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

Correlation

The correlation between USD and SOXL is 0.76, 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

USD vs. SOXL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Ultra Semiconductors (USD) and Direxion Daily Semiconductor Bull 3x Shares (SOXL). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

USD:

-0.08

SOXL:

-0.51

Sortino Ratio

USD:

0.68

SOXL:

-0.27

Omega Ratio

USD:

1.09

SOXL:

0.96

Calmar Ratio

USD:

-0.03

SOXL:

-0.75

Martin Ratio

USD:

-0.06

SOXL:

-1.16

Ulcer Index

USD:

31.12%

SOXL:

56.86%

Daily Std Dev

USD:

99.09%

SOXL:

129.63%

Max Drawdown

USD:

-87.94%

SOXL:

-90.46%

Current Drawdown

USD:

-30.04%

SOXL:

-75.80%

Returns By Period

In the year-to-date period, USD achieves a -11.70% return, which is significantly higher than SOXL's -36.82% return. Over the past 10 years, USD has outperformed SOXL with an annualized return of 41.35%, while SOXL has yielded a comparatively lower 21.12% annualized return.


USD

YTD

-11.70%

1M

49.13%

6M

-5.25%

1Y

-8.16%

3Y*

59.28%

5Y*

53.03%

10Y*

41.35%

SOXL

YTD

-36.82%

1M

45.03%

6M

-35.87%

1Y

-65.91%

3Y*

-11.25%

5Y*

11.48%

10Y*

21.12%

*Annualized

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ProShares Ultra Semiconductors

USD vs. SOXL - Expense Ratio Comparison

USD has a 0.95% expense ratio, which is lower than SOXL's 0.99% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

USD vs. SOXL — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

USD
The Risk-Adjusted Performance Rank of USD is 2222
Overall Rank
The Sharpe Ratio Rank of USD is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of USD is 3636
Sortino Ratio Rank
The Omega Ratio Rank of USD is 3434
Omega Ratio Rank
The Calmar Ratio Rank of USD is 1414
Calmar Ratio Rank
The Martin Ratio Rank of USD is 1414
Martin Ratio Rank

SOXL
The Risk-Adjusted Performance Rank of SOXL is 44
Overall Rank
The Sharpe Ratio Rank of SOXL is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of SOXL is 77
Sortino Ratio Rank
The Omega Ratio Rank of SOXL is 77
Omega Ratio Rank
The Calmar Ratio Rank of SOXL is 00
Calmar Ratio Rank
The Martin Ratio Rank of SOXL is 33
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

USD vs. SOXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Ultra Semiconductors (USD) 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.


The current USD Sharpe Ratio is -0.08, which is higher than the SOXL Sharpe Ratio of -0.51. The chart below compares the historical Sharpe Ratios of USD 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.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

USD vs. SOXL - Dividend Comparison

USD's dividend yield for the trailing twelve months is around 0.20%, less than SOXL's 2.04% yield.


TTM20242023202220212020201920182017201620152014
USD
ProShares Ultra Semiconductors
0.20%0.10%0.05%0.30%0.00%0.14%0.72%0.93%0.32%7.11%0.39%2.71%
SOXL
Direxion Daily Semiconductor Bull 3x Shares
2.04%1.18%0.51%1.07%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%

Drawdowns

USD vs. SOXL - Drawdown Comparison

The maximum USD drawdown since its inception was -87.94%, roughly equal to the maximum SOXL drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for USD and SOXL.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

USD vs. SOXL - Volatility Comparison

The current volatility for ProShares Ultra Semiconductors (USD) is 17.58%, while Direxion Daily Semiconductor Bull 3x Shares (SOXL) has a volatility of 26.98%. This indicates that USD 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.


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