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

Performance

SQQQ vs. SPXS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares UltraPro Short QQQ (SQQQ) and Direxion Daily S&P 500 Bear 3X Shares (SPXS). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-25.00%
SQQQ
SPXS

Returns By Period

In the year-to-date period, SQQQ achieves a -47.90% return, which is significantly lower than SPXS's -44.21% return. Over the past 10 years, SQQQ has underperformed SPXS with an annualized return of -52.11%, while SPXS has yielded a comparatively higher -39.57% annualized return.


SQQQ

YTD

-47.90%

1M

-5.01%

6M

-29.06%

1Y

-55.26%

5Y (annualized)

-59.31%

10Y (annualized)

-52.11%

SPXS

YTD

-44.21%

1M

-2.83%

6M

-25.73%

1Y

-51.31%

5Y (annualized)

-46.29%

10Y (annualized)

-39.57%

Key characteristics


SQQQSPXS
Sharpe Ratio-1.04-1.41
Sortino Ratio-1.74-2.42
Omega Ratio0.810.74
Calmar Ratio-0.54-0.51
Martin Ratio-1.40-1.47
Ulcer Index38.96%34.60%
Daily Std Dev52.15%36.27%
Max Drawdown-100.00%-100.00%
Current Drawdown-100.00%-100.00%

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SQQQ vs. SPXS - Expense Ratio Comparison

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


SPXS
Direxion Daily S&P 500 Bear 3X Shares
Expense ratio chart for SPXS: 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

-0.50.00.51.00.9

The correlation between SQQQ and SPXS is 0.87, 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.

Risk-Adjusted Performance

SQQQ vs. SPXS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Short QQQ (SQQQ) and Direxion Daily S&P 500 Bear 3X Shares (SPXS). 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 -1.04, compared to the broader market0.002.004.00-1.04-1.41
The chart of Sortino ratio for SQQQ, currently valued at -1.74, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.74-2.42
The chart of Omega ratio for SQQQ, currently valued at 0.81, compared to the broader market0.501.001.502.002.503.000.810.74
The chart of Calmar ratio for SQQQ, currently valued at -0.54, compared to the broader market0.005.0010.0015.00-0.54-0.51
The chart of Martin ratio for SQQQ, currently valued at -1.40, compared to the broader market0.0020.0040.0060.0080.00100.00-1.40-1.47
SQQQ
SPXS

The current SQQQ Sharpe Ratio is -1.04, which is comparable to the SPXS Sharpe Ratio of -1.41. The chart below compares the historical Sharpe Ratios of SQQQ and SPXS, 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-1.80-1.60-1.40-1.20-1.00-0.80JuneJulyAugustSeptemberOctoberNovember
-1.04
-1.41
SQQQ
SPXS

Dividends

SQQQ vs. SPXS - Dividend Comparison

SQQQ's dividend yield for the trailing twelve months is around 11.22%, more than SPXS's 7.15% yield.


TTM2023202220212020201920182017
SQQQ
ProShares UltraPro Short QQQ
11.22%8.01%0.28%0.00%2.15%2.92%1.47%0.14%
SPXS
Direxion Daily S&P 500 Bear 3X Shares
7.15%5.66%0.00%0.00%0.51%1.74%0.58%0.00%

Drawdowns

SQQQ vs. SPXS - Drawdown Comparison

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


-100.00%-99.99%-99.98%-99.97%-99.96%JuneJulyAugustSeptemberOctoberNovember
-100.00%
-99.97%
SQQQ
SPXS

Volatility

SQQQ vs. SPXS - Volatility Comparison

ProShares UltraPro Short QQQ (SQQQ) has a higher volatility of 16.94% compared to Direxion Daily S&P 500 Bear 3X Shares (SPXS) at 12.45%. This indicates that SQQQ's price experiences larger fluctuations and is considered to be riskier than SPXS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
16.94%
12.45%
SQQQ
SPXS