^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.
Key characteristics
| ^DJI | SPXL | |
|---|---|---|
| YTD Return | 14.30% | 64.51% |
| 1Y Return | 26.71% | 108.33% |
| 3Y Return (Ann) | 6.89% | 13.39% |
| 5Y Return (Ann) | 10.01% | 27.34% |
| 10Y Return (Ann) | 10.18% | 27.08% |
| Sharpe Ratio | 2.49 | 2.92 |
| Sortino Ratio | 3.41 | 3.24 |
| Omega Ratio | 1.46 | 1.44 |
| Calmar Ratio | 2.25 | 2.06 |
| Martin Ratio | 13.42 | 16.79 |
| Ulcer Index | 1.99% | 6.44% |
| Daily Std Dev | 10.76% | 37.00% |
| Max Drawdown | -53.78% | -76.86% |
| Current Drawdown | 0.00% | -1.13% |
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.
Performance
^DJI vs. SPXL - Performance Comparison
In the year-to-date period, ^DJI achieves a 14.30% return, which is significantly lower than SPXL's 64.51% return. Over the past 10 years, ^DJI has underperformed SPXL with an annualized return of 10.18%, while SPXL has yielded a comparatively higher 27.08% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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 2.81%, while Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a volatility of 8.98%. 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.