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SOXS vs. TMF
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

SOXS vs. TMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily Semiconductor Bear 3x Shares (SOXS) and Direxion Daily 20+ Year Treasury Bull 3X ETF (TMF). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, SOXS achieves a -93.50% return, which is significantly lower than TMF's -4.67% return. Over the past 10 years, SOXS has underperformed TMF with an annualized return of -79.54%, while TMF has yielded a comparatively higher -16.87% annualized return.


SOXS

1D
22.42%
1M
-47.74%
YTD
-93.50%
6M
-93.24%
1Y
-97.76%
3Y*
-87.41%
5Y*
-80.25%
10Y*
-79.54%

TMF

1D
-0.62%
1M
4.96%
YTD
-4.67%
6M
-5.95%
1Y
-2.80%
3Y*
-21.07%
5Y*
-31.33%
10Y*
-16.87%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SOXS vs. TMF - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
SOXS
Direxion Daily Semiconductor Bear 3x Shares
-93.50%-85.53%-59.55%-84.56%15.76%-80.94%-92.90%-83.81%-19.39%-69.39%
TMF
Direxion Daily 20+ Year Treasury Bull 3X ETF
-4.67%-2.94%-35.95%-13.01%-72.60%-19.80%39.02%34.75%-11.01%22.72%

Correlation

The correlation between SOXS and TMF is -0.09, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.09

Correlation (3Y)
Calculated over the trailing 3-year period

-0.07

Correlation (5Y)
Calculated over the trailing 5-year period

-0.02

Correlation (10Y)
Calculated over the trailing 10-year period

0.09

Correlation (All Time)
Calculated using the full available price history since Mar 11, 2010

0.20

The correlation between SOXS and TMF shifts across timeframes, from -0.09 (1 year) to 0.20 (all time), reflecting how their relationship changes across market environments.

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Return for Risk

SOXS vs. TMF — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SOXS
SOXS Risk / Return Rank: 11
Overall Rank
SOXS Sharpe Ratio Rank: 22
Sharpe Ratio Rank
SOXS Sortino Ratio Rank: 00
Sortino Ratio Rank
SOXS Omega Ratio Rank: 00
Omega Ratio Rank
SOXS Calmar Ratio Rank: 00
Calmar Ratio Rank
SOXS Martin Ratio Rank: 11
Martin Ratio Rank

TMF
TMF Risk / Return Rank: 88
Overall Rank
TMF Sharpe Ratio Rank: 88
Sharpe Ratio Rank
TMF Sortino Ratio Rank: 88
Sortino Ratio Rank
TMF Omega Ratio Rank: 88
Omega Ratio Rank
TMF Calmar Ratio Rank: 88
Calmar Ratio Rank
TMF Martin Ratio Rank: 88
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SOXS vs. TMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily Semiconductor Bear 3x Shares (SOXS) and Direxion Daily 20+ Year Treasury Bull 3X ETF (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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.


SOXSTMFDifference
Sharpe ratioReturn per unit of total volatility

-0.73

Sortino ratioReturn per unit of downside risk

-3.46

Omega ratioGain probability vs. loss probability

0.63

1.01

-0.37

Calmar ratioReturn relative to maximum drawdown

-1.00

-0.11

-0.89

Martin ratioReturn relative to average drawdown

-1.51

-0.23

-1.28

SOXS vs. TMF - Sharpe Ratio Comparison

The current SOXS Sharpe Ratio is -0.83, which is lower than the TMF Sharpe Ratio of -0.10. The chart below compares the historical Sharpe Ratios of SOXS and TMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Drawdowns

SOXS vs. TMF - Drawdown Comparison

The maximum SOXS drawdown since its inception was -100.00%, which is greater than TMF's maximum drawdown of -92.89%. Use the drawdown chart below to compare losses from any high point for SOXS and TMF.


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Drawdown Indicators


SOXSTMFDifference

Max Drawdown

Largest peak-to-trough decline

-100.00%

-92.89%

-7.11%

Max Drawdown (1Y)

Largest decline over 1 year

-97.94%

-26.51%

-71.43%

Max Drawdown (3Y)

Largest decline over 3 years

-99.87%

-56.09%

-43.78%

Max Drawdown (5Y)

Largest decline over 5 years

-99.98%

-88.81%

-11.17%

Max Drawdown (10Y)

Largest decline over 10 years

-100.00%

-92.89%

-7.11%

Current Drawdown

Current decline from peak

-100.00%

-92.11%

-7.89%

Average Drawdown

Average peak-to-trough decline

-92.61%

-43.76%

-48.85%

Ulcer Index

Depth and duration of drawdowns from previous peaks

67.48%

12.26%

+55.22%

Volatility

SOXS vs. TMF - Volatility Comparison

Direxion Daily Semiconductor Bear 3x Shares (SOXS) has a higher volatility of 66.67% compared to Direxion Daily 20+ Year Treasury Bull 3X ETF (TMF) at 6.50%. This indicates that SOXS'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.


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Volatility by Period


SOXSTMFDifference

Volatility (1M)

Calculated over the trailing 1-month period

66.67%

6.50%

+60.17%

Volatility (6M)

Calculated over the trailing 6-month period

100.39%

19.35%

+81.04%

Volatility (1Y)

Calculated over the trailing 1-year period

117.32%

27.91%

+89.41%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

111.39%

46.59%

+64.80%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

102.09%

43.86%

+58.23%

SOXS vs. TMF - Expense Ratio Comparison

SOXS has a 1.08% expense ratio, which is higher than TMF's 1.01% expense ratio.


Dividends

SOXS vs. TMF - Dividend Comparison

SOXS's dividend yield for the trailing twelve months is around 83.05%, more than TMF's 4.09% yield.


PositionTTM202520242023202220212020201920182017
SOXS
Direxion Daily Semiconductor Bear 3x Shares
83.05%10.79%5.45%9.22%0.19%0.00%3.58%2.30%0.76%0.00%
TMF
Direxion Daily 20+ Year Treasury Bull 3X ETF
4.09%4.06%4.29%2.82%1.62%0.13%2.23%0.94%1.49%0.41%

Frequently Asked Questions


SOXS and TMF have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SOXS has higher volatility (66.67%) compared to TMF (6.50%). In terms of maximum drawdown, SOXS dropped -100.00% vs TMF's -92.89%.

On 10-year performance, TMF leads with -16.87% vs -79.54% for SOXS. On fees, TMF is cheaper at 1.01% per year. On volatility, TMF has been the lower-risk option at 6.50%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, TMF has performed better with a -16.87% return vs -79.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

TMF is cheaper with a 1.01% expense ratio, compared with 1.08% for SOXS.

SOXS has the higher dividend yield at 83.05%, compared with 4.09% for TMF.

SOXS is categorized as Inverse Equities, while TMF is Leveraged Bonds. SOXS tracks PHLX Semiconductor Index (-300%), while TMF tracks ICE U.S. Treasury 20+ Year Bond Index (300%). Their fees differ too: 1.08% for SOXS and 1.01% for TMF.

TMF currently has the higher Sharpe Ratio (-0.10 vs -0.83), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

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