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CHAU vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CHAUSPY
YTD Return3.21%5.94%
1Y Return-29.29%22.56%
3Y Return (Ann)-28.14%7.95%
5Y Return (Ann)-8.39%13.35%
Sharpe Ratio-0.851.93
Daily Std Dev35.84%11.63%
Max Drawdown-79.21%-55.19%
Current Drawdown-73.55%-4.05%

Correlation

-0.50.00.51.00.4

The correlation between CHAU and SPY is 0.43, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

CHAU vs. SPY - Performance Comparison

In the year-to-date period, CHAU achieves a 3.21% return, which is significantly lower than SPY's 5.94% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-50.00%0.00%50.00%100.00%150.00%200.00%NovemberDecember2024FebruaryMarchApril
-64.30%
180.04%
CHAU
SPY

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Direxion Daily CSI 300 China A Share Bull 2x Shares

SPDR S&P 500 ETF

CHAU vs. SPY - Expense Ratio Comparison

CHAU has a 1.21% expense ratio, which is higher than SPY's 0.09% expense ratio.


CHAU
Direxion Daily CSI 300 China A Share Bull 2x Shares
Expense ratio chart for CHAU: current value at 1.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.21%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

CHAU vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU) and SPDR S&P 500 ETF (SPY). 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.


CHAU
Sharpe ratio
The chart of Sharpe ratio for CHAU, currently valued at -0.85, compared to the broader market-1.000.001.002.003.004.005.00-0.85
Sortino ratio
The chart of Sortino ratio for CHAU, currently valued at -1.22, compared to the broader market-2.000.002.004.006.008.00-1.22
Omega ratio
The chart of Omega ratio for CHAU, currently valued at 0.87, compared to the broader market0.501.001.502.002.500.87
Calmar ratio
The chart of Calmar ratio for CHAU, currently valued at -0.38, compared to the broader market0.002.004.006.008.0010.0012.00-0.38
Martin ratio
The chart of Martin ratio for CHAU, currently valued at -1.09, compared to the broader market0.0020.0040.0060.00-1.09
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 1.93, compared to the broader market-1.000.001.002.003.004.005.001.93
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 2.78, compared to the broader market-2.000.002.004.006.008.002.78
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.33, compared to the broader market0.501.001.502.002.501.33
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 1.66, compared to the broader market0.002.004.006.008.0010.0012.001.66
Martin ratio
The chart of Martin ratio for SPY, currently valued at 7.79, compared to the broader market0.0020.0040.0060.007.79

CHAU vs. SPY - Sharpe Ratio Comparison

The current CHAU Sharpe Ratio is -0.85, which is lower than the SPY Sharpe Ratio of 1.93. The chart below compares the 12-month rolling Sharpe Ratio of CHAU and SPY.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
-0.85
1.93
CHAU
SPY

Dividends

CHAU vs. SPY - Dividend Comparison

CHAU's dividend yield for the trailing twelve months is around 3.49%, more than SPY's 1.34% yield.


TTM20232022202120202019201820172016201520142013
CHAU
Direxion Daily CSI 300 China A Share Bull 2x Shares
3.49%3.97%0.77%1.73%0.09%0.58%0.83%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.34%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CHAU vs. SPY - Drawdown Comparison

The maximum CHAU drawdown since its inception was -79.21%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CHAU and SPY. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2024FebruaryMarchApril
-73.55%
-4.05%
CHAU
SPY

Volatility

CHAU vs. SPY - Volatility Comparison

Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU) has a higher volatility of 9.86% compared to SPDR S&P 500 ETF (SPY) at 3.91%. This indicates that CHAU's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2024FebruaryMarchApril
9.86%
3.91%
CHAU
SPY