^DJI vs. SPXL
Compare and contrast key facts about Dow Jones Industrial Average (^DJI) and Direxion Daily S&P 500 Bull 3X Shares (SPXL).
SPXL is a passively managed fund by Direxion that tracks the performance of the S&P 500 Index (300%). It was launched on Nov 5, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJI or SPXL.
Performance
^DJI vs. SPXL - Performance Comparison
Returns By Period
In the year-to-date period, ^DJI achieves a 15.27% return, which is significantly lower than SPXL's 65.10% return. Over the past 10 years, ^DJI has underperformed SPXL with an annualized return of 9.41%, while SPXL has yielded a comparatively higher 23.93% annualized return.
^DJI
15.27%
0.39%
8.60%
24.32%
9.27%
9.41%
SPXL
65.10%
0.35%
26.23%
93.38%
24.06%
23.93%
Key characteristics
| ^DJI | SPXL | |
|---|---|---|
| Sharpe Ratio | 2.19 | 2.59 |
| Sortino Ratio | 3.13 | 2.97 |
| Omega Ratio | 1.41 | 1.41 |
| Calmar Ratio | 3.99 | 2.45 |
| Martin Ratio | 12.20 | 15.50 |
| Ulcer Index | 1.98% | 6.05% |
| Daily Std Dev | 11.01% | 36.21% |
| Max Drawdown | -53.78% | -76.86% |
| Current Drawdown | -1.91% | -6.65% |
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Correlation
The correlation between ^DJI and SPXL is 0.93, 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.
Risk-Adjusted Performance
^DJI vs. SPXL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) 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.
Drawdowns
^DJI vs. SPXL - Drawdown Comparison
The maximum ^DJI drawdown since its inception was -53.78%, smaller than the maximum SPXL drawdown of -76.86%. Use the drawdown chart below to compare losses from any high point for ^DJI and SPXL. For additional features, visit the drawdowns tool.
Volatility
^DJI vs. SPXL - Volatility Comparison
The current volatility for Dow Jones Industrial Average (^DJI) is 4.58%, while Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a volatility of 12.23%. This indicates that ^DJI experiences smaller price fluctuations and is considered to be less risky than SPXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.