ITWO vs. DFEN
ITWO (Proshares Russell 2000 High Income ETF) and DFEN (Direxion Daily Aerospace & Defense Bull 3X Shares) are both exchange-traded funds - ITWO is a Derivative Income fund tracking the Cboe Russell 2000 Daily Covered Call Index, while DFEN is a Leveraged Equities fund tracking the Dow Jones U.S. Select Aerospace & Defense Index (300%). Both are passively managed. Over the past year, ITWO returned 39.04% vs 59.57% for DFEN. A 0.58 correlation means they provide meaningful diversification when combined. ITWO charges 0.55%/yr vs 0.99%/yr for DFEN.
Performance
ITWO vs. DFEN - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, ITWO achieves a 17.52% return, which is significantly higher than DFEN's 2.17% return.
ITWO
- 1D
- -1.23%
- 1M
- 3.90%
- YTD
- 17.52%
- 6M
- 16.46%
- 1Y
- 39.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
DFEN
- 1D
- -4.54%
- 1M
- 12.97%
- YTD
- 2.17%
- 6M
- 21.41%
- 1Y
- 59.57%
- 3Y*
- 63.19%
- 5Y*
- 26.54%
- 10Y*
- —
ITWO vs. DFEN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ITWO Proshares Russell 2000 High Income ETF | 17.52% | 14.25% | 3.68% |
DFEN Direxion Daily Aerospace & Defense Bull 3X Shares | 2.17% | 156.62% | 0.09% |
Correlation
The correlation between ITWO and DFEN 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 ITWO and DFEN has been stable across timeframes, ranging from 0.55 to 0.58 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
ITWO vs. DFEN — Risk / Return Rank
ITWO
DFEN
ITWO vs. DFEN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Proshares Russell 2000 High Income ETF (ITWO) and Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN). 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.
| ITWO | DFEN | 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 | 1.34 | 1.19 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 4.00 | 1.43 | +2.57 |
| Martin ratioReturn relative to average drawdown | 13.50 | 3.44 | +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. | |||
Loading charts...
Sharpe Ratios by Period
| ITWO | DFEN | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.11 | 0.95 | +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 | 1.03 | 0.21 | +0.82 |
Drawdowns
ITWO vs. DFEN - Drawdown Comparison
The maximum ITWO drawdown since its inception was -24.77%, smaller than the maximum DFEN drawdown of -91.36%. Use the drawdown chart below to compare losses from any high point for ITWO and DFEN.
Loading charts...
Drawdown Indicators
| ITWO | DFEN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.77% | -91.36% | +66.59% |
Max Drawdown (1Y)Largest decline over 1 year | -9.79% | -41.75% | +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 | -1.42% | -33.04% | +31.62% |
Average DrawdownAverage peak-to-trough decline | -5.15% | -45.27% | +40.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.90% | 17.36% | -14.46% |
Volatility
ITWO vs. DFEN - Volatility Comparison
The current volatility for Proshares Russell 2000 High Income ETF (ITWO) is 5.85%, while Direxion Daily Aerospace & Defense Bull 3X Shares (DFEN) has a volatility of 22.35%. This indicates that ITWO experiences smaller price fluctuations and is considered to be less risky than DFEN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| ITWO | DFEN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.85% | 22.35% | -16.50% |
Volatility (6M)Calculated over the trailing 6-month period | 13.36% | 53.06% | -39.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.63% | 63.21% | -44.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.48% | 60.16% | -39.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.48% | 71.48% | -51.00% |
ITWO vs. DFEN - Expense Ratio Comparison
ITWO has a 0.55% expense ratio, which is lower than DFEN's 0.99% expense ratio.
Dividends
ITWO vs. DFEN - Dividend Comparison
ITWO's dividend yield for the trailing twelve months is around 7.58%, less than DFEN's 8.74% 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
ITWO and DFEN 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, ITWO dropped -24.77% vs DFEN's -91.36%.
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.
ITWO is categorized as Derivative Income, while DFEN is Leveraged Equities. ITWO tracks Cboe Russell 2000 Daily Covered Call Index, while DFEN tracks Dow Jones U.S. Select Aerospace & Defense Index (300%). They also come from different issuers: ProShares and Direxion. Their fees differ too: 0.55% for ITWO and 0.99% for DFEN.
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.
Find the right allocation for ITWO and DFEN
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer