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

Key characteristics


LABDVYM
YTD Return-46.03%21.47%
1Y Return-78.97%33.41%
3Y Return (Ann)-35.41%9.71%
5Y Return (Ann)-56.99%11.32%
Sharpe Ratio-1.003.25
Sortino Ratio-2.054.61
Omega Ratio0.771.60
Calmar Ratio-0.795.38
Martin Ratio-1.1821.37
Ulcer Index67.17%1.63%
Daily Std Dev79.13%10.68%
Max Drawdown-99.97%-56.98%
Current Drawdown-99.97%0.00%

Correlation

-0.50.00.51.0-0.5

The correlation between LABD and VYM is -0.47. 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.

Performance

LABD vs. VYM - Performance Comparison

In the year-to-date period, LABD achieves a -46.03% return, which is significantly lower than VYM's 21.47% 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%-30.00%-20.00%-10.00%0.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-36.36%
12.49%
LABD
VYM

Compare stocks, funds, or ETFs

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


LABD vs. VYM - Expense Ratio Comparison

LABD has a 1.06% expense ratio, which is higher than VYM's 0.06% 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 VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

LABD vs. VYM - 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 Vanguard High Dividend Yield ETF (VYM). 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 -1.00, compared to the broader market-2.000.002.004.006.00-1.00
Sortino ratio
The chart of Sortino ratio for LABD, currently valued at -2.05, compared to the broader market0.005.0010.00-2.05
Omega ratio
The chart of Omega ratio for LABD, currently valued at 0.77, compared to the broader market1.001.502.002.503.000.77
Calmar ratio
The chart of Calmar ratio for LABD, currently valued at -0.79, compared to the broader market0.005.0010.0015.00-0.79
Martin ratio
The chart of Martin ratio for LABD, currently valued at -1.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.18
VYM
Sharpe ratio
The chart of Sharpe ratio for VYM, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Sortino ratio
The chart of Sortino ratio for VYM, currently valued at 4.61, compared to the broader market0.005.0010.004.61
Omega ratio
The chart of Omega ratio for VYM, currently valued at 1.60, compared to the broader market1.001.502.002.503.001.60
Calmar ratio
The chart of Calmar ratio for VYM, currently valued at 5.38, compared to the broader market0.005.0010.0015.005.38
Martin ratio
The chart of Martin ratio for VYM, currently valued at 21.37, compared to the broader market0.0020.0040.0060.0080.00100.00120.0021.37

LABD vs. VYM - Sharpe Ratio Comparison

The current LABD Sharpe Ratio is -1.00, which is lower than the VYM Sharpe Ratio of 3.25. The chart below compares the historical Sharpe Ratios of LABD and VYM, 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
-1.00
3.25
LABD
VYM

Dividends

LABD vs. VYM - Dividend Comparison

LABD's dividend yield for the trailing twelve months is around 5.88%, more than VYM's 2.73% yield.


TTM20232022202120202019201820172016201520142013
LABD
Direxion Daily S&P Biotech Bear 3x Shares
5.88%6.14%0.53%0.00%3.96%1.75%0.80%0.00%0.00%0.00%0.00%0.00%
VYM
Vanguard High Dividend Yield ETF
2.73%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

LABD vs. VYM - Drawdown Comparison

The maximum LABD drawdown since its inception was -99.97%, which is greater than VYM's maximum drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for LABD and VYM. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.97%
0
LABD
VYM

Volatility

LABD vs. VYM - Volatility Comparison

Direxion Daily S&P Biotech Bear 3x Shares (LABD) has a higher volatility of 14.47% compared to Vanguard High Dividend Yield ETF (VYM) at 3.80%. This indicates that LABD's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
14.47%
3.80%
LABD
VYM