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

Key characteristics


SOXSQQQ
YTD Return-61.92%25.79%
1Y Return-77.12%36.91%
3Y Return (Ann)-61.99%9.89%
5Y Return (Ann)-76.50%21.42%
10Y Return (Ann)-65.96%18.39%
Sharpe Ratio-0.752.11
Sortino Ratio-1.282.78
Omega Ratio0.861.38
Calmar Ratio-0.772.69
Martin Ratio-1.199.81
Ulcer Index64.34%3.72%
Daily Std Dev102.23%17.32%
Max Drawdown-100.00%-82.98%
Current Drawdown-100.00%-0.24%

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.

Performance

SOXS vs. QQQ - Performance Comparison

In the year-to-date period, SOXS achieves a -61.92% return, which is significantly lower than QQQ's 25.79% return. Over the past 10 years, SOXS has underperformed QQQ with an annualized return of -65.96%, while QQQ has yielded a comparatively higher 18.39% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
15.37%
SOXS
QQQ

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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%

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.


SOXS
Sharpe ratio
The chart of Sharpe ratio for SOXS, currently valued at -0.75, compared to the broader market-2.000.002.004.006.00-0.75
Sortino ratio
The chart of Sortino ratio for SOXS, currently valued at -1.28, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.28
Omega ratio
The chart of Omega ratio for SOXS, currently valued at 0.86, compared to the broader market1.001.502.002.503.000.86
Calmar ratio
The chart of Calmar ratio for SOXS, currently valued at -0.77, compared to the broader market0.005.0010.0015.00-0.77
Martin ratio
The chart of Martin ratio for SOXS, currently valued at -1.19, compared to the broader market0.0020.0040.0060.0080.00100.00-1.19
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.11, compared to the broader market-2.000.002.004.006.002.11
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.78, compared to the broader market-2.000.002.004.006.008.0010.0012.002.78
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.69, compared to the broader market0.005.0010.0015.002.69
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.81, compared to the broader market0.0020.0040.0060.0080.00100.009.81

SOXS vs. QQQ - Sharpe Ratio Comparison

The current SOXS Sharpe Ratio is -0.75, which is lower than the QQQ Sharpe Ratio of 2.11. 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
-0.75
2.11
SOXS
QQQ

Dividends

SOXS vs. QQQ - Dividend Comparison

SOXS's dividend yield for the trailing twelve months is around 7.55%, more than QQQ's 0.59% yield.


TTM20232022202120202019201820172016201520142013
SOXS
Direxion Daily Semiconductor Bear 3x Shares
7.55%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
0.59%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%
-0.24%
SOXS
QQQ

Volatility

SOXS vs. QQQ - Volatility Comparison

Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a higher volatility of 27.35% compared to Invesco QQQ (QQQ) at 5.14%. 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
27.35%
5.14%
SOXS
QQQ