PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SPXL vs. ^NDX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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.


-0.50.00.51.00.9

Performance

SPXL vs. ^NDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily S&P 500 Bull 3X Shares (SPXL) and NASDAQ 100 (^NDX). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%30.00%JulyAugustSeptemberOctoberNovemberDecember
14.57%
6.88%
SPXL
^NDX

Key characteristics

Sharpe Ratio

SPXL:

1.77

^NDX:

1.41

Sortino Ratio

SPXL:

2.21

^NDX:

1.92

Omega Ratio

SPXL:

1.30

^NDX:

1.26

Calmar Ratio

SPXL:

2.10

^NDX:

1.88

Martin Ratio

SPXL:

10.75

^NDX:

6.74

Ulcer Index

SPXL:

6.12%

^NDX:

3.80%

Daily Std Dev

SPXL:

37.22%

^NDX:

18.13%

Max Drawdown

SPXL:

-76.86%

^NDX:

-82.90%

Current Drawdown

SPXL:

-10.83%

^NDX:

-4.46%

Returns By Period

In the year-to-date period, SPXL achieves a 63.33% return, which is significantly higher than ^NDX's 25.46% return. Over the past 10 years, SPXL has outperformed ^NDX with an annualized return of 23.52%, while ^NDX has yielded a comparatively lower 17.30% annualized return.


SPXL

YTD

63.33%

1M

-2.29%

6M

13.62%

1Y

62.99%

5Y*

21.49%

10Y*

23.52%

^NDX

YTD

25.46%

1M

2.06%

6M

6.88%

1Y

27.52%

5Y*

19.51%

10Y*

17.30%

Compare stocks, funds, or ETFs

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


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.


Sharpe ratio
The chart of Sharpe ratio for SPXL, currently valued at 1.69, compared to the broader market0.002.004.001.691.41
The chart of Sortino ratio for SPXL, currently valued at 2.14, compared to the broader market-2.000.002.004.006.008.0010.002.141.92
The chart of Omega ratio for SPXL, currently valued at 1.29, compared to the broader market0.501.001.502.002.503.001.291.26
The chart of Calmar ratio for SPXL, currently valued at 2.01, compared to the broader market0.005.0010.0015.002.011.88
The chart of Martin ratio for SPXL, currently valued at 10.24, compared to the broader market0.0020.0040.0060.0080.00100.0010.246.74
SPXL
^NDX

The current SPXL Sharpe Ratio is 1.77, which is comparable to the ^NDX Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of SPXL and ^NDX, 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
1.69
1.41
SPXL
^NDX

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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.83%
-4.46%
SPXL
^NDX

Volatility

SPXL vs. ^NDX - Volatility Comparison

Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a higher volatility of 10.97% compared to NASDAQ 100 (^NDX) at 5.30%. 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.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.97%
5.30%
SPXL
^NDX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab