SHYL vs. TMF
Compare and contrast key facts about Xtrackers Short Duration High Yield Bond ETF (SHYL) and Direxion Daily 20-Year Treasury Bull 3X (TMF).
SHYL and TMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SHYL is a passively managed fund by Deutsche Bank that tracks the performance of the Solactive USD High Yield Corporates Total Market 0-5 Year Index. It was launched on Jan 10, 2018. 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 SHYL 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: SHYL or TMF.
Performance
SHYL vs. TMF - Performance Comparison
Returns By Period
In the year-to-date period, SHYL achieves a 8.31% return, which is significantly higher than TMF's -29.24% return.
SHYL
8.31%
0.91%
6.42%
12.06%
4.85%
N/A
TMF
-29.24%
-6.19%
-6.81%
-9.20%
-30.05%
-12.67%
Key characteristics
| SHYL | TMF | |
|---|---|---|
| Sharpe Ratio | 3.29 | -0.21 |
| Sortino Ratio | 5.27 | -0.01 |
| Omega Ratio | 1.66 | 1.00 |
| Calmar Ratio | 6.73 | -0.10 |
| Martin Ratio | 27.09 | -0.42 |
| Ulcer Index | 0.45% | 21.82% |
| Daily Std Dev | 3.67% | 43.55% |
| Max Drawdown | -19.26% | -92.18% |
| Current Drawdown | -0.30% | -90.74% |
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SHYL vs. TMF - Expense Ratio Comparison
SHYL has a 0.20% expense ratio, which is lower than TMF's 1.09% expense ratio.
Correlation
The correlation between SHYL and TMF is 0.11, 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.
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.
Dividends
SHYL vs. TMF - Dividend Comparison
SHYL's dividend yield for the trailing twelve months is around 7.17%, more than TMF's 3.77% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHYL Xtrackers Short Duration High Yield Bond ETF | 7.17% | 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 | 3.77% | 2.82% | 1.62% | 0.13% | 0.48% | 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 -92.18%. Use the drawdown chart below to compare losses from any high point for SHYL and TMF. For additional features, visit the drawdowns tool.
Volatility
SHYL vs. TMF - Volatility Comparison
The current volatility for Xtrackers Short Duration High Yield Bond ETF (SHYL) is 0.82%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 13.55%. 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.