TYO vs. ^GSPC
Compare and contrast key facts about Direxion Daily 7-10 Year Treasury Bear 3X (TYO) and S&P 500 (^GSPC).
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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: TYO or ^GSPC.
Key characteristics
| TYO | ^GSPC | |
|---|---|---|
| YTD Return | 15.65% | 24.72% |
| 1Y Return | 2.35% | 32.12% |
| 3Y Return (Ann) | 21.96% | 8.33% |
| 5Y Return (Ann) | 7.73% | 13.81% |
| 10Y Return (Ann) | -2.01% | 11.31% |
| Sharpe Ratio | -0.09 | 2.66 |
| Sortino Ratio | 0.02 | 3.56 |
| Omega Ratio | 1.00 | 1.50 |
| Calmar Ratio | -0.03 | 3.81 |
| Martin Ratio | -0.20 | 17.03 |
| Ulcer Index | 10.39% | 1.90% |
| Daily Std Dev | 21.94% | 12.16% |
| Max Drawdown | -89.25% | -56.78% |
| Current Drawdown | -77.77% | -0.87% |
Correlation
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 15.65% return, which is significantly lower than ^GSPC's 24.72% return. Over the past 10 years, TYO has underperformed ^GSPC with an annualized return of -2.01%, while ^GSPC has yielded a comparatively higher 11.31% 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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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.
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.
Volatility
TYO vs. ^GSPC - Volatility Comparison
Direxion Daily 7-10 Year Treasury Bear 3X (TYO) has a higher volatility of 6.07% compared to S&P 500 (^GSPC) at 3.81%. 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.