TMV vs. SPY
Compare and contrast key facts about Direxion Daily 20-Year Treasury Bear 3X (TMV) and SPDR S&P 500 ETF (SPY).
TMV and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TMV 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. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both TMV and SPY 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: TMV or SPY.
Performance
TMV vs. SPY - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with TMV having a 26.53% return and SPY slightly lower at 25.36%. Over the past 10 years, TMV has underperformed SPY with an annualized return of -8.17%, while SPY has yielded a comparatively higher 13.07% annualized return.
TMV
26.53%
9.89%
0.76%
-4.72%
7.48%
-8.17%
SPY
25.36%
0.98%
11.79%
31.70%
15.55%
13.07%
Key characteristics
| TMV | SPY | |
|---|---|---|
| Sharpe Ratio | -0.15 | 2.69 |
| Sortino Ratio | 0.09 | 3.59 |
| Omega Ratio | 1.01 | 1.50 |
| Calmar Ratio | -0.07 | 3.89 |
| Martin Ratio | -0.34 | 17.53 |
| Ulcer Index | 19.10% | 1.87% |
| Daily Std Dev | 43.60% | 12.15% |
| Max Drawdown | -99.06% | -55.19% |
| Current Drawdown | -96.69% | -1.41% |
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TMV vs. SPY - Expense Ratio Comparison
TMV has a 1.04% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between TMV and SPY is 0.28, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Risk-Adjusted Performance
TMV vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Direxion Daily 20-Year Treasury Bear 3X (TMV) and SPDR S&P 500 ETF (SPY). 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
TMV vs. SPY - Dividend Comparison
TMV's dividend yield for the trailing twelve months is around 4.09%, more than SPY's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TMV Direxion Daily 20-Year Treasury Bear 3X | 4.09% | 3.87% | 0.00% | 0.00% | 0.52% | 2.24% | 0.88% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.19% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
TMV vs. SPY - Drawdown Comparison
The maximum TMV drawdown since its inception was -99.06%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TMV and SPY. For additional features, visit the drawdowns tool.
Volatility
TMV vs. SPY - Volatility Comparison
Direxion Daily 20-Year Treasury Bear 3X (TMV) has a higher volatility of 13.36% compared to SPDR S&P 500 ETF (SPY) at 4.09%. This indicates that TMV's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.