TYO vs. SPY
Compare and contrast key facts about Direxion Daily 7-10 Year Treasury Bear 3X (TYO) and SPDR S&P 500 ETF (SPY).
TYO and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TYO is a passively managed fund by Direxion that tracks the performance of the NYSE 7-10 Year Treasury Bond Index. 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 TYO 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: TYO or SPY.
Key characteristics
| TYO | SPY | |
|---|---|---|
| YTD Return | 12.47% | 27.04% |
| 1Y Return | -4.87% | 39.75% |
| 3Y Return (Ann) | 22.02% | 10.21% |
| 5Y Return (Ann) | 6.58% | 15.93% |
| 10Y Return (Ann) | -2.46% | 13.36% |
| Sharpe Ratio | -0.09 | 3.15 |
| Sortino Ratio | 0.03 | 4.19 |
| Omega Ratio | 1.00 | 1.59 |
| Calmar Ratio | -0.02 | 4.60 |
| Martin Ratio | -0.17 | 20.85 |
| Ulcer Index | 11.04% | 1.85% |
| Daily Std Dev | 22.06% | 12.29% |
| Max Drawdown | -89.25% | -55.19% |
| Current Drawdown | -78.38% | 0.00% |
Correlation
The correlation between TYO and SPY 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. SPY - Performance Comparison
In the year-to-date period, TYO achieves a 12.47% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, TYO has underperformed SPY with an annualized return of -2.46%, while SPY has yielded a comparatively higher 13.36% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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TYO vs. SPY - Expense Ratio Comparison
TYO has a 1.08% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
TYO vs. SPY - 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 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
TYO vs. SPY - Dividend Comparison
TYO's dividend yield for the trailing twelve months is around 4.63%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TYO Direxion Daily 7-10 Year Treasury Bear 3X | 4.63% | 3.62% | 0.09% | 0.00% | 0.37% | 1.57% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
TYO vs. SPY - Drawdown Comparison
The maximum TYO drawdown since its inception was -89.25%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for TYO and SPY. For additional features, visit the drawdowns tool.
Volatility
TYO vs. SPY - Volatility Comparison
Direxion Daily 7-10 Year Treasury Bear 3X (TYO) has a higher volatility of 6.17% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that TYO'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.