PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
EETH vs. TMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


EETHTMF
YTD Return28.91%-30.21%
1Y Return47.56%-7.52%
Sharpe Ratio0.60-0.02
Sortino Ratio1.250.28
Omega Ratio1.151.03
Calmar Ratio0.83-0.01
Martin Ratio1.60-0.05
Ulcer Index24.54%21.14%
Daily Std Dev66.01%44.41%
Max Drawdown-47.15%-92.18%
Current Drawdown-25.02%-90.87%

Correlation

-0.50.00.51.0-0.0

The correlation between EETH and TMF is -0.01. 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

EETH vs. TMF - Performance Comparison

In the year-to-date period, EETH achieves a 28.91% return, which is significantly higher than TMF's -30.21% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-30.00%-20.00%-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
4.60%
-10.29%
EETH
TMF

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


EETH vs. TMF - Expense Ratio Comparison

EETH has a 0.95% expense ratio, which is lower than TMF's 1.09% expense ratio.


TMF
Direxion Daily 20-Year Treasury Bull 3X
Expense ratio chart for TMF: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
Expense ratio chart for EETH: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

EETH vs. TMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Ether Strategy ETF (EETH) 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.


EETH
Sharpe ratio
The chart of Sharpe ratio for EETH, currently valued at 0.60, compared to the broader market-2.000.002.004.000.60
Sortino ratio
The chart of Sortino ratio for EETH, currently valued at 1.25, compared to the broader market-2.000.002.004.006.008.0010.0012.001.25
Omega ratio
The chart of Omega ratio for EETH, currently valued at 1.15, compared to the broader market1.001.502.002.503.001.15
Calmar ratio
The chart of Calmar ratio for EETH, currently valued at 0.83, compared to the broader market0.005.0010.0015.000.83
Martin ratio
The chart of Martin ratio for EETH, currently valued at 1.60, compared to the broader market0.0020.0040.0060.0080.00100.00120.001.60
TMF
Sharpe ratio
The chart of Sharpe ratio for TMF, currently valued at -0.02, compared to the broader market-2.000.002.004.00-0.02
Sortino ratio
The chart of Sortino ratio for TMF, currently valued at 0.28, compared to the broader market-2.000.002.004.006.008.0010.0012.000.28
Omega ratio
The chart of Omega ratio for TMF, currently valued at 1.03, compared to the broader market1.001.502.002.503.001.03
Calmar ratio
The chart of Calmar ratio for TMF, currently valued at -0.03, compared to the broader market0.005.0010.0015.00-0.03
Martin ratio
The chart of Martin ratio for TMF, currently valued at -0.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.05

EETH vs. TMF - Sharpe Ratio Comparison

The current EETH Sharpe Ratio is 0.60, which is higher than the TMF Sharpe Ratio of -0.02. The chart below compares the historical Sharpe Ratios of EETH and TMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.200.400.600.801.00Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10
0.60
-0.02
EETH
TMF

Dividends

EETH vs. TMF - Dividend Comparison

EETH's dividend yield for the trailing twelve months is around 11.17%, more than TMF's 3.83% yield.


TTM20232022202120202019201820172016201520142013
EETH
ProShares Ether Strategy ETF
11.17%0.53%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.83%2.82%1.62%0.13%0.48%0.94%1.49%0.41%0.00%0.00%0.00%0.57%

Drawdowns

EETH vs. TMF - Drawdown Comparison

The maximum EETH drawdown since its inception was -47.15%, smaller than the maximum TMF drawdown of -92.18%. Use the drawdown chart below to compare losses from any high point for EETH and TMF. For additional features, visit the drawdowns tool.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-25.02%
-33.50%
EETH
TMF

Volatility

EETH vs. TMF - Volatility Comparison

ProShares Ether Strategy ETF (EETH) has a higher volatility of 22.44% compared to Direxion Daily 20-Year Treasury Bull 3X (TMF) at 14.97%. This indicates that EETH's price experiences larger fluctuations and is considered to be riskier than TMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
22.44%
14.97%
EETH
TMF