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

Performance

CWEB vs. YANG - 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 Direxion Daily China 3x Bear Shares (YANG). The values are adjusted to include any dividend payments, if applicable.

-60.00%-40.00%-20.00%0.00%20.00%40.00%60.00%JuneJulyAugustSeptemberOctoberNovember
-6.95%
-46.60%
CWEB
YANG

Returns By Period

In the year-to-date period, CWEB achieves a 5.95% return, which is significantly higher than YANG's -69.14% return.


CWEB

YTD

5.95%

1M

-13.43%

6M

-6.93%

1Y

-0.10%

5Y (annualized)

-31.81%

10Y (annualized)

N/A

YANG

YTD

-69.14%

1M

11.70%

6M

-46.72%

1Y

-63.61%

5Y (annualized)

-39.42%

10Y (annualized)

-36.01%

Key characteristics


CWEBYANG
Sharpe Ratio0.01-0.65
Sortino Ratio0.59-0.71
Omega Ratio1.070.91
Calmar Ratio0.01-0.64
Martin Ratio0.03-1.25
Ulcer Index25.26%51.10%
Daily Std Dev75.54%98.67%
Max Drawdown-98.09%-99.96%
Current Drawdown-96.66%-99.94%

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. YANG - Expense Ratio Comparison

CWEB has a 1.30% expense ratio, which is higher than YANG's 1.07% 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 YANG: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%

Correlation

-0.50.00.51.0-0.8

The correlation between CWEB and YANG is -0.85. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Risk-Adjusted Performance

CWEB vs. YANG - 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 Direxion Daily China 3x Bear Shares (YANG). 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 0.01, compared to the broader market0.002.004.000.01-0.65
The chart of Sortino ratio for CWEB, currently valued at 0.59, compared to the broader market-2.000.002.004.006.008.0010.0012.000.59-0.71
The chart of Omega ratio for CWEB, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.070.91
The chart of Calmar ratio for CWEB, currently valued at 0.01, compared to the broader market0.005.0010.0015.000.01-0.65
The chart of Martin ratio for CWEB, currently valued at 0.03, compared to the broader market0.0020.0040.0060.0080.00100.00120.000.03-1.25
CWEB
YANG

The current CWEB Sharpe Ratio is 0.01, which is higher than the YANG Sharpe Ratio of -0.65. The chart below compares the historical Sharpe Ratios of CWEB and YANG, 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-1.00-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
0.01
-0.65
CWEB
YANG

Dividends

CWEB vs. YANG - Dividend Comparison

CWEB's dividend yield for the trailing twelve months is around 2.44%, less than YANG's 2.86% yield.


TTM2023202220212020201920182017
CWEB
Direxion Daily CSI China Internet Index Bull 2x Shares
2.44%2.63%0.00%0.00%0.00%0.64%1.59%2.98%
YANG
Direxion Daily China 3x Bear Shares
2.86%0.78%0.00%0.00%0.68%0.77%0.40%0.00%

Drawdowns

CWEB vs. YANG - Drawdown Comparison

The maximum CWEB drawdown since its inception was -98.09%, roughly equal to the maximum YANG drawdown of -99.96%. Use the drawdown chart below to compare losses from any high point for CWEB and YANG. For additional features, visit the drawdowns tool.


-99.00%-98.00%-97.00%-96.00%-95.00%-94.00%JuneJulyAugustSeptemberOctoberNovember
-96.66%
-97.74%
CWEB
YANG

Volatility

CWEB vs. YANG - Volatility Comparison

The current volatility for Direxion Daily CSI China Internet Index Bull 2x Shares (CWEB) is 23.36%, while Direxion Daily China 3x Bear Shares (YANG) has a volatility of 30.74%. This indicates that CWEB experiences smaller price fluctuations and is considered to be less risky than YANG 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%60.00%70.00%JuneJulyAugustSeptemberOctoberNovember
23.36%
30.74%
CWEB
YANG