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TPOR vs. SOXL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


TPORSOXL
YTD Return21.28%4.93%
1Y Return79.89%60.30%
3Y Return (Ann)-10.35%-19.26%
5Y Return (Ann)8.26%17.22%
Sharpe Ratio1.550.79
Sortino Ratio2.221.56
Omega Ratio1.261.20
Calmar Ratio1.401.10
Martin Ratio4.772.62
Ulcer Index18.16%30.34%
Daily Std Dev55.96%100.72%
Max Drawdown-87.59%-90.46%
Current Drawdown-31.12%-54.17%

Correlation

-0.50.00.51.00.6

The correlation between TPOR and SOXL is 0.58, 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.

Performance

TPOR vs. SOXL - Performance Comparison

In the year-to-date period, TPOR achieves a 21.28% return, which is significantly higher than SOXL's 4.93% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
25.02%
-23.81%
TPOR
SOXL

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TPOR vs. SOXL - Expense Ratio Comparison

TPOR has a 1.01% expense ratio, which is higher than SOXL's 0.99% expense ratio.


TPOR
Direxion Daily Transportation Bull 3X Shares
Expense ratio chart for TPOR: current value at 1.01% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.01%
Expense ratio chart for SOXL: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%

Risk-Adjusted Performance

TPOR vs. SOXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Transportation Bull 3X Shares (TPOR) and Direxion Daily Semiconductor Bull 3x Shares (SOXL). 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.


TPOR
Sharpe ratio
The chart of Sharpe ratio for TPOR, currently valued at 1.55, compared to the broader market-2.000.002.004.006.001.55
Sortino ratio
The chart of Sortino ratio for TPOR, currently valued at 2.22, compared to the broader market0.005.0010.002.22
Omega ratio
The chart of Omega ratio for TPOR, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for TPOR, currently valued at 1.40, compared to the broader market0.005.0010.0015.001.40
Martin ratio
The chart of Martin ratio for TPOR, currently valued at 4.77, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.77
SOXL
Sharpe ratio
The chart of Sharpe ratio for SOXL, currently valued at 0.79, compared to the broader market-2.000.002.004.006.000.79
Sortino ratio
The chart of Sortino ratio for SOXL, currently valued at 1.56, compared to the broader market0.005.0010.001.56
Omega ratio
The chart of Omega ratio for SOXL, currently valued at 1.20, compared to the broader market1.001.502.002.503.001.20
Calmar ratio
The chart of Calmar ratio for SOXL, currently valued at 1.10, compared to the broader market0.005.0010.0015.001.10
Martin ratio
The chart of Martin ratio for SOXL, currently valued at 2.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.62

TPOR vs. SOXL - Sharpe Ratio Comparison

The current TPOR Sharpe Ratio is 1.55, which is higher than the SOXL Sharpe Ratio of 0.79. The chart below compares the historical Sharpe Ratios of TPOR and SOXL, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
1.55
0.79
TPOR
SOXL

Dividends

TPOR vs. SOXL - Dividend Comparison

TPOR's dividend yield for the trailing twelve months is around 1.23%, more than SOXL's 0.94% yield.


TTM2023202220212020201920182017201620152014
TPOR
Direxion Daily Transportation Bull 3X Shares
1.23%1.50%0.00%0.00%0.10%0.96%1.22%8.70%0.00%0.00%0.00%
SOXL
Direxion Daily Semiconductor Bull 3x Shares
0.94%0.51%1.08%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%

Drawdowns

TPOR vs. SOXL - Drawdown Comparison

The maximum TPOR drawdown since its inception was -87.59%, roughly equal to the maximum SOXL drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for TPOR and SOXL. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-31.12%
-54.17%
TPOR
SOXL

Volatility

TPOR vs. SOXL - Volatility Comparison

The current volatility for Direxion Daily Transportation Bull 3X Shares (TPOR) is 21.04%, while Direxion Daily Semiconductor Bull 3x Shares (SOXL) has a volatility of 29.67%. This indicates that TPOR experiences smaller price fluctuations and is considered to be less risky than SOXL 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
21.04%
29.67%
TPOR
SOXL