AGG vs. TMF
Compare and contrast key facts about iShares Core U.S. Aggregate Bond ETF (AGG) and Direxion Daily 20-Year Treasury Bull 3X (TMF).
AGG and TMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. AGG is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. Aggregate Bond Index. It was launched on Sep 22, 2003. 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. Both AGG and TMF are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AGG or TMF.
Key characteristics
| AGG | TMF | |
|---|---|---|
| YTD Return | 1.78% | -29.77% |
| 1Y Return | 6.87% | -6.17% |
| 3Y Return (Ann) | -2.07% | -43.96% |
| 5Y Return (Ann) | -0.18% | -29.55% |
| 10Y Return (Ann) | 1.45% | -12.38% |
| Sharpe Ratio | 1.29 | -0.07 |
| Sortino Ratio | 1.88 | 0.21 |
| Omega Ratio | 1.23 | 1.02 |
| Calmar Ratio | 0.52 | -0.03 |
| Martin Ratio | 4.35 | -0.14 |
| Ulcer Index | 1.71% | 21.34% |
| Daily Std Dev | 5.79% | 43.71% |
| Max Drawdown | -18.43% | -92.18% |
| Current Drawdown | -8.52% | -90.81% |
Correlation
The correlation between AGG and TMF is 0.87, 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.
Performance
AGG vs. TMF - Performance Comparison
In the year-to-date period, AGG achieves a 1.78% return, which is significantly higher than TMF's -29.77% return. Over the past 10 years, AGG has outperformed TMF with an annualized return of 1.45%, while TMF has yielded a comparatively lower -12.38% 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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AGG vs. TMF - Expense Ratio Comparison
AGG has a 0.05% expense ratio, which is lower than TMF's 1.09% expense ratio.
Risk-Adjusted Performance
AGG vs. TMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Core U.S. Aggregate Bond ETF (AGG) 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.
Dividends
AGG vs. TMF - Dividend Comparison
AGG's dividend yield for the trailing twelve months is around 3.64%, less than TMF's 3.80% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | 3.64% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.96% | 2.32% | 2.39% | 2.45% | 2.40% | 2.32% |
TMF Direxion Daily 20-Year Treasury Bull 3X | 3.80% | 2.82% | 1.62% | 0.13% | 0.48% | 0.94% | 1.49% | 0.41% | 0.00% | 0.00% | 0.00% | 0.57% |
Drawdowns
AGG vs. TMF - Drawdown Comparison
The maximum AGG drawdown since its inception was -18.43%, smaller than the maximum TMF drawdown of -92.18%. Use the drawdown chart below to compare losses from any high point for AGG and TMF. For additional features, visit the drawdowns tool.
Volatility
AGG vs. TMF - Volatility Comparison
The current volatility for iShares Core U.S. Aggregate Bond ETF (AGG) is 1.64%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 14.49%. This indicates that AGG 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.