DFEN vs. ITWO
DFEN (Direxion Daily Aerospace & Defense Bull 3X Shares) and ITWO (Proshares Russell 2000 High Income ETF) are both exchange-traded funds - DFEN is a Leveraged Equities fund tracking the Dow Jones U.S. Select Aerospace & Defense Index (300%), while ITWO is a Derivative Income fund tracking the Cboe Russell 2000 Daily Covered Call Index. Both are passively managed. Over the past year, DFEN returned 59.57% vs 39.04% for ITWO. A 0.58 correlation means they provide meaningful diversification when combined. DFEN charges 0.99%/yr vs 0.55%/yr for ITWO.
Performance
DFEN vs. ITWO - Performance Comparison
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Returns By Period
In the year-to-date period, DFEN achieves a 2.17% return, which is significantly lower than ITWO's 17.52% return.
DFEN
- 1D
- -4.54%
- 1M
- 12.97%
- YTD
- 2.17%
- 6M
- 21.41%
- 1Y
- 59.57%
- 3Y*
- 63.19%
- 5Y*
- 26.54%
- 10Y*
- —
ITWO
- 1D
- -1.23%
- 1M
- 3.90%
- YTD
- 17.52%
- 6M
- 16.46%
- 1Y
- 39.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
DFEN vs. ITWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
DFEN Direxion Daily Aerospace & Defense Bull 3X Shares | 2.17% | 156.62% | 0.09% |
ITWO Proshares Russell 2000 High Income ETF | 17.52% | 14.25% | 3.68% |
Correlation
The correlation between DFEN and ITWO is 0.55, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.55 |
Correlation (All Time) Calculated using the full available price history since Sep 6, 2024 | 0.58 |
The correlation between DFEN and ITWO has been stable across timeframes, ranging from 0.55 to 0.58 - a consistent structural relationship.
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Return for Risk
DFEN vs. ITWO — Risk / Return Rank
DFEN
ITWO
DFEN vs. ITWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) and Proshares Russell 2000 High Income ETF (ITWO). 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.
| DFEN | ITWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.17 | ||
| Sortino ratioReturn per unit of downside risk | -1.27 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.34 | -0.15 |
| Calmar ratioReturn relative to maximum drawdown | 1.43 | 4.00 | -2.57 |
| Martin ratioReturn relative to average drawdown | 3.44 | 13.50 | -10.06 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DFEN | ITWO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.95 | 2.11 | -1.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.44 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.21 | 1.03 | -0.82 |
Drawdowns
DFEN vs. ITWO - Drawdown Comparison
The maximum DFEN drawdown since its inception was -91.36%, which is greater than ITWO's maximum drawdown of -24.77%. Use the drawdown chart below to compare losses from any high point for DFEN and ITWO.
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Drawdown Indicators
| DFEN | ITWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -91.36% | -24.77% | -66.59% |
Max Drawdown (1Y)Largest decline over 1 year | -41.75% | -9.79% | -31.96% |
Max Drawdown (3Y)Largest decline over 3 years | -43.13% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -56.23% | — | — |
Current DrawdownCurrent decline from peak | -33.04% | -1.42% | -31.62% |
Average DrawdownAverage peak-to-trough decline | -45.27% | -5.15% | -40.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 17.36% | 2.90% | +14.46% |
Volatility
DFEN vs. ITWO - Volatility Comparison
Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) has a higher volatility of 22.35% compared to Proshares Russell 2000 High Income ETF (ITWO) at 5.85%. This indicates that DFEN's price experiences larger fluctuations and is considered to be riskier than ITWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFEN | ITWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 22.35% | 5.85% | +16.50% |
Volatility (6M)Calculated over the trailing 6-month period | 53.06% | 13.36% | +39.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 63.21% | 18.63% | +44.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 60.16% | 20.48% | +39.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 71.48% | 20.48% | +51.00% |
DFEN vs. ITWO - Expense Ratio Comparison
DFEN has a 0.99% expense ratio, which is higher than ITWO's 0.55% expense ratio.
Dividends
DFEN vs. ITWO - Dividend Comparison
DFEN's dividend yield for the trailing twelve months is around 8.74%, more than ITWO's 7.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
DFEN Direxion Daily Aerospace & Defense Bull 3X Shares | 8.74% | 8.89% | 14.12% | 1.13% | 0.46% | 1.89% | 0.48% | 0.50% | 1.07% | 1.50% |
ITWO Proshares Russell 2000 High Income ETF | 7.58% | 12.12% | 4.11% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DFEN and ITWO have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DFEN has higher volatility (22.35%) compared to ITWO (5.85%). In terms of maximum drawdown, DFEN dropped -91.36% vs ITWO's -24.77%.
On 1-year performance, DFEN leads with 59.57% vs 39.04% for ITWO. On fees, ITWO is cheaper at 0.55% per year. On volatility, ITWO has been the lower-risk option at 5.85%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, DFEN has performed better with a 59.57% return vs 39.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ITWO is cheaper with a 0.55% expense ratio, compared with 0.99% for DFEN.
DFEN has the higher dividend yield at 8.74%, compared with 7.58% for ITWO.
DFEN is categorized as Leveraged Equities, while ITWO is Derivative Income. DFEN tracks Dow Jones U.S. Select Aerospace & Defense Index (300%), while ITWO tracks Cboe Russell 2000 Daily Covered Call Index. They also come from different issuers: Direxion and ProShares. Their fees differ too: 0.99% for DFEN and 0.55% for ITWO.
ITWO currently has the higher Sharpe Ratio (2.11 vs 0.95), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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