SOXS vs SSG: returns, Sharpe ratio and drawdown

Over the past year, SSG returned -49.55% against -92.17% for SOXS. Over five years, SSG averaged -60.95% a year, compared with -76.28% for SOXS. SSG had the higher Sharpe ratio over the past year (-0.48 vs -1.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -72.20% for SSG and -96.72% for SOXS. Dividends over the past year came to 21.49% of SOXS's price, against 5.65% for SSG. Their daily returns had a correlation of 0.93 over the past year, which is very high.

SOXS charges 1.00% a year and SSG 0.95%. Over five years, reinvested dividends added 0.77 points a year to SOXS's return and 1.39 to SSG's.