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SQQQ vs. SOXS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SQQQ vs. SOXS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraPro Short QQQ (SQQQ) and Direxion Daily Semiconductor Bear 3x Shares (SOXS). The values are adjusted to include any dividend payments, if applicable.

-100.00%-100.00%-100.00%-99.99%-99.99%-99.99%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-100.00%
SQQQ
SOXS

Returns By Period

In the year-to-date period, SQQQ achieves a -47.95% return, which is significantly higher than SOXS's -57.41% return. Over the past 10 years, SQQQ has outperformed SOXS with an annualized return of -52.13%, while SOXS has yielded a comparatively lower -65.58% annualized return.


SQQQ

YTD

-47.95%

1M

-5.50%

6M

-28.98%

1Y

-54.47%

5Y (annualized)

-59.34%

10Y (annualized)

-52.13%

SOXS

YTD

-57.41%

1M

18.55%

6M

-12.49%

1Y

-68.61%

5Y (annualized)

-76.26%

10Y (annualized)

-65.58%

Key characteristics


SQQQSOXS
Sharpe Ratio-1.07-0.68
Sortino Ratio-1.83-0.95
Omega Ratio0.800.89
Calmar Ratio-0.56-0.70
Martin Ratio-1.45-1.12
Ulcer Index38.80%62.37%
Daily Std Dev52.26%102.45%
Max Drawdown-100.00%-100.00%
Current Drawdown-100.00%-100.00%

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SQQQ vs. SOXS - Expense Ratio Comparison

SQQQ has a 0.95% expense ratio, which is lower than SOXS's 1.08% expense ratio.


SOXS
Direxion Daily Semiconductor Bear 3x Shares
Expense ratio chart for SOXS: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
Expense ratio chart for SQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Correlation

-0.50.00.51.00.6

The correlation between SQQQ and SOXS is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

SQQQ vs. SOXS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short QQQ (SQQQ) and Direxion Daily Semiconductor Bear 3x Shares (SOXS). 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 SQQQ, currently valued at -1.07, compared to the broader market0.002.004.006.00-1.07-0.68
The chart of Sortino ratio for SQQQ, currently valued at -1.83, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.83-0.95
The chart of Omega ratio for SQQQ, currently valued at 0.80, compared to the broader market0.501.001.502.002.503.000.800.89
The chart of Calmar ratio for SQQQ, currently valued at -0.56, compared to the broader market0.005.0010.0015.00-0.56-0.70
The chart of Martin ratio for SQQQ, currently valued at -1.45, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.45-1.12
SQQQ
SOXS

The current SQQQ Sharpe Ratio is -1.07, which is lower than the SOXS Sharpe Ratio of -0.68. The chart below compares the historical Sharpe Ratios of SQQQ and SOXS, 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 Ratio-1.40-1.20-1.00-0.80-0.60JuneJulyAugustSeptemberOctoberNovember
-1.07
-0.68
SQQQ
SOXS

Dividends

SQQQ vs. SOXS - Dividend Comparison

SQQQ's dividend yield for the trailing twelve months is around 11.23%, more than SOXS's 6.75% yield.


TTM2023202220212020201920182017
SQQQ
ProShares UltraPro Short QQQ
11.23%8.01%0.28%0.00%2.15%2.92%1.47%0.14%
SOXS
Direxion Daily Semiconductor Bear 3x Shares
6.75%9.21%0.19%0.00%3.55%2.32%0.76%0.00%

Drawdowns

SQQQ vs. SOXS - Drawdown Comparison

The maximum SQQQ drawdown since its inception was -100.00%, roughly equal to the maximum SOXS drawdown of -100.00%. Use the drawdown chart below to compare losses from any high point for SQQQ and SOXS. For additional features, visit the drawdowns tool.


-100.00%-100.00%-100.00%-99.99%-99.99%-99.99%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-100.00%
SQQQ
SOXS

Volatility

SQQQ vs. SOXS - Volatility Comparison

The current volatility for ProShares UltraPro Short QQQ (SQQQ) is 16.94%, while Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a volatility of 26.11%. This indicates that SQQQ experiences smaller price fluctuations and is considered to be less risky than SOXS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%20.00%30.00%40.00%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
16.94%
26.11%
SQQQ
SOXS