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YINN vs. CHAU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

YINN vs. CHAU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily China 3x Bull Shares (YINN) and Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU). The values are adjusted to include any dividend payments, if applicable.

0.00%50.00%100.00%JuneJulyAugustSeptemberOctoberNovember
3.08%
10.74%
YINN
CHAU

Returns By Period

In the year-to-date period, YINN achieves a 35.50% return, which is significantly higher than CHAU's 14.53% return.


YINN

YTD

35.50%

1M

-18.89%

6M

3.02%

1Y

8.29%

5Y (annualized)

-39.20%

10Y (annualized)

-26.01%

CHAU

YTD

14.53%

1M

-4.65%

6M

10.73%

1Y

8.33%

5Y (annualized)

-4.07%

10Y (annualized)

N/A

Key characteristics


YINNCHAU
Sharpe Ratio0.100.09
Sortino Ratio0.880.60
Omega Ratio1.111.09
Calmar Ratio0.100.07
Martin Ratio0.300.30
Ulcer Index31.03%18.75%
Daily Std Dev96.60%60.93%
Max Drawdown-98.87%-79.21%
Current Drawdown-97.71%-70.65%

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YINN vs. CHAU - Expense Ratio Comparison

YINN has a 1.52% expense ratio, which is higher than CHAU's 1.21% expense ratio.


YINN
Direxion Daily China 3x Bull Shares
Expense ratio chart for YINN: current value at 1.52% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.52%
Expense ratio chart for CHAU: current value at 1.21% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.21%

Correlation

-0.50.00.51.00.7

The correlation between YINN and CHAU is 0.74, 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

YINN vs. CHAU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily China 3x Bull Shares (YINN) and Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU). 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 YINN, currently valued at 0.10, compared to the broader market0.002.004.000.100.09
The chart of Sortino ratio for YINN, currently valued at 0.88, compared to the broader market-2.000.002.004.006.008.0010.000.880.60
The chart of Omega ratio for YINN, currently valued at 1.11, compared to the broader market0.501.001.502.002.503.001.111.09
The chart of Calmar ratio for YINN, currently valued at 0.10, compared to the broader market0.005.0010.0015.000.100.07
The chart of Martin ratio for YINN, currently valued at 0.30, compared to the broader market0.0020.0040.0060.0080.00100.000.300.30
YINN
CHAU

The current YINN Sharpe Ratio is 0.10, which is comparable to the CHAU Sharpe Ratio of 0.09. The chart below compares the historical Sharpe Ratios of YINN and CHAU, 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-1.00-0.500.000.501.001.50JuneJulyAugustSeptemberOctoberNovember
0.10
0.09
YINN
CHAU

Dividends

YINN vs. CHAU - Dividend Comparison

YINN's dividend yield for the trailing twelve months is around 2.10%, less than CHAU's 2.65% yield.


TTM2023202220212020201920182017201620152014
YINN
Direxion Daily China 3x Bull Shares
2.10%4.17%1.16%0.73%0.76%1.38%1.02%1.11%0.00%0.00%0.19%
CHAU
Direxion Daily CSI 300 China A Share Bull 2x Shares
2.65%3.97%0.77%1.73%0.09%0.57%0.82%0.00%0.00%0.00%0.00%

Drawdowns

YINN vs. CHAU - Drawdown Comparison

The maximum YINN drawdown since its inception was -98.87%, which is greater than CHAU's maximum drawdown of -79.21%. Use the drawdown chart below to compare losses from any high point for YINN and CHAU. For additional features, visit the drawdowns tool.


-100.00%-90.00%-80.00%-70.00%-60.00%-50.00%JuneJulyAugustSeptemberOctoberNovember
-97.71%
-70.65%
YINN
CHAU

Volatility

YINN vs. CHAU - Volatility Comparison

Direxion Daily China 3x Bull Shares (YINN) has a higher volatility of 30.84% compared to Direxion Daily CSI 300 China A Share Bull 2x Shares (CHAU) at 20.41%. This indicates that YINN's price experiences larger fluctuations and is considered to be riskier than CHAU 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%JuneJulyAugustSeptemberOctoberNovember
30.84%
20.41%
YINN
CHAU