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IAI vs. FAS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


IAIFAS
YTD Return35.69%96.84%
1Y Return60.45%176.52%
3Y Return (Ann)11.03%5.64%
5Y Return (Ann)19.43%15.03%
10Y Return (Ann)15.47%19.40%
Sharpe Ratio3.694.23
Sortino Ratio5.074.42
Omega Ratio1.681.57
Calmar Ratio3.492.88
Martin Ratio28.3328.29
Ulcer Index2.12%6.12%
Daily Std Dev16.27%40.90%
Max Drawdown-75.33%-94.81%
Current Drawdown0.00%-2.60%

Correlation

-0.50.00.51.00.9

The correlation between IAI and FAS is 0.89, 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.

Performance

IAI vs. FAS - Performance Comparison

In the year-to-date period, IAI achieves a 35.69% return, which is significantly lower than FAS's 96.84% return. Over the past 10 years, IAI has underperformed FAS with an annualized return of 15.47%, while FAS has yielded a comparatively higher 19.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%50.00%JuneJulyAugustSeptemberOctoberNovember
26.06%
50.19%
IAI
FAS

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IAI vs. FAS - Expense Ratio Comparison

IAI has a 0.41% expense ratio, which is lower than FAS's 1.00% expense ratio.


FAS
Direxion Daily Financial Bull 3X Shares
Expense ratio chart for FAS: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
Expense ratio chart for IAI: current value at 0.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.41%

Risk-Adjusted Performance

IAI vs. FAS - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) and Direxion Daily Financial Bull 3X Shares (FAS). 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.


IAI
Sharpe ratio
The chart of Sharpe ratio for IAI, currently valued at 3.69, compared to the broader market-2.000.002.004.003.69
Sortino ratio
The chart of Sortino ratio for IAI, currently valued at 5.07, compared to the broader market0.005.0010.005.07
Omega ratio
The chart of Omega ratio for IAI, currently valued at 1.68, compared to the broader market1.001.502.002.503.001.68
Calmar ratio
The chart of Calmar ratio for IAI, currently valued at 3.49, compared to the broader market0.005.0010.0015.003.49
Martin ratio
The chart of Martin ratio for IAI, currently valued at 28.33, compared to the broader market0.0020.0040.0060.0080.00100.0028.33
FAS
Sharpe ratio
The chart of Sharpe ratio for FAS, currently valued at 4.23, compared to the broader market-2.000.002.004.004.23
Sortino ratio
The chart of Sortino ratio for FAS, currently valued at 4.42, compared to the broader market0.005.0010.004.42
Omega ratio
The chart of Omega ratio for FAS, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for FAS, currently valued at 2.88, compared to the broader market0.005.0010.0015.002.88
Martin ratio
The chart of Martin ratio for FAS, currently valued at 28.29, compared to the broader market0.0020.0040.0060.0080.00100.0028.29

IAI vs. FAS - Sharpe Ratio Comparison

The current IAI Sharpe Ratio is 3.69, which is comparable to the FAS Sharpe Ratio of 4.23. The chart below compares the historical Sharpe Ratios of IAI and FAS, 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 Ratio1.002.003.004.005.00JuneJulyAugustSeptemberOctoberNovember
3.69
4.23
IAI
FAS

Dividends

IAI vs. FAS - Dividend Comparison

IAI's dividend yield for the trailing twelve months is around 1.04%, more than FAS's 0.83% yield.


TTM20232022202120202019201820172016201520142013
IAI
iShares U.S. Broker-Dealers & Securities Exchanges ETF
1.04%1.80%2.14%1.31%1.55%1.52%1.58%1.37%1.48%1.31%1.13%1.13%
FAS
Direxion Daily Financial Bull 3X Shares
0.83%1.77%0.91%0.60%0.47%0.62%1.43%0.11%0.00%0.00%0.00%0.00%

Drawdowns

IAI vs. FAS - Drawdown Comparison

The maximum IAI drawdown since its inception was -75.33%, smaller than the maximum FAS drawdown of -94.81%. Use the drawdown chart below to compare losses from any high point for IAI and FAS. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-2.60%
IAI
FAS

Volatility

IAI vs. FAS - Volatility Comparison

The current volatility for iShares U.S. Broker-Dealers & Securities Exchanges ETF (IAI) is 8.62%, while Direxion Daily Financial Bull 3X Shares (FAS) has a volatility of 20.54%. This indicates that IAI experiences smaller price fluctuations and is considered to be less risky than FAS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
8.62%
20.54%
IAI
FAS