQ with an annualized return of -65.64%, while QQQ has yielded a comparatively higher 18.03% annualized return.


SOXS

YTD

-58.37%

1M

13.96%

6M

-13.10%

1Y

-70.74%

5Y (annualized)

-76.35%

10Y (annualized)

-65.64%

QQQ

YTD

23.84%

1M

1.82%

6M

11.65%

1Y

30.35%

5Y (annualized)

20.97%

10Y (annualized)

18.03%

Key characteristics


SOXSQQQ
Sharpe Ratio-0.691.78
Sortino Ratio-1.002.37
Omega Ratio0.891.32
Calmar Ratio-0.712.28
Martin Ratio-1.138.27
Ulcer Index62.70%3.73%
Daily Std Dev102.33%17.37%
Max Drawdown-100.00%-82.98%
Current Drawdown-100.00%-1.78%

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. QQQ - Expense Ratio Comparison

SOXS has a 1.08% expense ratio, which is higher than QQQ's 0.20% 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 QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.0-0.6

The correlation between SOXS and QQQ is -0.61. 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.

Risk-Adjusted Performance

SOXS vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bear 3x Shares (SOXS) and Invesco QQQ (QQQ). 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 -0.69, compared to the broader market0.002.004.00-0.691.78
The chart of Sortino ratio for SOXS, currently valued at -1.00, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.002.37
The chart of Omega ratio for SOXS, currently valued at 0.89, compared to the broader market0.501.001.502.002.503.000.891.32
The chart of Calmar ratio for SOXS, currently valued at -0.71, compared to the broader market0.005.0010.0015.00-0.712.28
The chart of Martin ratio for SOXS, currently valued at -1.13, compared to the broader market0.0020.0040.0060.0080.00100.00-1.138.27
SOXS
QQQ

The current SOXS Sharpe Ratio is -0.69, which is lower than the QQQ Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of SOXS and QQQ, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.69
1.78
SOXS
QQQ

Dividends

SOXS vs. QQQ - Dividend Comparison

SOXS's dividend yield for the trailing twelve months is around 6.91%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
SOXS
Direxion Daily Semiconductor Bear 3x Shares
6.91%9.21%0.19%0.00%3.55%2.32%0.76%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.60%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

SOXS vs. QQQ - Drawdown Comparison

The maximum SOXS drawdown since its inception was -100.00%, which is greater than QQQ's maximum drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for SOXS and QQQ. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-1.78%
SOXS
QQQ

Volatility

SOXS vs. QQQ - Volatility Comparison

Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a higher volatility of 26.75% compared to Invesco QQQ (QQQ) at 5.41%. This indicates that SOXS's price experiences larger fluctuations and is considered to be riskier than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
26.75%
5.41%
SOXS
QQQ