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

Key characteristics


TBTTMF
YTD Return13.98%-21.06%
1Y Return17.31%-31.19%
3Y Return (Ann)28.12%-43.81%
5Y Return (Ann)4.68%-25.92%
10Y Return (Ann)-4.34%-10.12%
Sharpe Ratio0.60-0.67
Daily Std Dev33.73%49.91%
Max Drawdown-94.99%-92.04%
Current Drawdown-87.38%-89.49%

Correlation

-0.50.00.51.0-1.0

The correlation between TBT and TMF is -0.99. 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

TBT vs. TMF - Performance Comparison

In the year-to-date period, TBT achieves a 13.98% return, which is significantly higher than TMF's -21.06% return. Over the past 10 years, TBT has outperformed TMF with an annualized return of -4.34%, while TMF has yielded a comparatively lower -10.12% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-80.00%-70.00%-60.00%-50.00%-40.00%FebruaryMarchAprilMayJuneJuly
-79.28%
-53.62%
TBT
TMF

Compare stocks, funds, or ETFs

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


ProShares UltraShort 20+ Year Treasury

Direxion Daily 20-Year Treasury Bull 3X

TBT vs. TMF - Expense Ratio Comparison

TBT has a 0.92% 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 TBT: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%

Risk-Adjusted Performance

TBT vs. TMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares UltraShort 20+ Year Treasury (TBT) 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.


TBT
Sharpe ratio
The chart of Sharpe ratio for TBT, currently valued at 0.60, compared to the broader market0.002.004.006.000.60
Sortino ratio
The chart of Sortino ratio for TBT, currently valued at 1.07, compared to the broader market0.005.0010.0015.001.07
Omega ratio
The chart of Omega ratio for TBT, currently valued at 1.12, compared to the broader market1.002.003.001.12
Calmar ratio
The chart of Calmar ratio for TBT, currently valued at 0.23, compared to the broader market0.005.0010.0015.0020.000.23
Martin ratio
The chart of Martin ratio for TBT, currently valued at 1.10, compared to the broader market0.0050.00100.00150.001.10
TMF
Sharpe ratio
The chart of Sharpe ratio for TMF, currently valued at -0.67, compared to the broader market0.002.004.006.00-0.67
Sortino ratio
The chart of Sortino ratio for TMF, currently valued at -0.78, compared to the broader market0.005.0010.0015.00-0.78
Omega ratio
The chart of Omega ratio for TMF, currently valued at 0.91, compared to the broader market1.002.003.000.91
Calmar ratio
The chart of Calmar ratio for TMF, currently valued at -0.37, compared to the broader market0.005.0010.0015.0020.00-0.37
Martin ratio
The chart of Martin ratio for TMF, currently valued at -1.13, compared to the broader market0.0050.00100.00150.00-1.13

TBT vs. TMF - Sharpe Ratio Comparison

The current TBT Sharpe Ratio is 0.60, which is higher than the TMF Sharpe Ratio of -0.67. The chart below compares the 12-month rolling Sharpe Ratio of TBT and TMF.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00FebruaryMarchAprilMayJuneJuly
0.60
-0.67
TBT
TMF

Dividends

TBT vs. TMF - Dividend Comparison

TBT's dividend yield for the trailing twelve months is around 4.97%, more than TMF's 3.49% yield.


TTM20232022202120202019201820172016201520142013
TBT
ProShares UltraShort 20+ Year Treasury
4.97%4.98%0.42%0.00%0.27%2.12%0.99%0.00%0.00%0.00%0.00%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.49%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%0.57%

Drawdowns

TBT vs. TMF - Drawdown Comparison

The maximum TBT drawdown since its inception was -94.99%, roughly equal to the maximum TMF drawdown of -92.04%. Use the drawdown chart below to compare losses from any high point for TBT and TMF. For additional features, visit the drawdowns tool.


-92.00%-90.00%-88.00%-86.00%-84.00%-82.00%FebruaryMarchAprilMayJuneJuly
-84.04%
-89.49%
TBT
TMF

Volatility

TBT vs. TMF - Volatility Comparison

The current volatility for ProShares UltraShort 20+ Year Treasury (TBT) is 8.42%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 12.84%. This indicates that TBT 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.


6.00%8.00%10.00%12.00%14.00%16.00%FebruaryMarchAprilMayJuneJuly
8.42%
12.84%
TBT
TMF