SPDN vs. VXZ
Compare and contrast key facts about Direxion Daily S&P 500 Bear 1x Shares (SPDN) and iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ).
SPDN is a passively managed fund by Direxion that tracks the performance of the S&P 500 Index. It was launched on Jun 8, 2016. VXZ is a passively managed fund by Barclays Capital that tracks the performance of the S&P 500 VIX Mid-Term Futures Index Total Return. It was launched on Jan 17, 2018. Both SPDN and VXZ are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPDN or VXZ.
Key characteristics
| SPDN | VXZ | |
|---|---|---|
| YTD Return | -15.37% | -15.88% |
| 1Y Return | -22.34% | -24.49% |
| 3Y Return (Ann) | -5.89% | -22.02% |
| 5Y Return (Ann) | -14.02% | -8.33% |
| Sharpe Ratio | -1.76 | -0.75 |
| Sortino Ratio | -2.57 | -1.10 |
| Omega Ratio | 0.72 | 0.88 |
| Calmar Ratio | -0.31 | -0.33 |
| Martin Ratio | -1.50 | -1.28 |
| Ulcer Index | 14.48% | 17.60% |
| Daily Std Dev | 12.33% | 30.07% |
| Max Drawdown | -70.57% | -68.91% |
| Current Drawdown | -70.57% | -68.40% |
Correlation
The correlation between SPDN and VXZ is 0.66, 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.
Performance
SPDN vs. VXZ - Performance Comparison
The year-to-date returns for both stocks are quite close, with SPDN having a -15.37% return and VXZ slightly lower at -15.88%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
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.
Dividends
SPDN vs. VXZ - Dividend Comparison
SPDN's dividend yield for the trailing twelve months is around 6.10%, while VXZ has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
SPDN Direxion Daily S&P 500 Bear 1x Shares | 6.10% | 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% |
Drawdowns
SPDN vs. VXZ - Drawdown Comparison
The maximum SPDN drawdown since its inception was -70.57%, roughly equal to the maximum VXZ drawdown of -68.91%. Use the drawdown chart below to compare losses from any high point for SPDN and VXZ. For additional features, visit the drawdowns tool.
Volatility
SPDN vs. VXZ - Volatility Comparison
The current volatility for Direxion Daily S&P 500 Bear 1x Shares (SPDN) is 3.95%, while iPath Series B S&P 500® VIX Mid-Term Futures ETN (VXZ) has a volatility of 8.58%. 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.