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

Performance

SPUU vs. SSO - 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 S&P 500 (SSO). The values are adjusted to include any dividend payments, if applicable.

-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
22.73%
22.50%
SPUU
SSO

Returns By Period

The year-to-date returns for both stocks are quite close, with SPUU having a 46.56% return and SSO slightly lower at 46.05%. Both investments have delivered pretty close results over the past 10 years, with SPUU having a 20.35% annualized return and SSO not far behind at 19.97%.


SPUU

YTD

46.56%

1M

1.70%

6M

20.83%

1Y

61.12%

5Y (annualized)

23.00%

10Y (annualized)

20.35%

SSO

YTD

46.05%

1M

1.66%

6M

20.67%

1Y

60.66%

5Y (annualized)

22.51%

10Y (annualized)

19.97%

Key characteristics


SPUUSSO
Sharpe Ratio2.522.46
Sortino Ratio3.113.05
Omega Ratio1.431.42
Calmar Ratio3.213.05
Martin Ratio15.3115.04
Ulcer Index3.95%3.98%
Daily Std Dev24.01%24.29%
Max Drawdown-59.35%-84.67%
Current Drawdown-2.98%-2.90%

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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%

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.

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.


Sharpe ratio
The chart of Sharpe ratio for SPUU, currently valued at 2.52, compared to the broader market0.002.004.002.522.46
The chart of Sortino ratio for SPUU, currently valued at 3.11, compared to the broader market-2.000.002.004.006.008.0010.0012.003.113.05
The chart of Omega ratio for SPUU, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.42
The chart of Calmar ratio for SPUU, currently valued at 3.21, compared to the broader market0.005.0010.0015.003.213.05
The chart of Martin ratio for SPUU, currently valued at 15.31, compared to the broader market0.0020.0040.0060.0080.00100.0015.3115.04
SPUU
SSO

The current SPUU Sharpe Ratio is 2.52, which is comparable to the SSO Sharpe Ratio of 2.46. 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
2.52
2.46
SPUU
SSO

Dividends

SPUU vs. SSO - Dividend Comparison

SPUU's dividend yield for the trailing twelve months is around 0.67%, less than SSO's 0.70% 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%
SSO
ProShares Ultra S&P 500
0.70%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
-2.98%
-2.90%
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 8.20% and 8.19%, 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
8.20%
8.19%
SPUU
SSO