SPXL vs. ^NDX
Compare and contrast key facts about Direxion Daily S&P 500 Bull 3X Shares (SPXL) and NASDAQ 100 (^NDX).
SPXL is a passively managed fund by Direxion that tracks the performance of the S&P 500 Index (300%). It was launched on Nov 5, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPXL or ^NDX.
Key characteristics
| SPXL | ^NDX | |
|---|---|---|
| YTD Return | 65.10% | 21.21% |
| 1Y Return | 93.38% | 28.81% |
| 3Y Return (Ann) | 7.95% | 7.76% |
| 5Y Return (Ann) | 24.06% | 19.69% |
| 10Y Return (Ann) | 23.93% | 17.04% |
| Sharpe Ratio | 2.59 | 1.64 |
| Sortino Ratio | 2.97 | 2.22 |
| Omega Ratio | 1.41 | 1.30 |
| Calmar Ratio | 2.45 | 2.13 |
| Martin Ratio | 15.50 | 7.69 |
| Ulcer Index | 6.05% | 3.76% |
| Daily Std Dev | 36.21% | 17.62% |
| Max Drawdown | -76.86% | -82.90% |
| Current Drawdown | -6.65% | -3.42% |
Correlation
The correlation between SPXL and ^NDX is 0.90, 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
SPXL vs. ^NDX - Performance Comparison
In the year-to-date period, SPXL achieves a 65.10% return, which is significantly higher than ^NDX's 21.21% return. Over the past 10 years, SPXL has outperformed ^NDX with an annualized return of 23.93%, while ^NDX has yielded a comparatively lower 17.04% annualized return. 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
SPXL vs. ^NDX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily S&P 500 Bull 3X Shares (SPXL) and NASDAQ 100 (^NDX). 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.
Drawdowns
SPXL vs. ^NDX - Drawdown Comparison
The maximum SPXL drawdown since its inception was -76.86%, smaller than the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for SPXL and ^NDX. For additional features, visit the drawdowns tool.
Volatility
SPXL vs. ^NDX - Volatility Comparison
Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a higher volatility of 12.23% compared to NASDAQ 100 (^NDX) at 5.62%. This indicates that SPXL's price experiences larger fluctuations and is considered to be riskier than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.