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

Performance

YANG vs. SOXL - 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 Semiconductor Bull 3x Shares (SOXL). The values are adjusted to include any dividend payments, if applicable.

-80.00%-60.00%-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-47.06%
-44.36%
YANG
SOXL

Returns By Period

In the year-to-date period, YANG achieves a -69.14% return, which is significantly lower than SOXL's -8.78% return. Over the past 10 years, YANG has underperformed SOXL with an annualized return of -36.01%, while SOXL has yielded a comparatively higher 30.95% annualized return.


YANG

YTD

-69.14%

1M

11.70%

6M

-46.72%

1Y

-63.61%

5Y (annualized)

-39.42%

10Y (annualized)

-36.01%

SOXL

YTD

-8.78%

1M

-17.87%

6M

-41.36%

1Y

24.82%

5Y (annualized)

15.68%

10Y (annualized)

30.95%

Key characteristics


YANGSOXL
Sharpe Ratio-0.650.26
Sortino Ratio-0.711.04
Omega Ratio0.911.13
Calmar Ratio-0.640.37
Martin Ratio-1.250.80
Ulcer Index51.10%32.04%
Daily Std Dev98.67%100.68%
Max Drawdown-99.96%-90.46%
Current Drawdown-99.94%-60.15%

Compare stocks, funds, or ETFs

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


YANG vs. SOXL - Expense Ratio Comparison

YANG has a 1.07% expense ratio, which is higher than SOXL's 0.99% expense ratio.


YANG
Direxion Daily China 3x Bear Shares
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%
Expense ratio chart for SOXL: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%

Correlation

-0.50.00.51.0-0.5

The correlation between YANG and SOXL is -0.54. 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.

Risk-Adjusted Performance

YANG vs. SOXL - 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 Semiconductor Bull 3x Shares (SOXL). 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 market0.002.004.00-0.650.26
The chart of Sortino ratio for YANG, currently valued at -0.71, compared to the broader market-2.000.002.004.006.008.0010.00-0.711.04
The chart of Omega ratio for YANG, currently valued at 0.91, compared to the broader market0.501.001.502.002.503.000.911.13
The chart of Calmar ratio for YANG, currently valued at -0.64, compared to the broader market0.005.0010.0015.00-0.640.37
The chart of Martin ratio for YANG, currently valued at -1.25, compared to the broader market0.0020.0040.0060.0080.00100.00-1.250.80
YANG
SOXL

The current YANG Sharpe Ratio is -0.65, which is lower than the SOXL Sharpe Ratio of 0.26. The chart below compares the historical Sharpe Ratios of YANG and SOXL, 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
-0.65
0.26
YANG
SOXL

Dividends

YANG vs. SOXL - Dividend Comparison

YANG's dividend yield for the trailing twelve months is around 2.86%, more than SOXL's 1.08% yield.


TTM2023202220212020201920182017201620152014
YANG
Direxion Daily China 3x Bear Shares
2.86%0.78%0.00%0.00%0.68%0.77%0.40%0.00%0.00%0.00%0.00%
SOXL
Direxion Daily Semiconductor Bull 3x Shares
1.08%0.51%1.08%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%

Drawdowns

YANG vs. SOXL - Drawdown Comparison

The maximum YANG drawdown since its inception was -99.96%, which is greater than SOXL's maximum drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for YANG and SOXL. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-99.93%
-60.15%
YANG
SOXL

Volatility

YANG vs. SOXL - Volatility Comparison

Direxion Daily China 3x Bear Shares (YANG) has a higher volatility of 30.74% compared to Direxion Daily Semiconductor Bull 3x Shares (SOXL) at 27.45%. This indicates that YANG's price experiences larger fluctuations and is considered to be riskier than SOXL 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%
27.45%
YANG
SOXL