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SPUU vs. DDM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SPUU vs. DDM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily S&P 500 Bull 2x Shares (SPUU) and ProShares Ultra Dow30 (DDM). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
20.10%
14.89%
SPUU
DDM

Returns By Period

In the year-to-date period, SPUU achieves a 46.58% return, which is significantly higher than DDM's 26.39% return. Over the past 10 years, SPUU has outperformed DDM with an annualized return of 20.37%, while DDM has yielded a comparatively lower 17.07% annualized return.


SPUU

YTD

46.58%

1M

1.33%

6M

20.10%

1Y

60.51%

5Y (annualized)

23.11%

10Y (annualized)

20.37%

DDM

YTD

26.39%

1M

-0.41%

6M

14.89%

1Y

44.63%

5Y (annualized)

14.20%

10Y (annualized)

17.07%

Key characteristics


SPUUDDM
Sharpe Ratio2.622.11
Sortino Ratio3.202.83
Omega Ratio1.441.37
Calmar Ratio3.343.09
Martin Ratio15.9511.33
Ulcer Index3.95%4.09%
Daily Std Dev24.05%21.97%
Max Drawdown-59.35%-81.70%
Current Drawdown-2.97%-4.55%

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SPUU vs. DDM - Expense Ratio Comparison

SPUU has a 0.64% expense ratio, which is lower than DDM's 0.95% expense ratio.


DDM
ProShares Ultra Dow30
Expense ratio chart for DDM: 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%
Expense ratio chart for SPUU: current value at 0.64% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.64%

Correlation

-0.50.00.51.00.9

The correlation between SPUU and DDM is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Risk-Adjusted Performance

SPUU vs. DDM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily S&P 500 Bull 2x Shares (SPUU) and ProShares Ultra Dow30 (DDM). 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 SPUU, currently valued at 2.62, compared to the broader market0.002.004.006.002.622.11
The chart of Sortino ratio for SPUU, currently valued at 3.20, compared to the broader market-2.000.002.004.006.008.0010.0012.003.202.83
The chart of Omega ratio for SPUU, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.001.441.37
The chart of Calmar ratio for SPUU, currently valued at 3.34, compared to the broader market0.005.0010.0015.003.343.09
The chart of Martin ratio for SPUU, currently valued at 15.95, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.9511.33
SPUU
DDM

The current SPUU Sharpe Ratio is 2.62, which is comparable to the DDM Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of SPUU and DDM, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
2.62
2.11
SPUU
DDM

Dividends

SPUU vs. DDM - Dividend Comparison

SPUU's dividend yield for the trailing twelve months is around 0.67%, less than DDM's 1.01% yield.


TTM20232022202120202019201820172016201520142013
SPUU
Direxion Daily S&P 500 Bull 2x Shares
0.67%0.83%0.88%3.04%8.03%1.80%5.50%6.96%8.08%1.26%0.00%0.00%
DDM
ProShares Ultra Dow30
1.01%0.27%0.83%0.18%0.31%0.62%0.89%0.68%1.69%1.23%0.78%0.39%

Drawdowns

SPUU vs. DDM - Drawdown Comparison

The maximum SPUU drawdown since its inception was -59.35%, smaller than the maximum DDM drawdown of -81.70%. Use the drawdown chart below to compare losses from any high point for SPUU and DDM. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.97%
-4.55%
SPUU
DDM

Volatility

SPUU vs. DDM - Volatility Comparison

The current volatility for Direxion Daily S&P 500 Bull 2x Shares (SPUU) is 8.20%, while ProShares Ultra Dow30 (DDM) has a volatility of 8.89%. This indicates that SPUU experiences smaller price fluctuations and is considered to be less risky than DDM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
8.20%
8.89%
SPUU
DDM