TMF vs. ^SP600
TMF (Direxion Daily 20+ Year Treasury Bull 3X ETF) is Leveraged Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index (300%), while ^SP600 (S&P 600) is an index. Over the past 10 years, TMF returned -17.81%/yr vs 9.21%/yr for ^SP600. At a correlation of -0.24, they often move in opposite directions.
Performance
TMF vs. ^SP600 - Performance Comparison
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Returns By Period
In the year-to-date period, TMF achieves a -10.00% return, which is significantly lower than ^SP600's 21.89% return. Over the past 10 years, TMF has underperformed ^SP600 with an annualized return of -17.81%, while ^SP600 has yielded a comparatively higher 9.21% annualized return.
TMF
- 1D
- -0.03%
- 1M
- -6.57%
- 6M
- -13.01%
- YTD
- -10.00%
- 1Y
- -2.84%
- 3Y*
- -21.08%
- 5Y*
- -33.44%
- 10Y*
- -17.81%
^SP600
- 1D
- 0.67%
- 1M
- 3.06%
- 6M
- 13.60%
- YTD
- 21.89%
- 1Y
- 31.53%
- 3Y*
- 12.81%
- 5Y*
- 6.63%
- 10Y*
- 9.21%
TMF vs. ^SP600 - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TMF Direxion Daily 20+ Year Treasury Bull 3X ETF | -10.00% | -2.94% | -35.95% | -13.01% | -72.60% | -19.80% | 39.02% | 34.75% | -11.01% | 22.72% |
^SP600 S&P 600 | 21.89% | 4.23% | 6.82% | 13.89% | -17.42% | 25.27% | 9.57% | 20.86% | -9.75% | 11.73% |
Correlation
The correlation between TMF and ^SP600 is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.10 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Apr 16, 2009 | -0.24 |
The correlation between TMF and ^SP600 shifts across timeframes, from -0.24 (all time) to 0.28 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
TMF vs. ^SP600 — Risk / Return Rank
TMF
^SP600
TMF vs. ^SP600 - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily 20+ Year Treasury Bull 3X ETF (TMF) and S&P 600 (^SP600). 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.
| TMF | ^SP600 | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.92 | ||
| Sortino ratioReturn per unit of downside risk | -2.64 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 1.32 | -0.31 |
| Calmar ratioReturn relative to maximum drawdown | -0.11 | 3.54 | -3.65 |
| Martin ratioReturn relative to average drawdown | -0.22 | 11.89 | -12.11 |
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Drawdowns
TMF vs. ^SP600 - Drawdown Comparison
The maximum TMF drawdown since its inception was -92.89%, which is greater than ^SP600's maximum drawdown of -59.17%. Use the drawdown chart below to compare losses from any high point for TMF and ^SP600.
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Drawdown Indicators
| TMF | ^SP600 | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -92.89% | -59.17% | -33.72% |
Max Drawdown (1Y)Largest decline over 1 year | -26.51% | -8.94% | -17.57% |
Max Drawdown (3Y)Largest decline over 3 years | -55.14% | -28.39% | -26.75% |
Max Drawdown (5Y)Largest decline over 5 years | -88.81% | -28.39% | -60.42% |
Max Drawdown (10Y)Largest decline over 10 years | -92.89% | -45.77% | -47.12% |
Current DrawdownCurrent decline from peak | -92.55% | -0.85% | -91.70% |
Average DrawdownAverage peak-to-trough decline | -43.94% | -9.25% | -34.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 13.06% | 2.66% | +10.40% |
Volatility
TMF vs. ^SP600 - Volatility Comparison
Direxion Daily 20+ Year Treasury Bull 3X ETF (TMF) has a higher volatility of 7.49% compared to S&P 600 (^SP600) at 3.93%. This indicates that TMF's price experiences larger fluctuations and is considered to be riskier than ^SP600 based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TMF | ^SP600 | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.49% | 3.93% | +3.56% |
Volatility (6M)Calculated over the trailing 6-month period | 19.82% | 12.05% | +7.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 27.47% | 17.45% | +10.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 46.49% | 21.39% | +25.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 43.70% | 23.13% | +20.57% |
Frequently Asked Questions
TMF and ^SP600 have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TMF has higher volatility (7.49%) compared to ^SP600 (3.93%). In terms of maximum drawdown, TMF dropped -92.89% vs ^SP600's -59.17%.
^SP600 currently has the higher Sharpe Ratio (1.82 vs -0.10), 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.
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