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

Key characteristics


URTYSPXL
YTD Return37.65%76.40%
1Y Return130.59%129.94%
3Y Return (Ann)-21.12%10.77%
5Y Return (Ann)-3.11%26.41%
10Y Return (Ann)3.86%25.01%
Sharpe Ratio1.853.39
Sortino Ratio2.453.62
Omega Ratio1.291.50
Calmar Ratio1.512.80
Martin Ratio9.3320.61
Ulcer Index12.80%6.04%
Daily Std Dev64.45%36.64%
Max Drawdown-88.09%-76.86%
Current Drawdown-51.70%0.00%

Correlation

-0.50.00.51.00.8

The correlation between URTY and SPXL is 0.85, 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.

Performance

URTY vs. SPXL - Performance Comparison

In the year-to-date period, URTY achieves a 37.65% return, which is significantly lower than SPXL's 76.40% return. Over the past 10 years, URTY has underperformed SPXL with an annualized return of 3.86%, while SPXL has yielded a comparatively higher 25.01% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
41.68%
41.16%
URTY
SPXL

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URTY vs. SPXL - Expense Ratio Comparison

URTY has a 0.95% 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 URTY: 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%

Risk-Adjusted Performance

URTY vs. SPXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraPro Russell2000 (URTY) 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.


URTY
Sharpe ratio
The chart of Sharpe ratio for URTY, currently valued at 1.85, compared to the broader market-2.000.002.004.001.85
Sortino ratio
The chart of Sortino ratio for URTY, currently valued at 2.45, compared to the broader market-2.000.002.004.006.008.0010.0012.002.45
Omega ratio
The chart of Omega ratio for URTY, currently valued at 1.29, compared to the broader market1.001.502.002.503.001.29
Calmar ratio
The chart of Calmar ratio for URTY, currently valued at 1.51, compared to the broader market0.005.0010.0015.001.51
Martin ratio
The chart of Martin ratio for URTY, currently valued at 9.33, compared to the broader market0.0020.0040.0060.0080.00100.00120.009.33
SPXL
Sharpe ratio
The chart of Sharpe ratio for SPXL, currently valued at 3.39, compared to the broader market-2.000.002.004.003.39
Sortino ratio
The chart of Sortino ratio for SPXL, currently valued at 3.62, compared to the broader market-2.000.002.004.006.008.0010.0012.003.62
Omega ratio
The chart of Omega ratio for SPXL, currently valued at 1.50, compared to the broader market1.001.502.002.503.001.50
Calmar ratio
The chart of Calmar ratio for SPXL, currently valued at 2.80, compared to the broader market0.005.0010.0015.002.80
Martin ratio
The chart of Martin ratio for SPXL, currently valued at 20.61, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.61

URTY vs. SPXL - Sharpe Ratio Comparison

The current URTY Sharpe Ratio is 1.85, which is lower than the SPXL Sharpe Ratio of 3.39. The chart below compares the historical Sharpe Ratios of URTY 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.85
3.39
URTY
SPXL

Dividends

URTY vs. SPXL - Dividend Comparison

URTY's dividend yield for the trailing twelve months is around 0.65%, less than SPXL's 0.67% yield.


TTM20232022202120202019201820172016
URTY
ProShares UltraPro Russell2000
0.65%0.55%0.28%0.00%0.00%0.18%0.27%0.00%0.03%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.67%0.98%0.33%0.11%0.22%0.84%1.02%3.88%0.00%

Drawdowns

URTY vs. SPXL - Drawdown Comparison

The maximum URTY drawdown since its inception was -88.09%, which is greater than SPXL's maximum drawdown of -76.86%. Use the drawdown chart below to compare losses from any high point for URTY and SPXL. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-51.70%
0
URTY
SPXL

Volatility

URTY vs. SPXL - Volatility Comparison

ProShares UltraPro Russell2000 (URTY) has a higher volatility of 20.88% compared to Direxion Daily S&P 500 Bull 3X Shares (SPXL) at 11.78%. This indicates that URTY's price experiences larger fluctuations and is considered to be riskier than SPXL 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%30.00%JuneJulyAugustSeptemberOctoberNovember
20.88%
11.78%
URTY
SPXL