TMF vs. ^TNX
Compare and contrast key facts about Direxion Daily 20-Year Treasury Bull 3X (TMF) and Treasury Yield 10 Years (^TNX).
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: TMF or ^TNX.
Performance
TMF vs. ^TNX - Performance Comparison
Returns By Period
In the year-to-date period, TMF achieves a -29.40% return, which is significantly lower than ^TNX's 14.64% return. Over the past 10 years, TMF has underperformed ^TNX with an annualized return of -12.49%, while ^TNX has yielded a comparatively higher 6.76% annualized return.
TMF
-29.40%
-7.14%
-6.17%
-9.40%
-30.10%
-12.49%
^TNX
14.64%
5.42%
-0.96%
0.36%
20.17%
6.76%
Key characteristics
| TMF | ^TNX | |
|---|---|---|
| Sharpe Ratio | -0.20 | 0.01 |
| Sortino Ratio | 0.02 | 0.19 |
| Omega Ratio | 1.00 | 1.02 |
| Calmar Ratio | -0.09 | 0.01 |
| Martin Ratio | -0.39 | 0.03 |
| Ulcer Index | 21.73% | 11.03% |
| Daily Std Dev | 43.56% | 22.96% |
| Max Drawdown | -92.18% | -93.78% |
| Current Drawdown | -90.76% | -44.76% |
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Correlation
The correlation between TMF and ^TNX is -0.89. 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.
Risk-Adjusted Performance
TMF vs. ^TNX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily 20-Year Treasury Bull 3X (TMF) and Treasury Yield 10 Years (^TNX). 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.
Drawdowns
TMF vs. ^TNX - Drawdown Comparison
The maximum TMF drawdown since its inception was -92.18%, roughly equal to the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for TMF and ^TNX. For additional features, visit the drawdowns tool.
Volatility
TMF vs. ^TNX - Volatility Comparison
Direxion Daily 20-Year Treasury Bull 3X (TMF) has a higher volatility of 13.71% compared to Treasury Yield 10 Years (^TNX) at 5.75%. This indicates that TMF's price experiences larger fluctuations and is considered to be riskier than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.