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DUST vs. GC=F
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between DUST and GC=F is -0.31. 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.


-0.50.00.51.0-0.3

Performance

DUST vs. GC=F - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Gold Miners Bear 2X Shares (DUST) and Gold (GC=F). The values are adjusted to include any dividend payments, if applicable.

-30.00%-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember0
13.48%
DUST
GC=F

Key characteristics

Sharpe Ratio

DUST:

-0.54

GC=F:

2.06

Sortino Ratio

DUST:

-0.50

GC=F:

2.59

Omega Ratio

DUST:

0.95

GC=F:

1.37

Calmar Ratio

DUST:

-0.34

GC=F:

3.78

Martin Ratio

DUST:

-0.72

GC=F:

10.45

Ulcer Index

DUST:

47.53%

GC=F:

2.89%

Daily Std Dev

DUST:

62.99%

GC=F:

14.53%

Max Drawdown

DUST:

-100.00%

GC=F:

-44.36%

Current Drawdown

DUST:

-99.99%

GC=F:

-5.73%

Returns By Period

In the year-to-date period, DUST achieves a -32.92% return, which is significantly lower than GC=F's 27.46% return. Over the past 10 years, DUST has underperformed GC=F with an annualized return of -57.70%, while GC=F has yielded a comparatively higher 7.37% annualized return.


DUST

YTD

-32.92%

1M

15.89%

6M

-12.71%

1Y

-31.65%

5Y*

-48.07%

10Y*

-57.70%

GC=F

YTD

27.46%

1M

-0.74%

6M

13.48%

1Y

28.91%

5Y*

10.83%

10Y*

7.37%

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Risk-Adjusted Performance

DUST vs. GC=F - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Gold Miners Bear 2X Shares (DUST) and Gold (GC=F). 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 DUST, currently valued at -0.77, compared to the broader market0.002.004.00-0.772.06
The chart of Sortino ratio for DUST, currently valued at -1.02, compared to the broader market-2.000.002.004.006.008.0010.00-1.022.59
The chart of Omega ratio for DUST, currently valued at 0.89, compared to the broader market0.501.001.502.002.503.000.891.37
The chart of Calmar ratio for DUST, currently valued at -0.47, compared to the broader market0.005.0010.0015.00-0.473.78
The chart of Martin ratio for DUST, currently valued at -0.94, compared to the broader market0.0020.0040.0060.0080.00100.00-0.9410.45
DUST
GC=F

The current DUST Sharpe Ratio is -0.54, which is lower than the GC=F Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of DUST and GC=F, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.77
2.06
DUST
GC=F

Drawdowns

DUST vs. GC=F - Drawdown Comparison

The maximum DUST drawdown since its inception was -100.00%, which is greater than GC=F's maximum drawdown of -44.36%. Use the drawdown chart below to compare losses from any high point for DUST and GC=F. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-99.99%
-5.73%
DUST
GC=F

Volatility

DUST vs. GC=F - Volatility Comparison

Direxion Daily Gold Miners Bear 2X Shares (DUST) has a higher volatility of 18.87% compared to Gold (GC=F) at 5.48%. This indicates that DUST's price experiences larger fluctuations and is considered to be riskier than GC=F 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
18.87%
5.48%
DUST
GC=F
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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.

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