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

Performance

YANG vs. SRTY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily China 3x Bear Shares (YANG) and ProShares UltraPro Short Russell2000 (SRTY). The values are adjusted to include any dividend payments, if applicable.

-60.00%-40.00%-20.00%0.00%20.00%40.00%JuneJulyAugustSeptemberOctoberNovember
-46.15%
-50.00%
YANG
SRTY

Returns By Period

In the year-to-date period, YANG achieves a -69.32% return, which is significantly lower than SRTY's -40.12% return. Over the past 10 years, YANG has outperformed SRTY with an annualized return of -36.12%, while SRTY has yielded a comparatively lower -40.53% annualized return.


YANG

YTD

-69.32%

1M

13.29%

6M

-41.33%

1Y

-62.19%

5Y (annualized)

-39.45%

10Y (annualized)

-36.12%

SRTY

YTD

-40.12%

1M

-8.52%

6M

-31.63%

1Y

-58.23%

5Y (annualized)

-48.76%

10Y (annualized)

-40.53%

Key characteristics


YANGSRTY
Sharpe Ratio-0.65-0.94
Sortino Ratio-0.73-1.46
Omega Ratio0.910.83
Calmar Ratio-0.65-0.59
Martin Ratio-1.28-1.45
Ulcer Index50.61%40.57%
Daily Std Dev99.02%62.77%
Max Drawdown-99.96%-99.99%
Current Drawdown-99.94%-99.99%

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YANG vs. SRTY - Expense Ratio Comparison

YANG has a 1.07% expense ratio, which is higher than SRTY's 0.95% 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 SRTY: 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%

Correlation

-0.50.00.51.00.5

The correlation between YANG and SRTY is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Risk-Adjusted Performance

YANG vs. SRTY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily China 3x Bear Shares (YANG) and ProShares UltraPro Short Russell2000 (SRTY). 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 market0.002.004.006.00-0.65-0.94
The chart of Sortino ratio for YANG, currently valued at -0.73, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.73-1.46
The chart of Omega ratio for YANG, currently valued at 0.91, compared to the broader market0.501.001.502.002.503.000.910.83
The chart of Calmar ratio for YANG, currently valued at -0.65, compared to the broader market0.005.0010.0015.0020.00-0.65-0.59
The chart of Martin ratio for YANG, currently valued at -1.28, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-1.28-1.45
YANG
SRTY

The current YANG Sharpe Ratio is -0.65, which is higher than the SRTY Sharpe Ratio of -0.94. The chart below compares the historical Sharpe Ratios of YANG and SRTY, 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
-0.94
YANG
SRTY

Dividends

YANG vs. SRTY - Dividend Comparison

YANG's dividend yield for the trailing twelve months is around 5.69%, less than SRTY's 10.50% yield.


TTM2023202220212020201920182017
YANG
Direxion Daily China 3x Bear Shares
5.69%1.95%0.00%0.00%0.68%0.95%0.19%0.00%
SRTY
ProShares UltraPro Short Russell2000
10.50%4.93%0.16%0.00%0.95%2.12%0.70%0.04%

Drawdowns

YANG vs. SRTY - Drawdown Comparison

The maximum YANG drawdown since its inception was -99.96%, roughly equal to the maximum SRTY drawdown of -99.99%. Use the drawdown chart below to compare losses from any high point for YANG and SRTY. For additional features, visit the drawdowns tool.


-100.00%-99.95%-99.90%-99.85%JuneJulyAugustSeptemberOctoberNovember
-99.93%
-99.99%
YANG
SRTY

Volatility

YANG vs. SRTY - Volatility Comparison

Direxion Daily China 3x Bear Shares (YANG) has a higher volatility of 30.79% compared to ProShares UltraPro Short Russell2000 (SRTY) at 24.39%. This indicates that YANG's price experiences larger fluctuations and is considered to be riskier than SRTY 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
30.79%
24.39%
YANG
SRTY