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

Key characteristics


CWEBFXI
YTD Return26.39%36.26%
1Y Return23.91%27.08%
3Y Return (Ann)-38.68%-3.82%
5Y Return (Ann)-30.87%-3.19%
Sharpe Ratio0.340.88
Sortino Ratio1.061.47
Omega Ratio1.121.18
Calmar Ratio0.250.47
Martin Ratio1.022.60
Ulcer Index24.34%10.55%
Daily Std Dev74.22%31.37%
Max Drawdown-98.09%-72.68%
Current Drawdown-96.02%-35.50%

Correlation

-0.50.00.51.00.8

The correlation between CWEB and FXI is 0.85, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

CWEB vs. FXI - Performance Comparison

In the year-to-date period, CWEB achieves a 26.39% return, which is significantly lower than FXI's 36.26% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
12.86%
22.09%
CWEB
FXI

Compare stocks, funds, or ETFs

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


CWEB vs. FXI - Expense Ratio Comparison

CWEB has a 1.30% expense ratio, which is higher than FXI's 0.74% expense ratio.


CWEB
Direxion Daily CSI China Internet Index Bull 2x Shares
Expense ratio chart for CWEB: current value at 1.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.30%
Expense ratio chart for FXI: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%

Risk-Adjusted Performance

CWEB vs. FXI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily CSI China Internet Index Bull 2x Shares (CWEB) and iShares China Large-Cap ETF (FXI). 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.


CWEB
Sharpe ratio
The chart of Sharpe ratio for CWEB, currently valued at 0.34, compared to the broader market0.002.004.000.34
Sortino ratio
The chart of Sortino ratio for CWEB, currently valued at 1.06, compared to the broader market-2.000.002.004.006.008.0010.0012.001.06
Omega ratio
The chart of Omega ratio for CWEB, currently valued at 1.12, compared to the broader market1.001.502.002.503.001.12
Calmar ratio
The chart of Calmar ratio for CWEB, currently valued at 0.25, compared to the broader market0.005.0010.0015.0020.000.25
Martin ratio
The chart of Martin ratio for CWEB, currently valued at 1.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.02
FXI
Sharpe ratio
The chart of Sharpe ratio for FXI, currently valued at 0.88, compared to the broader market0.002.004.000.88
Sortino ratio
The chart of Sortino ratio for FXI, currently valued at 1.47, compared to the broader market-2.000.002.004.006.008.0010.0012.001.47
Omega ratio
The chart of Omega ratio for FXI, currently valued at 1.18, compared to the broader market1.001.502.002.503.001.18
Calmar ratio
The chart of Calmar ratio for FXI, currently valued at 0.47, compared to the broader market0.005.0010.0015.0020.000.47
Martin ratio
The chart of Martin ratio for FXI, currently valued at 2.60, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.60

CWEB vs. FXI - Sharpe Ratio Comparison

The current CWEB Sharpe Ratio is 0.34, which is lower than the FXI Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of CWEB and FXI, 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-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.34
0.88
CWEB
FXI

Dividends

CWEB vs. FXI - Dividend Comparison

CWEB's dividend yield for the trailing twelve months is around 2.04%, less than FXI's 2.12% yield.


TTM20232022202120202019201820172016201520142013
CWEB
Direxion Daily CSI China Internet Index Bull 2x Shares
2.04%2.63%0.00%0.00%0.00%0.64%1.59%2.98%0.00%0.00%0.00%0.00%
FXI
iShares China Large-Cap ETF
2.12%3.17%2.60%1.59%2.18%2.72%2.68%2.30%2.68%2.89%2.50%2.63%

Drawdowns

CWEB vs. FXI - Drawdown Comparison

The maximum CWEB drawdown since its inception was -98.09%, which is greater than FXI's maximum drawdown of -72.68%. Use the drawdown chart below to compare losses from any high point for CWEB and FXI. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%JuneJulyAugustSeptemberOctoberNovember
-96.02%
-35.50%
CWEB
FXI

Volatility

CWEB vs. FXI - Volatility Comparison

Direxion Daily CSI China Internet Index Bull 2x Shares (CWEB) has a higher volatility of 30.38% compared to iShares China Large-Cap ETF (FXI) at 13.03%. This indicates that CWEB's price experiences larger fluctuations and is considered to be riskier than FXI 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%JuneJulyAugustSeptemberOctoberNovember
30.38%
13.03%
CWEB
FXI