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YANG vs. EDZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

YANG vs. EDZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily China 3x Bear Shares (YANG) and Direxion Daily Emerging Markets Bear 3X Shares (EDZ). The values are adjusted to include any dividend payments, if applicable.

-60.00%-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-50.00%
-2.63%
YANG
EDZ

Returns By Period

In the year-to-date period, YANG achieves a -69.14% return, which is significantly lower than EDZ's -17.29% return. Over the past 10 years, YANG has underperformed EDZ with an annualized return of -36.01%, while EDZ has yielded a comparatively higher -24.66% annualized return.


YANG

YTD

-69.14%

1M

11.70%

6M

-46.72%

1Y

-63.61%

5Y (annualized)

-39.42%

10Y (annualized)

-36.01%

EDZ

YTD

-17.29%

1M

17.14%

6M

-3.96%

1Y

-25.58%

5Y (annualized)

-25.54%

10Y (annualized)

-24.66%

Key characteristics


YANGEDZ
Sharpe Ratio-0.65-0.53
Sortino Ratio-0.71-0.53
Omega Ratio0.910.94
Calmar Ratio-0.64-0.25
Martin Ratio-1.25-0.93
Ulcer Index51.10%26.79%
Daily Std Dev98.67%46.98%
Max Drawdown-99.96%-99.97%
Current Drawdown-99.94%-99.96%

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YANG vs. EDZ - Expense Ratio Comparison

YANG has a 1.07% expense ratio, which is lower than EDZ's 1.08% expense ratio.


EDZ
Direxion Daily Emerging Markets Bear 3X Shares
Expense ratio chart for EDZ: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
Expense ratio chart for YANG: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%

Correlation

-0.50.00.51.00.8

The correlation between YANG and EDZ is 0.85, 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.

Risk-Adjusted Performance

YANG vs. EDZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily China 3x Bear Shares (YANG) and Direxion Daily Emerging Markets Bear 3X Shares (EDZ). 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 YANG, currently valued at -0.65, compared to the broader market0.002.004.00-0.65-0.53
The chart of Sortino ratio for YANG, currently valued at -0.71, compared to the broader market-2.000.002.004.006.008.0010.00-0.71-0.53
The chart of Omega ratio for YANG, currently valued at 0.91, compared to the broader market0.501.001.502.002.503.000.910.94
The chart of Calmar ratio for YANG, currently valued at -0.64, compared to the broader market0.005.0010.0015.00-0.64-0.25
The chart of Martin ratio for YANG, currently valued at -1.25, compared to the broader market0.0020.0040.0060.0080.00100.00-1.25-0.93
YANG
EDZ

The current YANG Sharpe Ratio is -0.65, which is comparable to the EDZ Sharpe Ratio of -0.53. The chart below compares the historical Sharpe Ratios of YANG and EDZ, 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-1.00-0.500.00JuneJulyAugustSeptemberOctoberNovember
-0.65
-0.53
YANG
EDZ

Dividends

YANG vs. EDZ - Dividend Comparison

YANG's dividend yield for the trailing twelve months is around 2.86%, less than EDZ's 5.59% yield.


TTM202320222021202020192018
YANG
Direxion Daily China 3x Bear Shares
2.86%0.78%0.00%0.00%0.68%0.77%0.40%
EDZ
Direxion Daily Emerging Markets Bear 3X Shares
5.59%4.33%0.00%0.00%0.82%1.67%0.68%

Drawdowns

YANG vs. EDZ - Drawdown Comparison

The maximum YANG drawdown since its inception was -99.96%, roughly equal to the maximum EDZ drawdown of -99.97%. Use the drawdown chart below to compare losses from any high point for YANG and EDZ. For additional features, visit the drawdowns tool.


-100.00%-99.90%-99.80%-99.70%-99.60%-99.50%-99.40%-99.30%JuneJulyAugustSeptemberOctoberNovember
-99.94%
-99.43%
YANG
EDZ

Volatility

YANG vs. EDZ - Volatility Comparison

Direxion Daily China 3x Bear Shares (YANG) has a higher volatility of 30.74% compared to Direxion Daily Emerging Markets Bear 3X Shares (EDZ) at 14.67%. This indicates that YANG's price experiences larger fluctuations and is considered to be riskier than EDZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%20.00%30.00%40.00%50.00%60.00%70.00%JuneJulyAugustSeptemberOctoberNovember
30.74%
14.67%
YANG
EDZ