^IDCOT10TR vs. TMF

Last updated Jun 5, 2026

^IDCOT10TR (ICE U.S. Treasury 10-20 Year TR Index) is an index, while TMF (Direxion Daily 20+ Year Treasury Bull 3X ETF) is Leveraged Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index (300%). Over the past 10 years, ^IDCOT10TR returned -0.73%/yr vs -16.34%/yr for TMF. Their correlation of 0.88 suggests significant overlap in exposure.

Performance

^IDCOT10TR vs. TMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) and Direxion Daily 20+ Year Treasury Bull 3X ETF (TMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^IDCOT10TR achieves a -0.78% return, which is significantly higher than TMF's -5.59% return. Over the past 10 years, ^IDCOT10TR has outperformed TMF with an annualized return of -0.73%, while TMF has yielded a comparatively lower -16.34% annualized return.

^IDCOT10TR

• 1D: 0.18%
• 1M: 0.40%
• YTD: -0.78%
• 6M: -0.76%
• 1Y: 4.25%
• 3Y*: 0.78%
• 5Y*: -3.54%
• 10Y*: -0.73%

TMF

• 1D: 0.57%
• 1M: 0.40%
• YTD: -5.59%
• 6M: -9.73%
• 1Y: -3.14%
• 3Y*: -20.49%
• 5Y*: -30.44%
• 10Y*: -16.34%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^IDCOT10TR vs. TMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^IDCOT10TR ICE U.S. Treasury 10-20 Year TR Index	-0.78%	6.86%	-3.72%	3.30%	-24.68%	-5.66%	13.56%	10.96%	-0.01%	4.19%
TMF Direxion Daily 20+ Year Treasury Bull 3X ETF	-5.59%	-2.94%	-35.95%	-13.01%	-72.60%	-19.80%	39.02%	34.75%	-11.01%	22.72%

Correlation

The correlation between ^IDCOT10TR and TMF is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.92
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.84
Correlation (All Time) Calculated using the full available price history since Apr 17, 2009	0.88

The correlation between ^IDCOT10TR and TMF shifts across timeframes, from 0.82 (5 years) to 0.96 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

^IDCOT10TR vs. TMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^IDCOT10TR

^IDCOT10TR Risk / Return Rank: 31
^IDCOT10TR Sharpe Ratio Rank: 32
^IDCOT10TR Sortino Ratio Rank: 30
^IDCOT10TR Omega Ratio Rank: 30
^IDCOT10TR Calmar Ratio Rank: 31
^IDCOT10TR Martin Ratio Rank: 31

TMF

TMF Risk / Return Rank: 8
TMF Sharpe Ratio Rank: 8
TMF Sortino Ratio Rank: 8
TMF Omega Ratio Rank: 8
TMF Calmar Ratio Rank: 8
TMF Martin Ratio Rank: 8

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^IDCOT10TR vs. TMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) and Direxion Daily 20+ Year Treasury Bull 3X ETF (TMF). 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.

	^IDCOT10TR	TMF	Difference
Sharpe ratio: Return per unit of total volatility	0.54	-0.11	+0.65
Sortino ratio: Return per unit of downside risk	0.81	0.04	+0.77
Omega ratio: Gain probability vs. loss probability	1.10	1.00	+0.09
Calmar ratio: Return relative to maximum drawdown	0.66	-0.12	+0.78
Martin ratio: Return relative to average drawdown	1.82	-0.27	+2.10
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^IDCOT10TR vs. TMF - Sharpe Ratio Comparison

The current ^IDCOT10TR Sharpe Ratio is 0.54, which is higher than the TMF Sharpe Ratio of -0.11. The chart below compares the historical Sharpe Ratios of ^IDCOT10TR and TMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^IDCOT10TR	TMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.54	-0.11	+0.65
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.28	-0.65	+0.37
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.07	-0.37	+0.31
Sharpe Ratio (All Time) Calculated using the full available price history	0.29	-0.13	+0.43

Drawdowns

^IDCOT10TR vs. TMF - Drawdown Comparison

The maximum ^IDCOT10TR drawdown since its inception was -41.24%, smaller than the maximum TMF drawdown of -92.89%. Use the drawdown chart below to compare losses from any high point for ^IDCOT10TR and TMF.

Drawdown Indicators

	^IDCOT10TR	TMF	Difference
Max Drawdown Largest peak-to-trough decline	-41.24%	-92.89%	+51.65%
Max Drawdown (1Y) Largest decline over 1 year	-6.45%	-26.51%	+20.06%
Max Drawdown (3Y) Largest decline over 3 years	-15.36%	-56.31%	+40.95%
Max Drawdown (5Y) Largest decline over 5 years	-35.44%	-88.81%	+53.37%
Max Drawdown (10Y) Largest decline over 10 years	-41.24%	-92.89%	+51.65%
Current Drawdown Current decline from peak	-29.58%	-92.18%	+62.60%
Average Drawdown Average peak-to-trough decline	-10.34%	-43.64%	+33.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.34%	11.55%	-9.21%

Volatility

^IDCOT10TR vs. TMF - Volatility Comparison

The current volatility for ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) is 2.42%, while Direxion Daily 20+ Year Treasury Bull 3X ETF (TMF) has a volatility of 7.99%. This indicates that ^IDCOT10TR experiences smaller price fluctuations and is considered to be less risky than TMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^IDCOT10TR	TMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.42%	7.99%	-5.57%
Volatility (6M) Calculated over the trailing 6-month period	5.61%	19.02%	-13.41%
Volatility (1Y) Calculated over the trailing 1-year period	8.08%	28.76%	-20.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.70%	46.72%	-34.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.94%	43.91%	-32.97%

Frequently Asked Questions

Can I hold both ^IDCOT10TR and TMF in my portfolio?

With a correlation of 0.92, ^IDCOT10TR and TMF move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ^IDCOT10TR or TMF?

TMF has higher volatility (7.99%) compared to ^IDCOT10TR (2.42%). In terms of maximum drawdown, ^IDCOT10TR dropped -41.24% vs TMF's -92.89%.

Which has better risk-adjusted returns?

^IDCOT10TR currently has the higher Sharpe Ratio (0.54 vs -0.11), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.