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CWEB vs. SSO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CWEB vs. SSO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily CSI China Internet Index Bull 2x Shares (CWEB) and ProShares Ultra S&P 500 (SSO). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%400.00%500.00%JuneJulyAugustSeptemberOctoberNovember
-84.73%
479.26%
CWEB
SSO

Returns By Period

In the year-to-date period, CWEB achieves a 3.21% return, which is significantly lower than SSO's 43.76% return.


CWEB

YTD

3.21%

1M

-14.94%

6M

-22.17%

1Y

0.20%

5Y (annualized)

-32.38%

10Y (annualized)

N/A

SSO

YTD

43.76%

1M

0.48%

6M

18.81%

1Y

60.14%

5Y (annualized)

21.93%

10Y (annualized)

19.91%

Key characteristics


CWEBSSO
Sharpe Ratio-0.092.48
Sortino Ratio0.433.07
Omega Ratio1.051.42
Calmar Ratio-0.072.93
Martin Ratio-0.2915.24
Ulcer Index25.06%3.97%
Daily Std Dev76.24%24.32%
Max Drawdown-98.09%-84.67%
Current Drawdown-96.75%-4.42%

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CWEB vs. SSO - Expense Ratio Comparison

CWEB has a 1.30% expense ratio, which is higher than SSO's 0.90% 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 SSO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Correlation

-0.50.00.51.00.5

The correlation between CWEB and SSO is 0.48, 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.

Risk-Adjusted Performance

CWEB vs. SSO - 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 ProShares Ultra S&P 500 (SSO). 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 CWEB, currently valued at -0.09, compared to the broader market0.002.004.00-0.092.48
The chart of Sortino ratio for CWEB, currently valued at 0.43, compared to the broader market-2.000.002.004.006.008.0010.000.433.07
The chart of Omega ratio for CWEB, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.42
The chart of Calmar ratio for CWEB, currently valued at -0.07, compared to the broader market0.005.0010.0015.00-0.072.93
The chart of Martin ratio for CWEB, currently valued at -0.29, compared to the broader market0.0020.0040.0060.0080.00100.00-0.2915.24
CWEB
SSO

The current CWEB Sharpe Ratio is -0.09, which is lower than the SSO Sharpe Ratio of 2.48. The chart below compares the historical Sharpe Ratios of CWEB and SSO, 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-1.000.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.09
2.48
CWEB
SSO

Dividends

CWEB vs. SSO - Dividend Comparison

CWEB's dividend yield for the trailing twelve months is around 2.50%, more than SSO's 0.71% yield.


TTM20232022202120202019201820172016201520142013
CWEB
Direxion Daily CSI China Internet Index Bull 2x Shares
2.50%2.63%0.00%0.00%0.00%0.64%1.59%2.98%0.00%0.00%0.00%0.00%
SSO
ProShares Ultra S&P 500
0.71%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.51%0.63%0.32%0.26%

Drawdowns

CWEB vs. SSO - Drawdown Comparison

The maximum CWEB drawdown since its inception was -98.09%, which is greater than SSO's maximum drawdown of -84.67%. Use the drawdown chart below to compare losses from any high point for CWEB and SSO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-96.75%
-4.42%
CWEB
SSO

Volatility

CWEB vs. SSO - Volatility Comparison

Direxion Daily CSI China Internet Index Bull 2x Shares (CWEB) has a higher volatility of 24.59% compared to ProShares Ultra S&P 500 (SSO) at 8.16%. This indicates that CWEB's price experiences larger fluctuations and is considered to be riskier than SSO 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
24.59%
8.16%
CWEB
SSO