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^SP600 vs. TMF

Last updated Feb 24, 2024

Compare and contrast key facts about S&P 600 (^SP600) and Direxion Daily 20-Year Treasury Bull 3X (TMF).

TMF is a passively managed fund by Direxion that tracks the performance of the NYSE 20 Year Plus Treasury Bond Index (300%). It was launched on Apr 16, 2009.

Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SP600 or TMF.

Key characteristics


^SP600TMF
YTD Return-1.73%-19.76%
1Y Return3.05%-32.78%
3Y Return (Ann)0.18%-40.96%
5Y Return (Ann)5.59%-22.82%
10Y Return (Ann)6.99%-8.16%
Sharpe Ratio0.18-0.59
Daily Std Dev20.31%52.42%
Max Drawdown-59.17%-92.40%
Current Drawdown-11.63%-89.72%

Correlation

-0.30
-1.001.00

The correlation between ^SP600 and TMF is -0.30. 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.

^SP600 vs. TMF - Performance Comparison

In the year-to-date period, ^SP600 achieves a -1.73% return, which is significantly higher than TMF's -19.76% return. Over the past 10 years, ^SP600 has outperformed TMF with an annualized return of 6.99%, while TMF has yielded a comparatively lower -8.16% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-40.00%-30.00%-20.00%-10.00%0.00%10.00%SeptemberOctoberNovemberDecember2024February
8.26%
-13.56%
^SP600
TMF

Compare stocks, funds, or ETFs


S&P 600

Direxion Daily 20-Year Treasury Bull 3X

^SP600 vs. TMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) and Direxion Daily 20-Year Treasury Bull 3X (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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^SP600
S&P 600
0.18
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.63

^SP600 vs. TMF - Sharpe Ratio Comparison

The current ^SP600 Sharpe Ratio is 0.18, which is higher than the TMF Sharpe Ratio of -0.63. The chart below compares the 12-month rolling Sharpe Ratio of ^SP600 and TMF.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.50SeptemberOctoberNovemberDecember2024February
0.18
-0.63
^SP600
TMF

^SP600 vs. TMF - Drawdown Comparison

The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum TMF drawdown of -92.40%. The drawdown chart below compares losses from any high point along the way for ^SP600 and TMF


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%SeptemberOctoberNovemberDecember2024February
-11.63%
-89.72%
^SP600
TMF

^SP600 vs. TMF - Volatility Comparison

The current volatility for S&P 600 (^SP600) is 6.86%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 14.29%. 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.


5.00%10.00%15.00%20.00%SeptemberOctoberNovemberDecember2024February
6.86%
14.29%
^SP600
TMF