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TYO vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


TYO^GSPC
YTD Return13.10%25.82%
1Y Return-3.90%35.92%
3Y Return (Ann)21.12%8.67%
5Y Return (Ann)6.97%14.22%
10Y Return (Ann)-2.23%11.43%
Sharpe Ratio-0.203.08
Sortino Ratio-0.134.10
Omega Ratio0.981.58
Calmar Ratio-0.054.48
Martin Ratio-0.3920.05
Ulcer Index11.01%1.90%
Daily Std Dev21.88%12.28%
Max Drawdown-89.25%-56.78%
Current Drawdown-78.25%0.00%

Correlation

-0.50.00.51.00.3

The correlation between TYO and ^GSPC 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.

Performance

TYO vs. ^GSPC - Performance Comparison

In the year-to-date period, TYO achieves a 13.10% return, which is significantly lower than ^GSPC's 25.82% return. Over the past 10 years, TYO has underperformed ^GSPC with an annualized return of -2.23%, while ^GSPC has yielded a comparatively higher 11.43% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
-1.88%
14.94%
TYO
^GSPC

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Risk-Adjusted Performance

TYO vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily 7-10 Year Treasury Bear 3X (TYO) and S&P 500 (^GSPC). 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.


TYO
Sharpe ratio
The chart of Sharpe ratio for TYO, currently valued at -0.20, compared to the broader market-2.000.002.004.006.00-0.20
Sortino ratio
The chart of Sortino ratio for TYO, currently valued at -0.13, compared to the broader market0.005.0010.00-0.13
Omega ratio
The chart of Omega ratio for TYO, currently valued at 0.98, compared to the broader market1.001.502.002.503.000.98
Calmar ratio
The chart of Calmar ratio for TYO, currently valued at -0.05, compared to the broader market0.005.0010.0015.00-0.05
Martin ratio
The chart of Martin ratio for TYO, currently valued at -0.39, compared to the broader market0.0020.0040.0060.0080.00100.00120.00-0.39
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.08, compared to the broader market-2.000.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.10, compared to the broader market0.005.0010.004.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.48, compared to the broader market0.005.0010.0015.004.48
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 20.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.05

TYO vs. ^GSPC - Sharpe Ratio Comparison

The current TYO Sharpe Ratio is -0.20, which is lower than the ^GSPC Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of TYO and ^GSPC, 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.20
3.08
TYO
^GSPC

Drawdowns

TYO vs. ^GSPC - Drawdown Comparison

The maximum TYO drawdown since its inception was -89.25%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for TYO and ^GSPC. For additional features, visit the drawdowns tool.


-80.00%-60.00%-40.00%-20.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-78.25%
0
TYO
^GSPC

Volatility

TYO vs. ^GSPC - Volatility Comparison

Direxion Daily 7-10 Year Treasury Bear 3X (TYO) has a higher volatility of 6.17% compared to S&P 500 (^GSPC) at 3.89%. This indicates that TYO's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
6.17%
3.89%
TYO
^GSPC