EWV vs. TMF
Compare and contrast key facts about ProShares UltraShort MSCI Japan (EWV) and Direxion Daily 20-Year Treasury Bull 3X (TMF).
EWV and TMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EWV is a passively managed fund by ProShares that tracks the performance of the MSCI Japan Index (-200%). It was launched on Nov 6, 2007. 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 EWV 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: EWV or TMF.
Key characteristics
| EWV | TMF | |
|---|---|---|
| YTD Return | -10.36% | -30.21% |
| 1Y Return | -19.23% | -7.52% |
| 3Y Return (Ann) | -3.52% | -44.93% |
| 5Y Return (Ann) | -14.20% | -29.68% |
| 10Y Return (Ann) | -15.84% | -12.43% |
| Sharpe Ratio | -0.67 | -0.02 |
| Sortino Ratio | -0.86 | 0.28 |
| Omega Ratio | 0.91 | 1.03 |
| Calmar Ratio | -0.23 | -0.01 |
| Martin Ratio | -1.06 | -0.05 |
| Ulcer Index | 21.40% | 21.14% |
| Daily Std Dev | 34.06% | 44.41% |
| Max Drawdown | -98.53% | -92.18% |
| Current Drawdown | -98.29% | -90.87% |
Correlation
The correlation between EWV and TMF is 0.19, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
EWV vs. TMF - Performance Comparison
In the year-to-date period, EWV achieves a -10.36% return, which is significantly higher than TMF's -30.21% return. Over the past 10 years, EWV has underperformed TMF with an annualized return of -15.84%, while TMF has yielded a comparatively higher -12.43% 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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EWV vs. TMF - Expense Ratio Comparison
EWV has a 0.95% expense ratio, which is lower than TMF's 1.09% expense ratio.
Risk-Adjusted Performance
EWV vs. TMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort MSCI Japan (EWV) 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
EWV vs. TMF - Dividend Comparison
EWV's dividend yield for the trailing twelve months is around 2.60%, less than TMF's 3.83% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EWV ProShares UltraShort MSCI Japan | 2.60% | 2.61% | 0.06% | 0.00% | 0.00% | 0.11% | 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
EWV vs. TMF - Drawdown Comparison
The maximum EWV drawdown since its inception was -98.53%, which is greater than TMF's maximum drawdown of -92.18%. Use the drawdown chart below to compare losses from any high point for EWV and TMF. For additional features, visit the drawdowns tool.
Volatility
EWV vs. TMF - Volatility Comparison
The current volatility for ProShares UltraShort MSCI Japan (EWV) is 9.15%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 14.97%. This indicates that EWV 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.