^SP600 vs. TMF
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
| ^SP600 | TMF | |
|---|---|---|
| YTD Return | 7.91% | -17.01% |
| 1Y Return | 25.60% | 22.44% |
| 3Y Return (Ann) | 1.42% | -40.84% |
| 5Y Return (Ann) | 8.31% | -27.82% |
| 10Y Return (Ann) | 8.60% | -11.23% |
| Sharpe Ratio | 1.38 | 0.36 |
| Sortino Ratio | 2.06 | 0.82 |
| Omega Ratio | 1.24 | 1.09 |
| Calmar Ratio | 1.03 | 0.18 |
| Martin Ratio | 7.48 | 0.85 |
| Ulcer Index | 3.72% | 19.61% |
| Daily Std Dev | 20.20% | 46.02% |
| Max Drawdown | -59.17% | -92.18% |
| Current Drawdown | -2.97% | -89.14% |
Correlation
The correlation between ^SP600 and TMF is -0.28. 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.
Performance
^SP600 vs. TMF - Performance Comparison
In the year-to-date period, ^SP600 achieves a 7.91% return, which is significantly higher than TMF's -17.01% return. Over the past 10 years, ^SP600 has outperformed TMF with an annualized return of 8.60%, while TMF has yielded a comparatively lower -11.23% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^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.
Drawdowns
^SP600 vs. TMF - Drawdown Comparison
The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum TMF drawdown of -92.18%. Use the drawdown chart below to compare losses from any high point for ^SP600 and TMF. For additional features, visit the drawdowns tool.
Volatility
^SP600 vs. TMF - Volatility Comparison
The current volatility for S&P 600 (^SP600) is 4.42%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 8.62%. 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.