Fund Performance Analysis

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Fund Information (Apr 2012 - Feb 2020)

Fund information
NameDirexion NASDAQ-100 Equal Wtd ETF (QQQE)
Asset ClassU.S. Equity
CategoryLarge Growth
Fund BenchmarkNASDAQ-100 Equal Weighted TR USD
Selected BenchmarkInvesco QQQ Trust (QQQ)
Price/Earnings (TTM)31.14
Yield (TTM)0.54%
Assets371.83 M
Expense Ratio0.35%
Inception Date03/21/2012

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Direxion NASDAQ-100 Equal Wtd ETF$10,000$27,960 13.87% 13.98%43.23%-5.40%-14.32% 0.951.590.93
Invesco QQQ Trust$10,000$33,157 16.35% 13.89%38.96%-3.20%-16.96% 1.111.880.89
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Direxion NASDAQ-100 Equal Wtd ETF-1.82%11.64%12.15%10.32%13.87%15.10%14.62%
Invesco QQQ Trust0.56%19.81%17.55%14.75%16.35%15.37%15.19%
Trailing annualized return and volatility are for full months ending in February 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 01/25/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Up vs. Down Market Performance

Direxion NASDAQ-100 Equal Wtd ETF vs. Invesco QQQ Trust

Up vs. Down Market Performance - Direxion NASDAQ-100 Equal Wtd ETF vs. Invesco QQQ Trust
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market24386239%1.11%-1.31%-0.37%
Down Market16173348%1.11%-0.69%0.18%
Total40559542%1.11%-1.12%-0.18%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryDirexion NASDAQ-100 Equal Wtd ETFInvesco QQQ Trust
Large-cap Value0.00%0.00%
Large-cap Growth70.79%100.00%
Mid-cap Value13.14%0.00%
Mid-cap Growth13.16%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets2.91%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared86.92%90.16%
Style analysis is based on monthly returns from April 2012 to February 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Direxion NASDAQ-100 Equal Wtd ETF

Holdings Based Style Analysis for Direxion NASDAQ-100 Equal Wtd ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
QQQEDirexion NASDAQ-100 Equal Wtd ETFLarge Growth100.00%0.54%0.35%31.14$17,960100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Invesco QQQ Trust

Holdings Based Style Analysis for Invesco QQQ Trust
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
QQQInvesco QQQ TrustLarge Growth100.00%0.52%0.20%36.15$23,157100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricDirexion NASDAQ-100 Equal Wtd ETFInvesco QQQ Trust
Arithmetic Mean (monthly)1.17%1.35%
Arithmetic Mean (annualized)14.96%17.45%
Geometric Mean (monthly)1.09%1.27%
Geometric Mean (annualized)13.87%16.35%
Volatility (monthly)4.04%4.01%
Volatility (annualized)13.98%13.89%
Downside Deviation (monthly)2.38%2.34%
Max. Drawdown-14.32%-16.96%
US Market Correlation0.930.89
Beta(*)0.941.00
Alpha (annualized)-1.15%0.00%
R286.75%100.00%
Sharpe Ratio0.951.11
Sortino Ratio1.591.88
Treynor Ratio (%)14.2115.48
Calmar Ratio0.851.03
Active Return-2.48%N/A
Tracking Error5.16%N/A
Information Ratio-0.48N/A
Skewness-0.28-0.42
Excess Kurtosis0.620.23
Historical Value-at-Risk (5%)-7.01%-6.85%
Analytical Value-at-Risk (5%)-5.47%-5.25%
Conditional Value-at-Risk (5%)-8.50%-7.89%
Upside Capture Ratio (%)88.36100.00
Downside Capture Ratio (%)94.64100.00
Safe Withdrawal Rate20.15%20.83%
Perpetual Withdrawal Rate10.73%12.61%
Positive Periods60 out of 95 (63.16%)62 out of 95 (65.26%)
Gain/Loss Ratio1.221.22
* Invesco QQQ Trust is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Direxion NASDAQ-100 Equal Wtd ETF Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2012-1.75%-7.95%2.90%-1.05%3.72%2.26%-4.07%2.87%-0.49%-4.08%
20138.93%0.53%3.87%1.25%4.46%-1.37%6.59%-1.44%6.04%2.60%1.91%3.62%43.23%
2014-1.42%6.99%-2.77%-1.87%3.62%3.65%-0.43%4.60%-1.21%3.13%5.02%-0.84%19.43%
2015-3.19%7.70%-1.52%0.55%2.15%-2.69%2.27%-6.60%-3.61%9.17%0.34%-0.95%2.53%
2016-8.21%0.50%5.63%-2.13%3.93%-2.13%6.66%1.08%1.28%-1.62%3.05%-0.19%7.19%
20176.15%3.56%1.95%1.52%3.35%-1.18%2.89%-0.07%1.30%1.18%2.34%0.97%26.54%
20187.29%-2.68%-2.39%-0.82%2.45%1.24%3.15%2.08%-0.34%-8.54%3.05%-8.78%-5.40%
201912.08%3.52%1.82%5.23%-9.02%8.57%1.59%-2.52%0.74%3.89%3.66%3.42%36.44%
20200.13%-5.18%-5.06%

Invesco QQQ Trust Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2012-1.17%-7.04%3.62%1.00%5.19%0.89%-5.28%1.31%-0.46%-2.54%
20132.67%0.34%3.03%2.54%3.58%-2.39%6.31%-0.40%4.83%4.96%3.55%2.92%36.63%
2014-1.92%5.15%-2.73%-0.32%4.49%3.12%1.18%5.01%-0.76%2.64%4.55%-2.24%19.18%
2015-2.08%7.22%-2.36%1.92%2.25%-2.48%4.56%-6.82%-2.20%11.37%0.61%-1.59%9.45%
2016-6.91%-1.57%6.85%-3.19%4.37%-2.27%7.15%1.05%2.21%-1.46%0.44%1.13%7.10%
20175.14%4.38%2.03%2.73%3.90%-2.32%4.06%2.07%-0.29%4.61%1.97%0.60%32.66%
20188.76%-1.29%-4.08%0.51%5.67%1.15%2.80%5.78%-0.28%-8.60%-0.26%-8.65%-0.12%
20199.01%2.99%3.92%5.50%-8.23%7.59%2.33%-1.90%0.92%4.38%4.07%3.89%38.96%
20203.04%-6.06%-3.20%

Direxion NASDAQ-100 Equal Wtd ETF Factor Regression

Direxion NASDAQ-100 Equal Wtd ETF Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model1.12-0.01-0.28-0.29%89.68%
Carhart 4-factor model1.08-0.02-0.39-0.160.54%90.76%
Fama-French 5-factor model1.10-0.05-0.18-0.14-0.22-0.10%90.35%
Factor regression from Apr 2012 to Feb 2020. Statistically significant values in bold.

Invesco QQQ Trust Factor Regression

Invesco QQQ Trust Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model1.12-0.24-0.431.09%89.20%
Carhart 4-factor model1.11-0.24-0.45-0.031.23%89.23%
Fama-French 5-factor model1.07-0.25-0.140.03-0.641.58%92.22%
Factor regression from Apr 2012 to Feb 2020. Statistically significant values in bold.
Rolling returns summary
Roll PeriodDirexion NASDAQ-100 Equal Wtd ETFInvesco QQQ Trust
AverageHighLowAverageHighLow
1 year16.45%43.23%-9.29%18.51%38.96%-4.48%
3 years14.62%24.15%8.67%17.64%23.40%11.79%
5 years14.60%18.93%9.46%17.63%21.82%13.11%
7 years15.85%17.38%14.31%17.98%19.73%16.29%