TMF vs. AGG
Compare and contrast key facts about Direxion Daily 20-Year Treasury Bull 3X (TMF) and iShares Core U.S. Aggregate Bond ETF (AGG).
TMF and AGG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. AGG is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. Aggregate Bond Index. It was launched on Sep 22, 2003. Both TMF and AGG 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: TMF or AGG.
Performance
TMF vs. AGG - Performance Comparison
Returns By Period
In the year-to-date period, TMF achieves a -29.48% return, which is significantly lower than AGG's 1.87% return. Over the past 10 years, TMF has underperformed AGG with an annualized return of -12.49%, while AGG has yielded a comparatively higher 1.46% annualized return.
TMF
-29.48%
-11.94%
-6.57%
-7.12%
-30.35%
-12.49%
AGG
1.87%
-1.47%
3.33%
6.76%
-0.26%
1.46%
Key characteristics
| TMF | AGG | |
|---|---|---|
| Sharpe Ratio | -0.13 | 1.21 |
| Sortino Ratio | 0.11 | 1.76 |
| Omega Ratio | 1.01 | 1.21 |
| Calmar Ratio | -0.06 | 0.49 |
| Martin Ratio | -0.27 | 4.03 |
| Ulcer Index | 21.44% | 1.73% |
| Daily Std Dev | 43.64% | 5.77% |
| Max Drawdown | -92.18% | -18.43% |
| Current Drawdown | -90.77% | -8.43% |
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TMF vs. AGG - Expense Ratio Comparison
TMF has a 1.09% expense ratio, which is higher than AGG's 0.05% expense ratio.
Correlation
The correlation between TMF and AGG is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
TMF vs. AGG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily 20-Year Treasury Bull 3X (TMF) and iShares Core U.S. Aggregate Bond ETF (AGG). 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
TMF vs. AGG - Dividend Comparison
TMF's dividend yield for the trailing twelve months is around 3.79%, less than AGG's 3.96% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TMF Direxion Daily 20-Year Treasury Bull 3X | 3.79% | 2.82% | 1.62% | 0.13% | 0.48% | 0.94% | 1.49% | 0.41% | 0.00% | 0.00% | 0.00% | 0.57% |
AGG iShares Core U.S. Aggregate Bond ETF | 3.96% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.96% | 2.32% | 2.39% | 2.45% | 2.40% | 2.32% |
Drawdowns
TMF vs. AGG - Drawdown Comparison
The maximum TMF drawdown since its inception was -92.18%, which is greater than AGG's maximum drawdown of -18.43%. Use the drawdown chart below to compare losses from any high point for TMF and AGG. For additional features, visit the drawdowns tool.
Volatility
TMF vs. AGG - Volatility Comparison
Direxion Daily 20-Year Treasury Bull 3X (TMF) has a higher volatility of 14.50% compared to iShares Core U.S. Aggregate Bond ETF (AGG) at 1.65%. This indicates that TMF's price experiences larger fluctuations and is considered to be riskier than AGG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.