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

Performance

SOXS vs. SOXQ - Performance Comparison

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

-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-9.37%
-3.76%
SOXS
SOXQ

Returns By Period

In the year-to-date period, SOXS achieves a -57.41% return, which is significantly lower than SOXQ's 18.60% return.


SOXS

YTD

-57.41%

1M

18.55%

6M

-12.49%

1Y

-68.61%

5Y (annualized)

-76.26%

10Y (annualized)

-65.58%

SOXQ

YTD

18.60%

1M

-5.37%

6M

-2.80%

1Y

30.30%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


SOXSSOXQ
Sharpe Ratio-0.680.93
Sortino Ratio-0.951.39
Omega Ratio0.891.18
Calmar Ratio-0.701.29
Martin Ratio-1.123.35
Ulcer Index62.37%9.65%
Daily Std Dev102.45%34.80%
Max Drawdown-100.00%-46.01%
Current Drawdown-100.00%-16.53%

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SOXS vs. SOXQ - Expense Ratio Comparison

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

Correlation

-0.50.00.51.0-1.0

The correlation between SOXS and SOXQ is -0.99. 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. SOXQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bear 3x Shares (SOXS) and Invesco PHLX Semiconductor ETF (SOXQ). 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 -0.68, compared to the broader market0.002.004.006.00-0.680.93
The chart of Sortino ratio for SOXS, currently valued at -0.95, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.951.39
The chart of Omega ratio for SOXS, currently valued at 0.89, compared to the broader market0.501.001.502.002.503.000.891.18
The chart of Calmar ratio for SOXS, currently valued at -0.72, compared to the broader market0.005.0010.0015.00-0.721.29
The chart of Martin ratio for SOXS, currently valued at -1.12, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.123.35
SOXS
SOXQ

The current SOXS Sharpe Ratio is -0.68, which is lower than the SOXQ Sharpe Ratio of 0.93. The chart below compares the historical Sharpe Ratios of SOXS and SOXQ, 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-1.00-0.500.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
-0.68
0.93
SOXS
SOXQ

Dividends

SOXS vs. SOXQ - Dividend Comparison

SOXS's dividend yield for the trailing twelve months is around 6.75%, more than SOXQ's 0.71% yield.


TTM202320222021202020192018
SOXS
Direxion Daily Semiconductor Bear 3x Shares
6.75%9.21%0.19%0.00%3.55%2.32%0.76%
SOXQ
Invesco PHLX Semiconductor ETF
0.71%0.87%1.36%0.73%0.00%0.00%0.00%

Drawdowns

SOXS vs. SOXQ - Drawdown Comparison

The maximum SOXS drawdown since its inception was -100.00%, which is greater than SOXQ's maximum drawdown of -46.01%. Use the drawdown chart below to compare losses from any high point for SOXS and SOXQ. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-96.94%
-16.53%
SOXS
SOXQ

Volatility

SOXS vs. SOXQ - Volatility Comparison

Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a higher volatility of 26.11% compared to Invesco PHLX Semiconductor ETF (SOXQ) at 9.28%. This indicates that SOXS's price experiences larger fluctuations and is considered to be riskier than SOXQ 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%JuneJulyAugustSeptemberOctoberNovember
26.11%
9.28%
SOXS
SOXQ