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SHYL vs. TMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SHYL and TMF is 0.12, 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.


-0.50.00.51.00.1

Performance

SHYL vs. TMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers Short Duration High Yield Bond ETF (SHYL) and Direxion Daily 20-Year Treasury Bull 3X (TMF). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
4.72%
-22.49%
SHYL
TMF

Key characteristics

Sharpe Ratio

SHYL:

2.02

TMF:

-0.85

Sortino Ratio

SHYL:

2.90

TMF:

-1.11

Omega Ratio

SHYL:

1.38

TMF:

0.88

Calmar Ratio

SHYL:

4.09

TMF:

-0.39

Martin Ratio

SHYL:

15.47

TMF:

-1.53

Ulcer Index

SHYL:

0.47%

TMF:

23.35%

Daily Std Dev

SHYL:

3.64%

TMF:

42.20%

Max Drawdown

SHYL:

-19.26%

TMF:

-92.04%

Current Drawdown

SHYL:

-1.63%

TMF:

-91.39%

Returns By Period

In the year-to-date period, SHYL achieves a 7.37% return, which is significantly higher than TMF's -35.37% return.


SHYL

YTD

7.37%

1M

-0.87%

6M

4.71%

1Y

7.45%

5Y*

4.27%

10Y*

N/A

TMF

YTD

-35.37%

1M

-8.66%

6M

-21.98%

1Y

-34.68%

5Y*

-30.18%

10Y*

-14.06%

Compare stocks, funds, or ETFs

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


SHYL vs. TMF - Expense Ratio Comparison

SHYL has a 0.20% 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 SHYL: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

SHYL vs. TMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers Short Duration High Yield Bond ETF (SHYL) 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 ratio
The chart of Sharpe ratio for SHYL, currently valued at 2.02, compared to the broader market0.002.004.002.02-0.85
The chart of Sortino ratio for SHYL, currently valued at 2.90, compared to the broader market-2.000.002.004.006.008.0010.002.90-1.11
The chart of Omega ratio for SHYL, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.380.88
The chart of Calmar ratio for SHYL, currently valued at 4.09, compared to the broader market0.005.0010.0015.004.09-0.39
The chart of Martin ratio for SHYL, currently valued at 15.47, compared to the broader market0.0020.0040.0060.0080.00100.0015.47-1.53
SHYL
TMF

The current SHYL Sharpe Ratio is 2.02, which is higher than the TMF Sharpe Ratio of -0.85. The chart below compares the historical Sharpe Ratios of SHYL 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 Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
2.02
-0.85
SHYL
TMF

Dividends

SHYL vs. TMF - Dividend Comparison

SHYL's dividend yield for the trailing twelve months is around 6.64%, more than TMF's 4.25% yield.


TTM20232022202120202019201820172016201520142013
SHYL
Xtrackers Short Duration High Yield Bond ETF
6.64%6.60%5.52%4.66%6.16%5.93%5.54%0.00%0.00%0.00%0.00%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
4.25%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%0.57%

Drawdowns

SHYL vs. TMF - Drawdown Comparison

The maximum SHYL drawdown since its inception was -19.26%, smaller than the maximum TMF drawdown of -92.04%. Use the drawdown chart below to compare losses from any high point for SHYL and TMF. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.63%
-91.39%
SHYL
TMF

Volatility

SHYL vs. TMF - Volatility Comparison

The current volatility for Xtrackers Short Duration High Yield Bond ETF (SHYL) is 1.43%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 13.11%. This indicates that SHYL 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.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
1.43%
13.11%
SHYL
TMF
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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