PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DRN vs. CHAU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DRN and CHAU is 0.22, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

DRN vs. CHAU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Real Estate Bull 3x Shares (DRN) and Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU). The values are adjusted to include any dividend payments, if applicable.

-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-40.42%
-62.37%
DRN
CHAU

Key characteristics

Sharpe Ratio

DRN:

-0.03

CHAU:

0.32

Sortino Ratio

DRN:

0.29

CHAU:

0.92

Omega Ratio

DRN:

1.04

CHAU:

1.14

Calmar Ratio

DRN:

-0.02

CHAU:

0.25

Martin Ratio

DRN:

-0.11

CHAU:

0.91

Ulcer Index

DRN:

15.95%

CHAU:

22.03%

Daily Std Dev

DRN:

48.94%

CHAU:

63.41%

Max Drawdown

DRN:

-86.32%

CHAU:

-79.21%

Current Drawdown

DRN:

-68.45%

CHAU:

-72.12%

Returns By Period

In the year-to-date period, DRN achieves a -6.96% return, which is significantly lower than CHAU's 8.80% return.


DRN

YTD

-6.96%

1M

-19.08%

6M

13.46%

1Y

-3.79%

5Y*

-16.88%

10Y*

-5.17%

CHAU

YTD

8.80%

1M

-4.46%

6M

14.24%

1Y

15.57%

5Y*

-7.17%

10Y*

N/A

Compare stocks, funds, or ETFs

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


DRN vs. CHAU - Expense Ratio Comparison

DRN has a 0.99% expense ratio, which is lower than CHAU's 1.21% 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 DRN: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%

Risk-Adjusted Performance

DRN vs. CHAU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Real Estate Bull 3x Shares (DRN) and Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU). 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 DRN, currently valued at -0.03, compared to the broader market0.002.004.00-0.030.32
The chart of Sortino ratio for DRN, currently valued at 0.29, compared to the broader market-2.000.002.004.006.008.0010.000.290.92
The chart of Omega ratio for DRN, currently valued at 1.04, compared to the broader market0.501.001.502.002.503.001.041.14
The chart of Calmar ratio for DRN, currently valued at -0.02, compared to the broader market0.005.0010.0015.00-0.020.25
The chart of Martin ratio for DRN, currently valued at -0.11, compared to the broader market0.0020.0040.0060.0080.00100.00-0.110.91
DRN
CHAU

The current DRN Sharpe Ratio is -0.03, which is lower than the CHAU Sharpe Ratio of 0.32. The chart below compares the historical Sharpe Ratios of DRN and CHAU, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.03
0.32
DRN
CHAU

Dividends

DRN vs. CHAU - Dividend Comparison

DRN's dividend yield for the trailing twelve months is around 1.82%, more than CHAU's 1.24% yield.


TTM2023202220212020201920182017
DRN
Direxion Daily Real Estate Bull 3x Shares
1.82%2.84%2.70%4.21%1.91%2.59%3.12%0.92%
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%

Drawdowns

DRN vs. CHAU - Drawdown Comparison

The maximum DRN drawdown since its inception was -86.32%, which is greater than CHAU's maximum drawdown of -79.21%. Use the drawdown chart below to compare losses from any high point for DRN and CHAU. For additional features, visit the drawdowns tool.


-80.00%-75.00%-70.00%-65.00%-60.00%-55.00%-50.00%-45.00%JulyAugustSeptemberOctoberNovemberDecember
-68.45%
-72.12%
DRN
CHAU

Volatility

DRN vs. CHAU - Volatility Comparison

The current volatility for Direxion Daily Real Estate Bull 3x Shares (DRN) is 17.44%, while Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU) has a volatility of 20.10%. This indicates that DRN experiences smaller price fluctuations and is considered to be less risky than CHAU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%20.00%30.00%40.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
17.44%
20.10%
DRN
CHAU
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab