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UBOT vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between UBOT and ^GSPC is 0.80, 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

UBOT vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Robotics, Artificial Intelligence & Automation Index Bull 3X Shares (UBOT) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%AugustSeptemberOctoberNovemberDecember
3.13%
6.76%
UBOT
^GSPC

Key characteristics

Sharpe Ratio

UBOT:

0.28

^GSPC:

1.84

Sortino Ratio

UBOT:

0.67

^GSPC:

2.48

Omega Ratio

UBOT:

1.08

^GSPC:

1.34

Calmar Ratio

UBOT:

0.18

^GSPC:

2.75

Martin Ratio

UBOT:

0.91

^GSPC:

11.85

Ulcer Index

UBOT:

12.99%

^GSPC:

1.97%

Daily Std Dev

UBOT:

42.93%

^GSPC:

12.65%

Max Drawdown

UBOT:

-86.01%

^GSPC:

-56.78%

Current Drawdown

UBOT:

-56.54%

^GSPC:

-3.43%

Returns By Period


UBOT

YTD

14.04%

1M

-7.40%

6M

3.35%

1Y

14.04%

5Y*

1.41%

10Y*

N/A

^GSPC

YTD

0.00%

1M

-2.50%

6M

6.76%

1Y

23.31%

5Y*

12.57%

10Y*

11.09%

*Annualized

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Risk-Adjusted Performance

UBOT vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Robotics, Artificial Intelligence & Automation Index Bull 3X Shares (UBOT) and S&P 500 (^GSPC). 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 UBOT, currently valued at 0.33, compared to the broader market0.002.004.000.331.84
The chart of Sortino ratio for UBOT, currently valued at 0.74, compared to the broader market-2.000.002.004.006.008.0010.000.742.48
The chart of Omega ratio for UBOT, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.34
The chart of Calmar ratio for UBOT, currently valued at 0.21, compared to the broader market0.005.0010.0015.000.212.75
The chart of Martin ratio for UBOT, currently valued at 1.08, compared to the broader market0.0020.0040.0060.0080.00100.001.0811.85
UBOT
^GSPC

The current UBOT Sharpe Ratio is 0.28, which is lower than the ^GSPC Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of UBOT and ^GSPC, 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 Ratio0.001.002.003.00AugustSeptemberOctoberNovemberDecember
0.33
1.84
UBOT
^GSPC

Drawdowns

UBOT vs. ^GSPC - Drawdown Comparison

The maximum UBOT drawdown since its inception was -86.01%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for UBOT and ^GSPC. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%AugustSeptemberOctoberNovemberDecember
-56.54%
-3.43%
UBOT
^GSPC

Volatility

UBOT vs. ^GSPC - Volatility Comparison

Direxion Robotics, Artificial Intelligence & Automation Index Bull 3X Shares (UBOT) has a higher volatility of 10.52% compared to S&P 500 (^GSPC) at 4.15%. This indicates that UBOT's price experiences larger fluctuations and is considered to be riskier than ^GSPC 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%AugustSeptemberOctoberNovemberDecember
10.52%
4.15%
UBOT
^GSPC
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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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