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SPXE vs. SPXL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPXE and SPXL is 0.84, 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.


-0.50.00.51.00.8

Performance

SPXE vs. SPXL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares S&P 500 Ex-Energy ETF (SPXE) and Direxion Daily S&P 500 Bull 3X Shares (SPXL). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
10.98%
22.39%
SPXE
SPXL

Key characteristics

Sharpe Ratio

SPXE:

2.27

SPXL:

2.01

Sortino Ratio

SPXE:

3.04

SPXL:

2.42

Omega Ratio

SPXE:

1.42

SPXL:

1.34

Calmar Ratio

SPXE:

3.28

SPXL:

2.37

Martin Ratio

SPXE:

14.50

SPXL:

12.00

Ulcer Index

SPXE:

1.97%

SPXL:

6.19%

Daily Std Dev

SPXE:

12.60%

SPXL:

37.07%

Max Drawdown

SPXE:

-32.27%

SPXL:

-76.86%

Current Drawdown

SPXE:

-1.58%

SPXL:

-6.23%

Returns By Period

In the year-to-date period, SPXE achieves a 27.91% return, which is significantly lower than SPXL's 71.76% return.


SPXE

YTD

27.91%

1M

0.73%

6M

10.98%

1Y

28.43%

5Y*

14.94%

10Y*

N/A

SPXL

YTD

71.76%

1M

-0.73%

6M

22.39%

1Y

73.18%

5Y*

22.65%

10Y*

23.81%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SPXE vs. SPXL - Expense Ratio Comparison

SPXE has a 0.27% expense ratio, which is lower than SPXL's 1.02% expense ratio.


SPXL
Direxion Daily S&P 500 Bull 3X Shares
Expense ratio chart for SPXL: current value at 1.02% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.02%
Expense ratio chart for SPXE: current value at 0.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.27%

Risk-Adjusted Performance

SPXE vs. SPXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares S&P 500 Ex-Energy ETF (SPXE) and Direxion Daily S&P 500 Bull 3X Shares (SPXL). 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 SPXE, currently valued at 2.27, compared to the broader market0.002.004.002.272.01
The chart of Sortino ratio for SPXE, currently valued at 3.04, compared to the broader market-2.000.002.004.006.008.0010.003.042.42
The chart of Omega ratio for SPXE, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.421.34
The chart of Calmar ratio for SPXE, currently valued at 3.28, compared to the broader market0.005.0010.0015.003.282.37
The chart of Martin ratio for SPXE, currently valued at 14.50, compared to the broader market0.0020.0040.0060.0080.00100.0014.5012.00
SPXE
SPXL

The current SPXE Sharpe Ratio is 2.27, which is comparable to the SPXL Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of SPXE and SPXL, 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 Ratio1.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.27
2.01
SPXE
SPXL

Dividends

SPXE vs. SPXL - Dividend Comparison

SPXE's dividend yield for the trailing twelve months is around 1.07%, more than SPXL's 0.70% yield.


TTM202320222021202020192018201720162015
SPXE
ProShares S&P 500 Ex-Energy ETF
1.07%1.29%1.49%0.94%1.16%1.38%1.61%1.65%1.53%0.51%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.70%0.98%0.33%0.11%0.22%0.84%1.02%3.88%0.00%0.00%

Drawdowns

SPXE vs. SPXL - Drawdown Comparison

The maximum SPXE drawdown since its inception was -32.27%, smaller than the maximum SPXL drawdown of -76.86%. Use the drawdown chart below to compare losses from any high point for SPXE and SPXL. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.58%
-6.23%
SPXE
SPXL

Volatility

SPXE vs. SPXL - Volatility Comparison

The current volatility for ProShares S&P 500 Ex-Energy ETF (SPXE) is 3.49%, while Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a volatility of 11.56%. This indicates that SPXE experiences smaller price fluctuations and is considered to be less risky than SPXL 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%JulyAugustSeptemberOctoberNovemberDecember
3.49%
11.56%
SPXE
SPXL
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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