^SP600 vs. TMF
^SP600 (S&P 600) 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, ^SP600 returned 9.06%/yr vs -17.90%/yr for TMF. At a correlation of -0.24, they often move in opposite directions.
Performance
^SP600 vs. TMF - Performance Comparison
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Returns By Period
In the year-to-date period, ^SP600 achieves a 20.10% return, which is significantly higher than TMF's -10.63% return. Over the past 10 years, ^SP600 has outperformed TMF with an annualized return of 9.06%, while TMF has yielded a comparatively lower -17.90% annualized return.
^SP600
- 1D
- -0.39%
- 1M
- 1.04%
- 6M
- 14.10%
- YTD
- 20.10%
- 1Y
- 28.06%
- 3Y*
- 12.54%
- 5Y*
- 5.90%
- 10Y*
- 9.06%
TMF
- 1D
- -1.85%
- 1M
- -5.74%
- 6M
- -11.74%
- YTD
- -10.63%
- 1Y
- -5.83%
- 3Y*
- -21.26%
- 5Y*
- -33.16%
- 10Y*
- -17.90%
^SP600 vs. TMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SP600 S&P 600 | 20.10% | 4.23% | 6.82% | 13.89% | -17.42% | 25.27% | 9.57% | 20.86% | -9.75% | 11.73% |
TMF Direxion Daily 20+ Year Treasury Bull 3X ETF | -10.63% | -2.94% | -35.95% | -13.01% | -72.60% | -19.80% | 39.02% | 34.75% | -11.01% | 22.72% |
Correlation
The correlation between ^SP600 and TMF is 0.29, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.29 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.10 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Apr 16, 2009 | -0.24 |
The correlation between ^SP600 and TMF shifts across timeframes, from -0.24 (all time) to 0.29 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
^SP600 vs. TMF — Risk / Return Rank
^SP600
TMF
^SP600 vs. TMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^SP600 | TMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.82 | ||
| Sortino ratioReturn per unit of downside risk | +2.51 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 0.99 | +0.29 |
| Calmar ratioReturn relative to maximum drawdown | 3.15 | -0.22 | +3.37 |
| Martin ratioReturn relative to average drawdown | 10.58 | -0.46 | +11.04 |
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Drawdowns
^SP600 vs. TMF - Drawdown Comparison
The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum TMF drawdown of -92.89%. Use the drawdown chart below to compare losses from any high point for ^SP600 and TMF.
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Drawdown Indicators
| ^SP600 | TMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.17% | -92.89% | +33.72% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -26.51% | +17.57% |
Max Drawdown (3Y)Largest decline over 3 years | -28.39% | -55.14% | +26.75% |
Max Drawdown (5Y)Largest decline over 5 years | -28.39% | -88.81% | +60.42% |
Max Drawdown (10Y)Largest decline over 10 years | -45.77% | -92.89% | +47.12% |
Current DrawdownCurrent decline from peak | -2.30% | -92.60% | +90.30% |
Average DrawdownAverage peak-to-trough decline | -9.25% | -43.91% | +34.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.66% | 12.82% | -10.16% |
Volatility
^SP600 vs. TMF - Volatility Comparison
The current volatility for S&P 600 (^SP600) is 4.60%, while Direxion Daily 20+ Year Treasury Bull 3X ETF (TMF) has a volatility of 8.51%. This indicates that ^SP600 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.
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Volatility by Period
| ^SP600 | TMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.60% | 8.51% | -3.91% |
Volatility (6M)Calculated over the trailing 6-month period | 12.05% | 19.94% | -7.89% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.61% | 27.62% | -10.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.41% | 46.54% | -25.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.14% | 43.72% | -20.58% |
Frequently Asked Questions
^SP600 and TMF have a correlation of 0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TMF has higher volatility (8.51%) compared to ^SP600 (4.60%). In terms of maximum drawdown, ^SP600 dropped -59.17% vs TMF's -92.89%.
^SP600 currently has the higher Sharpe Ratio (1.60 vs -0.21), 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.
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