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

Key characteristics


SPUUSSO
YTD Return50.28%49.61%
1Y Return68.56%67.69%
3Y Return (Ann)12.05%11.48%
5Y Return (Ann)23.50%22.95%
10Y Return (Ann)20.97%20.54%
Sharpe Ratio3.113.04
Sortino Ratio3.713.63
Omega Ratio1.521.51
Calmar Ratio3.663.51
Martin Ratio19.0918.74
Ulcer Index3.92%3.95%
Daily Std Dev24.08%24.37%
Max Drawdown-59.35%-84.67%
Current Drawdown-0.52%-0.53%

Correlation

-0.50.00.51.01.0

The correlation between SPUU and SSO is 0.97, 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.

Performance

SPUU vs. SSO - Performance Comparison

The year-to-date returns for both stocks are quite close, with SPUU having a 50.28% return and SSO slightly lower at 49.61%. Both investments have delivered pretty close results over the past 10 years, with SPUU having a 20.97% annualized return and SSO not far behind at 20.54%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
23.77%
23.46%
SPUU
SSO

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SPUU vs. SSO - Expense Ratio Comparison

SPUU has a 0.64% expense ratio, which is lower than SSO's 0.90% expense ratio.


SSO
ProShares Ultra S&P 500
Expense ratio chart for SSO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
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%

Risk-Adjusted Performance

SPUU vs. SSO - 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 S&P 500 (SSO). 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.


SPUU
Sharpe ratio
The chart of Sharpe ratio for SPUU, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Sortino ratio
The chart of Sortino ratio for SPUU, currently valued at 3.71, compared to the broader market-2.000.002.004.006.008.0010.0012.003.71
Omega ratio
The chart of Omega ratio for SPUU, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for SPUU, currently valued at 3.66, compared to the broader market0.005.0010.0015.003.66
Martin ratio
The chart of Martin ratio for SPUU, currently valued at 19.09, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.09
SSO
Sharpe ratio
The chart of Sharpe ratio for SSO, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
Sortino ratio
The chart of Sortino ratio for SSO, currently valued at 3.63, compared to the broader market-2.000.002.004.006.008.0010.0012.003.63
Omega ratio
The chart of Omega ratio for SSO, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for SSO, currently valued at 3.51, compared to the broader market0.005.0010.0015.003.51
Martin ratio
The chart of Martin ratio for SSO, currently valued at 18.74, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.74

SPUU vs. SSO - Sharpe Ratio Comparison

The current SPUU Sharpe Ratio is 3.11, which is comparable to the SSO Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of SPUU and SSO, 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 Ratio1.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
3.11
3.04
SPUU
SSO

Dividends

SPUU vs. SSO - Dividend Comparison

SPUU's dividend yield for the trailing twelve months is around 0.66%, less than SSO's 0.68% yield.


TTM20232022202120202019201820172016201520142013
SPUU
Direxion Daily S&P 500 Bull 2x Shares
0.66%0.83%0.88%3.04%8.03%1.80%5.50%6.96%8.08%1.26%0.00%0.00%
SSO
ProShares Ultra S&P 500
0.68%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.51%0.63%0.32%0.26%

Drawdowns

SPUU vs. SSO - Drawdown Comparison

The maximum SPUU drawdown since its inception was -59.35%, smaller than the maximum SSO drawdown of -84.67%. Use the drawdown chart below to compare losses from any high point for SPUU and SSO. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.52%
-0.53%
SPUU
SSO

Volatility

SPUU vs. SSO - Volatility Comparison

Direxion Daily S&P 500 Bull 2x Shares (SPUU) and ProShares Ultra S&P 500 (SSO) have volatilities of 7.54% and 7.53%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
7.54%
7.53%
SPUU
SSO