PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
UTSL vs. SOXL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between UTSL and SOXL is 0.14, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.1

Performance

UTSL vs. SOXL - Performance Comparison

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

0.00%200.00%400.00%600.00%800.00%1,000.00%1,200.00%JulyAugustSeptemberOctoberNovemberDecember
54.27%
452.72%
UTSL
SOXL

Key characteristics

Sharpe Ratio

UTSL:

1.34

SOXL:

-0.02

Sortino Ratio

UTSL:

1.84

SOXL:

0.69

Omega Ratio

UTSL:

1.23

SOXL:

1.09

Calmar Ratio

UTSL:

0.91

SOXL:

-0.03

Martin Ratio

UTSL:

5.81

SOXL:

-0.06

Ulcer Index

UTSL:

10.72%

SOXL:

35.92%

Daily Std Dev

UTSL:

46.39%

SOXL:

101.64%

Max Drawdown

UTSL:

-79.55%

SOXL:

-90.46%

Current Drawdown

UTSL:

-40.41%

SOXL:

-61.82%

Returns By Period

In the year-to-date period, UTSL achieves a 55.43% return, which is significantly higher than SOXL's -12.59% return.


UTSL

YTD

55.43%

1M

-20.00%

6M

26.36%

1Y

60.44%

5Y*

-4.18%

10Y*

N/A

SOXL

YTD

-12.59%

1M

-4.18%

6M

-52.88%

1Y

-10.04%

5Y*

8.51%

10Y*

29.00%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


UTSL vs. SOXL - Expense Ratio Comparison

Both UTSL and SOXL have an expense ratio of 0.99%.


UTSL
Direxion Daily Utilities Bull 3X Shares
Expense ratio chart for UTSL: 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%
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

UTSL vs. SOXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Utilities Bull 3X Shares (UTSL) 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.


Sharpe ratio
The chart of Sharpe ratio for UTSL, currently valued at 1.34, compared to the broader market0.002.004.001.34-0.02
The chart of Sortino ratio for UTSL, currently valued at 1.84, compared to the broader market-2.000.002.004.006.008.0010.001.840.69
The chart of Omega ratio for UTSL, currently valued at 1.23, compared to the broader market0.501.001.502.002.503.001.231.09
The chart of Calmar ratio for UTSL, currently valued at 0.91, compared to the broader market0.005.0010.0015.000.91-0.03
The chart of Martin ratio for UTSL, currently valued at 5.81, compared to the broader market0.0020.0040.0060.0080.00100.005.81-0.06
UTSL
SOXL

The current UTSL Sharpe Ratio is 1.34, which is higher than the SOXL Sharpe Ratio of -0.02. The chart below compares the historical Sharpe Ratios of UTSL 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.34
-0.02
UTSL
SOXL

Dividends

UTSL vs. SOXL - Dividend Comparison

UTSL's dividend yield for the trailing twelve months is around 1.28%, more than SOXL's 0.89% yield.


TTM2023202220212020201920182017201620152014
UTSL
Direxion Daily Utilities Bull 3X Shares
1.28%3.61%1.15%1.20%1.40%5.01%1.46%0.57%0.00%0.00%0.00%
SOXL
Direxion Daily Semiconductor Bull 3x Shares
0.89%0.51%1.08%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%

Drawdowns

UTSL vs. SOXL - Drawdown Comparison

The maximum UTSL drawdown since its inception was -79.55%, smaller than the maximum SOXL drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for UTSL and SOXL. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-40.41%
-61.82%
UTSL
SOXL

Volatility

UTSL vs. SOXL - Volatility Comparison

The current volatility for Direxion Daily Utilities Bull 3X Shares (UTSL) is 14.92%, while Direxion Daily Semiconductor Bull 3x Shares (SOXL) has a volatility of 24.92%. This indicates that UTSL 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%JulyAugustSeptemberOctoberNovemberDecember
14.92%
24.92%
UTSL
SOXL
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab