PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TMV vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TMV and VOO is 0.26, 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.


-0.50.00.51.00.3

Performance

TMV vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily 20-Year Treasury Bear 3X (TMV) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
-90.73%
602.93%
TMV
VOO

Key characteristics

Sharpe Ratio

TMV:

0.91

VOO:

2.25

Sortino Ratio

TMV:

1.50

VOO:

2.98

Omega Ratio

TMV:

1.17

VOO:

1.42

Calmar Ratio

TMV:

0.39

VOO:

3.31

Martin Ratio

TMV:

2.28

VOO:

14.77

Ulcer Index

TMV:

16.76%

VOO:

1.90%

Daily Std Dev

TMV:

42.16%

VOO:

12.46%

Max Drawdown

TMV:

-99.06%

VOO:

-33.99%

Current Drawdown

TMV:

-96.48%

VOO:

-2.47%

Returns By Period

In the year-to-date period, TMV achieves a 34.83% return, which is significantly higher than VOO's 26.02% return. Over the past 10 years, TMV has underperformed VOO with an annualized return of -6.42%, while VOO has yielded a comparatively higher 13.08% annualized return.


TMV

YTD

34.83%

1M

4.85%

6M

16.26%

1Y

33.44%

5Y*

7.55%

10Y*

-6.42%

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

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


TMV vs. VOO - Expense Ratio Comparison

TMV has a 1.04% expense ratio, which is higher than VOO's 0.03% expense ratio.


TMV
Direxion Daily 20-Year Treasury Bear 3X
Expense ratio chart for TMV: current value at 1.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.04%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

TMV vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily 20-Year Treasury Bear 3X (TMV) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for TMV, currently valued at 0.91, compared to the broader market0.002.004.000.912.25
The chart of Sortino ratio for TMV, currently valued at 1.50, compared to the broader market-2.000.002.004.006.008.0010.001.502.98
The chart of Omega ratio for TMV, currently valued at 1.17, compared to the broader market0.501.001.502.002.503.001.171.42
The chart of Calmar ratio for TMV, currently valued at 0.40, compared to the broader market0.005.0010.0015.000.403.31
The chart of Martin ratio for TMV, currently valued at 2.28, compared to the broader market0.0020.0040.0060.0080.00100.002.2814.77
TMV
VOO

The current TMV Sharpe Ratio is 0.91, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of TMV and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.91
2.25
TMV
VOO

Dividends

TMV vs. VOO - Dividend Comparison

TMV's dividend yield for the trailing twelve months is around 3.14%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
TMV
Direxion Daily 20-Year Treasury Bear 3X
3.14%3.87%0.00%0.00%0.52%2.24%0.88%0.00%0.00%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

TMV vs. VOO - Drawdown Comparison

The maximum TMV drawdown since its inception was -99.06%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for TMV and VOO. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-93.29%
-2.47%
TMV
VOO

Volatility

TMV vs. VOO - Volatility Comparison

Direxion Daily 20-Year Treasury Bear 3X (TMV) has a higher volatility of 13.07% compared to Vanguard S&P 500 ETF (VOO) at 3.75%. This indicates that TMV's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
13.07%
3.75%
TMV
VOO
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab