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

Performance

SOXS vs. SQQQ - Performance Comparison

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

-100.00%-100.00%-100.00%-99.99%-99.99%-99.99%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-100.00%
SOXS
SQQQ

Returns By Period

In the year-to-date period, SOXS achieves a -58.37% return, which is significantly lower than SQQQ's -48.41% return. Over the past 10 years, SOXS has underperformed SQQQ with an annualized return of -65.64%, while SQQQ has yielded a comparatively higher -52.04% annualized return.


SOXS

YTD

-58.37%

1M

13.96%

6M

-13.10%

1Y

-70.74%

5Y (annualized)

-76.35%

10Y (annualized)

-65.64%

SQQQ

YTD

-48.41%

1M

-5.54%

6M

-30.82%

1Y

-55.19%

5Y (annualized)

-59.36%

10Y (annualized)

-52.04%

Key characteristics


SOXSSQQQ
Sharpe Ratio-0.69-1.07
Sortino Ratio-1.00-1.82
Omega Ratio0.890.80
Calmar Ratio-0.71-0.56
Martin Ratio-1.13-1.42
Ulcer Index62.70%39.13%
Daily Std Dev102.33%52.11%
Max Drawdown-100.00%-100.00%
Current Drawdown-100.00%-100.00%

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SOXS vs. SQQQ - Expense Ratio Comparison

SOXS has a 1.08% expense ratio, which is higher than SQQQ'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 SQQQ: 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%

Correlation

-0.50.00.51.00.6

The correlation between SOXS and SQQQ is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

SOXS vs. SQQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bear 3x Shares (SOXS) and ProShares UltraPro Short QQQ (SQQQ). 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 market0.002.004.00-0.69-1.07
The chart of Sortino ratio for SOXS, currently valued at -1.00, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.00-1.82
The chart of Omega ratio for SOXS, currently valued at 0.89, compared to the broader market0.501.001.502.002.503.000.890.80
The chart of Calmar ratio for SOXS, currently valued at -0.71, compared to the broader market0.005.0010.0015.00-0.71-0.56
The chart of Martin ratio for SOXS, currently valued at -1.13, compared to the broader market0.0020.0040.0060.0080.00100.00-1.13-1.42
SOXS
SQQQ

The current SOXS Sharpe Ratio is -0.69, which is higher than the SQQQ Sharpe Ratio of -1.07. The chart below compares the historical Sharpe Ratios of SOXS and SQQQ, 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-1.40-1.20-1.00-0.80-0.60JuneJulyAugustSeptemberOctoberNovember
-0.69
-1.07
SOXS
SQQQ

Dividends

SOXS vs. SQQQ - Dividend Comparison

SOXS's dividend yield for the trailing twelve months is around 6.91%, less than SQQQ's 11.33% yield.


TTM2023202220212020201920182017
SOXS
Direxion Daily Semiconductor Bear 3x Shares
6.91%9.21%0.19%0.00%3.55%2.32%0.76%0.00%
SQQQ
ProShares UltraPro Short QQQ
11.33%8.01%0.28%0.00%2.15%2.92%1.47%0.14%

Drawdowns

SOXS vs. SQQQ - Drawdown Comparison

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


-100.00%-100.00%-100.00%-99.99%-99.99%-99.99%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-100.00%
SOXS
SQQQ

Volatility

SOXS vs. SQQQ - Volatility Comparison

Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a higher volatility of 26.75% compared to ProShares UltraPro Short QQQ (SQQQ) at 16.14%. This indicates that SOXS's price experiences larger fluctuations and is considered to be riskier than SQQQ 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
26.75%
16.14%
SOXS
SQQQ