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LABD vs. KOLD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


LABDKOLD
YTD Return-46.99%71.79%
1Y Return-79.65%182.15%
3Y Return (Ann)-34.58%-0.79%
5Y Return (Ann)-57.17%-19.79%
Sharpe Ratio-0.962.00
Sortino Ratio-1.872.38
Omega Ratio0.791.29
Calmar Ratio-0.772.03
Martin Ratio-1.147.62
Ulcer Index67.45%25.75%
Daily Std Dev80.00%98.23%
Max Drawdown-99.97%-99.45%
Current Drawdown-99.97%-90.40%

Correlation

-0.50.00.51.00.0

The correlation between LABD and KOLD is 0.02, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

LABD vs. KOLD - Performance Comparison

In the year-to-date period, LABD achieves a -46.99% return, which is significantly lower than KOLD's 71.79% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-41.67%
35.50%
LABD
KOLD

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LABD vs. KOLD - Expense Ratio Comparison

LABD has a 1.06% expense ratio, which is higher than KOLD's 0.95% expense ratio.


LABD
Direxion Daily S&P Biotech Bear 3x Shares
Expense ratio chart for LABD: current value at 1.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.06%
Expense ratio chart for KOLD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

LABD vs. KOLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily S&P Biotech Bear 3x Shares (LABD) and ProShares UltraShort Bloomberg Natural Gas (KOLD). 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.


LABD
Sharpe ratio
The chart of Sharpe ratio for LABD, currently valued at -0.96, compared to the broader market-2.000.002.004.00-0.96
Sortino ratio
The chart of Sortino ratio for LABD, currently valued at -1.87, compared to the broader market-2.000.002.004.006.008.0010.0012.00-1.87
Omega ratio
The chart of Omega ratio for LABD, currently valued at 0.79, compared to the broader market1.001.502.002.503.000.79
Calmar ratio
The chart of Calmar ratio for LABD, currently valued at -0.77, compared to the broader market0.005.0010.0015.00-0.77
Martin ratio
The chart of Martin ratio for LABD, currently valued at -1.14, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.14
KOLD
Sharpe ratio
The chart of Sharpe ratio for KOLD, currently valued at 2.00, compared to the broader market-2.000.002.004.002.00
Sortino ratio
The chart of Sortino ratio for KOLD, currently valued at 2.38, compared to the broader market-2.000.002.004.006.008.0010.0012.002.38
Omega ratio
The chart of Omega ratio for KOLD, currently valued at 1.29, compared to the broader market1.001.502.002.503.001.29
Calmar ratio
The chart of Calmar ratio for KOLD, currently valued at 2.03, compared to the broader market0.005.0010.0015.002.03
Martin ratio
The chart of Martin ratio for KOLD, currently valued at 7.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.62

LABD vs. KOLD - Sharpe Ratio Comparison

The current LABD Sharpe Ratio is -0.96, which is lower than the KOLD Sharpe Ratio of 2.00. The chart below compares the historical Sharpe Ratios of LABD and KOLD, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.96
2.00
LABD
KOLD

Dividends

LABD vs. KOLD - Dividend Comparison

LABD's dividend yield for the trailing twelve months is around 5.98%, while KOLD has not paid dividends to shareholders.


TTM202320222021202020192018
LABD
Direxion Daily S&P Biotech Bear 3x Shares
5.98%6.14%0.53%0.00%3.96%1.75%0.80%
KOLD
ProShares UltraShort Bloomberg Natural Gas
0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

LABD vs. KOLD - Drawdown Comparison

The maximum LABD drawdown since its inception was -99.97%, roughly equal to the maximum KOLD drawdown of -99.45%. Use the drawdown chart below to compare losses from any high point for LABD and KOLD. For additional features, visit the drawdowns tool.


-100.00%-98.00%-96.00%-94.00%-92.00%-90.00%JuneJulyAugustSeptemberOctoberNovember
-99.97%
-90.40%
LABD
KOLD

Volatility

LABD vs. KOLD - Volatility Comparison

The current volatility for Direxion Daily S&P Biotech Bear 3x Shares (LABD) is 15.91%, while ProShares UltraShort Bloomberg Natural Gas (KOLD) has a volatility of 22.91%. This indicates that LABD experiences smaller price fluctuations and is considered to be less risky than KOLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


15.00%20.00%25.00%30.00%35.00%40.00%JuneJulyAugustSeptemberOctoberNovember
15.91%
22.91%
LABD
KOLD