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

Correlation

The correlation between SPXN and SPXL is 0.81, 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

SPXN vs. SPXL - Performance Comparison

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

200.00%400.00%600.00%800.00%1,000.00%JulyAugustSeptemberOctoberNovemberDecember
269.59%
968.00%
SPXN
SPXL

Key characteristics

Sharpe Ratio

SPXN:

2.08

SPXL:

2.04

Sortino Ratio

SPXN:

2.77

SPXL:

2.45

Omega Ratio

SPXN:

1.38

SPXL:

1.34

Calmar Ratio

SPXN:

2.96

SPXL:

2.41

Martin Ratio

SPXN:

12.78

SPXL:

12.24

Ulcer Index

SPXN:

2.14%

SPXL:

6.18%

Daily Std Dev

SPXN:

13.16%

SPXL:

37.04%

Max Drawdown

SPXN:

-32.10%

SPXL:

-76.86%

Current Drawdown

SPXN:

-2.49%

SPXL:

-8.08%

Returns By Period

In the year-to-date period, SPXN achieves a 25.50% return, which is significantly lower than SPXL's 68.38% return.


SPXN

YTD

25.50%

1M

0.40%

6M

7.64%

1Y

25.86%

5Y*

15.31%

10Y*

N/A

SPXL

YTD

68.38%

1M

-1.82%

6M

18.95%

1Y

69.76%

5Y*

22.17%

10Y*

23.67%

Compare stocks, funds, or ETFs

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


SPXN vs. SPXL - Expense Ratio Comparison

SPXN 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 SPXN: 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

SPXN vs. SPXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares S&P 500 Ex-Financials ETF (SPXN) 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 SPXN, currently valued at 2.08, compared to the broader market0.002.004.002.082.04
The chart of Sortino ratio for SPXN, currently valued at 2.77, compared to the broader market-2.000.002.004.006.008.0010.002.772.45
The chart of Omega ratio for SPXN, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.34
The chart of Calmar ratio for SPXN, currently valued at 2.96, compared to the broader market0.005.0010.0015.002.962.41
The chart of Martin ratio for SPXN, currently valued at 12.78, compared to the broader market0.0020.0040.0060.0080.00100.0012.7812.24
SPXN
SPXL

The current SPXN Sharpe Ratio is 2.08, which is comparable to the SPXL Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of SPXN 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
2.08
2.04
SPXN
SPXL

Dividends

SPXN vs. SPXL - Dividend Comparison

SPXN's dividend yield for the trailing twelve months is around 0.79%, more than SPXL's 0.53% yield.


TTM202320222021202020192018201720162015
SPXN
ProShares S&P 500 Ex-Financials ETF
0.79%1.19%1.35%0.94%1.09%1.41%1.76%1.54%2.60%0.52%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.53%0.98%0.33%0.11%0.22%0.84%1.02%3.88%0.00%0.00%

Drawdowns

SPXN vs. SPXL - Drawdown Comparison

The maximum SPXN drawdown since its inception was -32.10%, smaller than the maximum SPXL drawdown of -76.86%. Use the drawdown chart below to compare losses from any high point for SPXN and SPXL. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.49%
-8.08%
SPXN
SPXL

Volatility

SPXN vs. SPXL - Volatility Comparison

The current volatility for ProShares S&P 500 Ex-Financials ETF (SPXN) is 3.59%, while Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a volatility of 11.49%. This indicates that SPXN 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
3.59%
11.49%
SPXN
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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