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XLFQ.L vs. FAS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


XLFQ.LFAS
YTD Return28.47%92.40%
1Y Return39.78%167.03%
3Y Return (Ann)9.87%4.32%
5Y Return (Ann)11.96%14.51%
10Y Return (Ann)13.47%19.04%
Sharpe Ratio2.874.10
Sortino Ratio4.394.34
Omega Ratio1.561.56
Calmar Ratio4.362.78
Martin Ratio21.0327.40
Ulcer Index1.87%6.12%
Daily Std Dev13.61%40.86%
Max Drawdown-35.39%-94.81%
Current Drawdown-1.21%-4.80%

Correlation

-0.50.00.51.00.7

The correlation between XLFQ.L and FAS is 0.66, 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

XLFQ.L vs. FAS - Performance Comparison

In the year-to-date period, XLFQ.L achieves a 28.47% return, which is significantly lower than FAS's 92.40% return. Over the past 10 years, XLFQ.L has underperformed FAS with an annualized return of 13.47%, while FAS has yielded a comparatively higher 19.04% 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%50.00%60.00%JuneJulyAugustSeptemberOctoberNovember
18.57%
48.67%
XLFQ.L
FAS

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XLFQ.L vs. FAS - Expense Ratio Comparison

XLFQ.L has a 0.14% expense ratio, which is lower than FAS's 1.00% expense ratio.


FAS
Direxion Daily Financial Bull 3X Shares
Expense ratio chart for FAS: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
Expense ratio chart for XLFQ.L: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

XLFQ.L vs. FAS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco US Financials Sector UCITS ETF (XLFQ.L) and Direxion Daily Financial Bull 3X Shares (FAS). 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.


XLFQ.L
Sharpe ratio
The chart of Sharpe ratio for XLFQ.L, currently valued at 3.36, compared to the broader market-2.000.002.004.003.36
Sortino ratio
The chart of Sortino ratio for XLFQ.L, currently valued at 4.79, compared to the broader market-2.000.002.004.006.008.0010.0012.004.79
Omega ratio
The chart of Omega ratio for XLFQ.L, currently valued at 1.64, compared to the broader market1.001.502.002.503.001.64
Calmar ratio
The chart of Calmar ratio for XLFQ.L, currently valued at 3.04, compared to the broader market0.005.0010.0015.003.04
Martin ratio
The chart of Martin ratio for XLFQ.L, currently valued at 22.62, compared to the broader market0.0020.0040.0060.0080.00100.0022.62
FAS
Sharpe ratio
The chart of Sharpe ratio for FAS, currently valued at 3.57, compared to the broader market-2.000.002.004.003.57
Sortino ratio
The chart of Sortino ratio for FAS, currently valued at 3.96, compared to the broader market-2.000.002.004.006.008.0010.0012.003.96
Omega ratio
The chart of Omega ratio for FAS, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for FAS, currently valued at 2.59, compared to the broader market0.005.0010.0015.002.59
Martin ratio
The chart of Martin ratio for FAS, currently valued at 23.33, compared to the broader market0.0020.0040.0060.0080.00100.0023.33

XLFQ.L vs. FAS - Sharpe Ratio Comparison

The current XLFQ.L Sharpe Ratio is 2.87, which is lower than the FAS Sharpe Ratio of 4.10. The chart below compares the historical Sharpe Ratios of XLFQ.L and FAS, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
3.36
3.57
XLFQ.L
FAS

Dividends

XLFQ.L vs. FAS - Dividend Comparison

XLFQ.L has not paid dividends to shareholders, while FAS's dividend yield for the trailing twelve months is around 0.85%.


TTM2023202220212020201920182017
XLFQ.L
Invesco US Financials Sector UCITS ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FAS
Direxion Daily Financial Bull 3X Shares
0.85%1.77%0.91%0.60%0.47%0.62%1.43%0.11%

Drawdowns

XLFQ.L vs. FAS - Drawdown Comparison

The maximum XLFQ.L drawdown since its inception was -35.39%, smaller than the maximum FAS drawdown of -94.81%. Use the drawdown chart below to compare losses from any high point for XLFQ.L and FAS. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.38%
-4.80%
XLFQ.L
FAS

Volatility

XLFQ.L vs. FAS - Volatility Comparison

The current volatility for Invesco US Financials Sector UCITS ETF (XLFQ.L) is 6.04%, while Direxion Daily Financial Bull 3X Shares (FAS) has a volatility of 20.57%. This indicates that XLFQ.L experiences smaller price fluctuations and is considered to be less risky than FAS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
6.04%
20.57%
XLFQ.L
FAS