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

Correlation

The correlation between DFEN and PPA is 0.96, 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.


-0.50.00.51.01.0

Performance

DFEN vs. PPA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) and Invesco Aerospace & Defense ETF (PPA). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
40.39%
176.63%
DFEN
PPA

Key characteristics

Sharpe Ratio

DFEN:

0.81

PPA:

2.03

Sortino Ratio

DFEN:

1.29

PPA:

2.72

Omega Ratio

DFEN:

1.17

PPA:

1.37

Calmar Ratio

DFEN:

0.55

PPA:

3.50

Martin Ratio

DFEN:

4.55

PPA:

13.06

Ulcer Index

DFEN:

8.40%

PPA:

2.27%

Daily Std Dev

DFEN:

47.32%

PPA:

14.62%

Max Drawdown

DFEN:

-91.36%

PPA:

-57.37%

Current Drawdown

DFEN:

-52.95%

PPA:

-6.66%

Returns By Period

In the year-to-date period, DFEN achieves a 30.43% return, which is significantly higher than PPA's 26.56% return.


DFEN

YTD

30.43%

1M

-11.32%

6M

16.06%

1Y

34.49%

5Y*

-10.56%

10Y*

N/A

PPA

YTD

26.56%

1M

-1.92%

6M

12.09%

1Y

28.06%

5Y*

11.95%

10Y*

13.80%

Compare stocks, funds, or ETFs

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


DFEN vs. PPA - Expense Ratio Comparison

DFEN has a 0.99% expense ratio, which is higher than PPA's 0.61% expense ratio.


DFEN
Direxion Daily Aerospace & Defense Bull 3X Shares
Expense ratio chart for DFEN: 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%
Expense ratio chart for PPA: current value at 0.61% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.61%

Risk-Adjusted Performance

DFEN vs. PPA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) and Invesco Aerospace & Defense ETF (PPA). 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 DFEN, currently valued at 0.81, compared to the broader market0.002.004.000.812.03
The chart of Sortino ratio for DFEN, currently valued at 1.29, compared to the broader market-2.000.002.004.006.008.0010.001.292.72
The chart of Omega ratio for DFEN, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.37
The chart of Calmar ratio for DFEN, currently valued at 0.55, compared to the broader market0.005.0010.0015.000.553.50
The chart of Martin ratio for DFEN, currently valued at 4.55, compared to the broader market0.0020.0040.0060.0080.00100.004.5513.06
DFEN
PPA

The current DFEN Sharpe Ratio is 0.81, which is lower than the PPA Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of DFEN and PPA, 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 Ratio0.501.001.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
0.81
2.03
DFEN
PPA

Dividends

DFEN vs. PPA - Dividend Comparison

DFEN's dividend yield for the trailing twelve months is around 13.38%, more than PPA's 0.33% yield.


TTM20232022202120202019201820172016201520142013
DFEN
Direxion Daily Aerospace & Defense Bull 3X Shares
13.38%1.13%0.46%1.89%0.48%0.50%1.07%1.46%0.00%0.00%0.00%0.00%
PPA
Invesco Aerospace & Defense ETF
0.33%0.67%0.83%0.59%0.88%0.95%0.90%0.67%1.70%1.41%0.62%1.26%

Drawdowns

DFEN vs. PPA - Drawdown Comparison

The maximum DFEN drawdown since its inception was -91.36%, which is greater than PPA's maximum drawdown of -57.37%. Use the drawdown chart below to compare losses from any high point for DFEN and PPA. For additional features, visit the drawdowns tool.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-52.95%
-6.66%
DFEN
PPA

Volatility

DFEN vs. PPA - Volatility Comparison

Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) has a higher volatility of 17.65% compared to Invesco Aerospace & Defense ETF (PPA) at 5.17%. This indicates that DFEN's price experiences larger fluctuations and is considered to be riskier than PPA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
17.65%
5.17%
DFEN
PPA
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