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

Correlation

The correlation between CHAU and SPY is 0.41, 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.


-0.50.00.51.00.4

Performance

CHAU vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
-62.37%
231.87%
CHAU
SPY

Key characteristics

Sharpe Ratio

CHAU:

0.32

SPY:

2.21

Sortino Ratio

CHAU:

0.92

SPY:

2.93

Omega Ratio

CHAU:

1.14

SPY:

1.41

Calmar Ratio

CHAU:

0.25

SPY:

3.26

Martin Ratio

CHAU:

0.91

SPY:

14.43

Ulcer Index

CHAU:

22.03%

SPY:

1.90%

Daily Std Dev

CHAU:

63.41%

SPY:

12.41%

Max Drawdown

CHAU:

-79.21%

SPY:

-55.19%

Current Drawdown

CHAU:

-72.12%

SPY:

-2.74%

Returns By Period

In the year-to-date period, CHAU achieves a 8.80% return, which is significantly lower than SPY's 25.54% return.


CHAU

YTD

8.80%

1M

-4.46%

6M

14.24%

1Y

15.57%

5Y*

-7.17%

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


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.


Sharpe ratio
The chart of Sharpe ratio for CHAU, currently valued at 0.32, compared to the broader market0.002.004.000.322.21
The chart of Sortino ratio for CHAU, currently valued at 0.92, compared to the broader market-2.000.002.004.006.008.0010.000.922.93
The chart of Omega ratio for CHAU, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.41
The chart of Calmar ratio for CHAU, currently valued at 0.25, compared to the broader market0.005.0010.0015.000.253.26
The chart of Martin ratio for CHAU, currently valued at 0.91, compared to the broader market0.0020.0040.0060.0080.00100.000.9114.43
CHAU
SPY

The current CHAU Sharpe Ratio is 0.32, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of CHAU and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.32
2.21
CHAU
SPY

Dividends

CHAU vs. SPY - Dividend Comparison

CHAU's dividend yield for the trailing twelve months is around 1.24%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
CHAU
Direxion Daily CSI 300 China A Share Bull 2x Shares
1.24%3.97%0.77%1.73%0.09%0.57%0.82%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%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%JulyAugustSeptemberOctoberNovemberDecember
-72.12%
-2.74%
CHAU
SPY

Volatility

CHAU vs. SPY - Volatility Comparison

Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU) has a higher volatility of 20.10% compared to SPDR S&P 500 ETF (SPY) at 3.72%. 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.


0.00%10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
20.10%
3.72%
CHAU
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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