^NDX vs. SPXL
Compare and contrast key facts about NASDAQ 100 (^NDX) 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: ^NDX or SPXL.
Performance
^NDX vs. SPXL - Performance Comparison
Returns By Period
In the year-to-date period, ^NDX achieves a 22.07% return, which is significantly lower than SPXL's 67.17% return. Over the past 10 years, ^NDX has underperformed SPXL with an annualized return of 17.11%, while SPXL has yielded a comparatively higher 23.90% annualized return.
^NDX
22.07%
1.06%
9.99%
29.68%
19.98%
17.11%
SPXL
67.17%
0.54%
27.32%
94.76%
24.68%
23.90%
Key characteristics
| ^NDX | SPXL | |
|---|---|---|
| Sharpe Ratio | 1.69 | 2.65 |
| Sortino Ratio | 2.27 | 3.02 |
| Omega Ratio | 1.30 | 1.41 |
| Calmar Ratio | 2.19 | 2.53 |
| Martin Ratio | 7.89 | 15.80 |
| Ulcer Index | 3.77% | 6.06% |
| Daily Std Dev | 17.66% | 36.29% |
| Max Drawdown | -82.90% | -76.86% |
| Current Drawdown | -2.74% | -5.48% |
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Correlation
The correlation between ^NDX and SPXL is 0.90, 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
^NDX vs. SPXL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 (^NDX) 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
^NDX vs. SPXL - Drawdown Comparison
The maximum ^NDX drawdown since its inception was -82.90%, which is greater than SPXL's maximum drawdown of -76.86%. Use the drawdown chart below to compare losses from any high point for ^NDX and SPXL. For additional features, visit the drawdowns tool.
Volatility
^NDX vs. SPXL - Volatility Comparison
The current volatility for NASDAQ 100 (^NDX) is 5.63%, while Direxion Daily S&P 500 Bull 3X Shares (SPXL) has a volatility of 12.26%. This indicates that ^NDX 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.