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SPDN vs. VXZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPDN and VXZ is -0.68. 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.


-0.50.00.51.0
Correlation: -0.7

Performance

SPDN vs. VXZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily S&P 500 Bear 1x Shares (SPDN) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ). The values are adjusted to include any dividend payments, if applicable.

-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-53.52%
-6.70%
SPDN
VXZ

Key characteristics

Sharpe Ratio

SPDN:

-0.23

VXZ:

0.38

Sortino Ratio

SPDN:

-0.19

VXZ:

0.92

Omega Ratio

SPDN:

0.97

VXZ:

1.11

Calmar Ratio

SPDN:

-0.06

VXZ:

0.22

Martin Ratio

SPDN:

-0.48

VXZ:

0.94

Ulcer Index

SPDN:

9.31%

VXZ:

15.71%

Daily Std Dev

SPDN:

19.35%

VXZ:

39.32%

Max Drawdown

SPDN:

-70.87%

VXZ:

-69.00%

Current Drawdown

SPDN:

-67.59%

VXZ:

-59.09%

Returns By Period

In the year-to-date period, SPDN achieves a 7.01% return, which is significantly lower than VXZ's 24.66% return.


SPDN

YTD

7.01%

1M

4.00%

6M

6.90%

1Y

-3.30%

5Y*

-12.28%

10Y*

N/A

VXZ

YTD

24.66%

1M

21.55%

6M

21.77%

1Y

16.84%

5Y*

-14.29%

10Y*

N/A

*Annualized

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Risk-Adjusted Performance

SPDN vs. VXZ — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SPDN
The Risk-Adjusted Performance Rank of SPDN is 1313
Overall Rank
The Sharpe Ratio Rank of SPDN is 1212
Sharpe Ratio Rank
The Sortino Ratio Rank of SPDN is 1111
Sortino Ratio Rank
The Omega Ratio Rank of SPDN is 1111
Omega Ratio Rank
The Calmar Ratio Rank of SPDN is 1818
Calmar Ratio Rank
The Martin Ratio Rank of SPDN is 1313
Martin Ratio Rank

VXZ
The Risk-Adjusted Performance Rank of VXZ is 6464
Overall Rank
The Sharpe Ratio Rank of VXZ is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of VXZ is 6565
Sortino Ratio Rank
The Omega Ratio Rank of VXZ is 6262
Omega Ratio Rank
The Calmar Ratio Rank of VXZ is 6363
Calmar Ratio Rank
The Martin Ratio Rank of VXZ is 6464
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SPDN vs. VXZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily S&P 500 Bear 1x Shares (SPDN) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ). 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.


The chart of Sharpe ratio for SPDN, currently valued at -0.23, compared to the broader market-1.000.001.002.003.004.00
SPDN: -0.23
VXZ: 0.38
The chart of Sortino ratio for SPDN, currently valued at -0.19, compared to the broader market-2.000.002.004.006.008.00
SPDN: -0.19
VXZ: 0.92
The chart of Omega ratio for SPDN, currently valued at 0.97, compared to the broader market0.501.001.502.002.50
SPDN: 0.97
VXZ: 1.11
The chart of Calmar ratio for SPDN, currently valued at -0.07, compared to the broader market0.002.004.006.008.0010.0012.00
SPDN: -0.07
VXZ: 0.22
The chart of Martin ratio for SPDN, currently valued at -0.48, compared to the broader market0.0020.0040.0060.00
SPDN: -0.48
VXZ: 0.94

The current SPDN Sharpe Ratio is -0.23, which is lower than the VXZ Sharpe Ratio of 0.38. The chart below compares the historical Sharpe Ratios of SPDN and VXZ, 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-2.00-1.50-1.00-0.500.000.50NovemberDecember2025FebruaryMarchApril
-0.23
0.38
SPDN
VXZ

Dividends

SPDN vs. VXZ - Dividend Comparison

SPDN's dividend yield for the trailing twelve months is around 4.49%, while VXZ has not paid dividends to shareholders.


TTM20242023202220212020201920182017
SPDN
Direxion Daily S&P 500 Bear 1x Shares
4.49%5.32%5.84%0.96%0.00%0.10%1.88%1.24%0.42%
VXZ
iPath Series B S&P 500® VIX Mid-Term Futures ETN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

SPDN vs. VXZ - Drawdown Comparison

The maximum SPDN drawdown since its inception was -70.87%, roughly equal to the maximum VXZ drawdown of -69.00%. Use the drawdown chart below to compare losses from any high point for SPDN and VXZ. For additional features, visit the drawdowns tool.


-68.00%-66.00%-64.00%-62.00%-60.00%-58.00%-56.00%NovemberDecember2025FebruaryMarchApril
-60.54%
-59.09%
SPDN
VXZ

Volatility

SPDN vs. VXZ - Volatility Comparison

The current volatility for Direxion Daily S&P 500 Bear 1x Shares (SPDN) is 14.64%, while iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a volatility of 22.19%. This indicates that SPDN experiences smaller price fluctuations and is considered to be less risky than VXZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
14.64%
22.19%
SPDN
VXZ