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TMF vs. UST
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between TMF and UST is 0.90, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

TMF vs. UST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Direxion Daily 20-Year Treasury Bull 3X (TMF) and ProShares Ultra 7-10 Year Treasury (UST). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-21.60%
-3.16%
TMF
UST

Key characteristics

Sharpe Ratio

TMF:

-0.81

UST:

-0.48

Sortino Ratio

TMF:

-1.03

UST:

-0.58

Omega Ratio

TMF:

0.89

UST:

0.93

Calmar Ratio

TMF:

-0.37

UST:

-0.15

Martin Ratio

TMF:

-1.45

UST:

-0.97

Ulcer Index

TMF:

23.47%

UST:

6.83%

Daily Std Dev

TMF:

42.13%

UST:

13.90%

Max Drawdown

TMF:

-92.04%

UST:

-47.99%

Current Drawdown

TMF:

-91.30%

UST:

-43.01%

Returns By Period

In the year-to-date period, TMF achieves a -34.65% return, which is significantly lower than UST's -7.18% return. Over the past 10 years, TMF has underperformed UST with an annualized return of -13.96%, while UST has yielded a comparatively higher -1.58% annualized return.


TMF

YTD

-34.65%

1M

-7.64%

6M

-21.60%

1Y

-33.95%

5Y*

-30.13%

10Y*

-13.96%

UST

YTD

-7.18%

1M

-2.08%

6M

-3.16%

1Y

-6.65%

5Y*

-6.65%

10Y*

-1.58%

Compare stocks, funds, or ETFs

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


TMF vs. UST - Expense Ratio Comparison

TMF has a 1.09% expense ratio, which is higher than UST's 0.95% expense ratio.


TMF
Direxion Daily 20-Year Treasury Bull 3X
Expense ratio chart for TMF: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
Expense ratio chart for UST: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

TMF vs. UST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Direxion Daily 20-Year Treasury Bull 3X (TMF) and ProShares Ultra 7-10 Year Treasury (UST). 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 TMF, currently valued at -0.81, compared to the broader market0.002.004.00-0.81-0.48
The chart of Sortino ratio for TMF, currently valued at -1.03, compared to the broader market-2.000.002.004.006.008.0010.00-1.03-0.58
The chart of Omega ratio for TMF, currently valued at 0.89, compared to the broader market0.501.001.502.002.503.000.890.93
The chart of Calmar ratio for TMF, currently valued at -0.37, compared to the broader market0.005.0010.0015.00-0.37-0.15
The chart of Martin ratio for TMF, currently valued at -1.45, compared to the broader market0.0020.0040.0060.0080.00100.00-1.45-0.97
TMF
UST

The current TMF Sharpe Ratio is -0.81, which is lower than the UST Sharpe Ratio of -0.48. The chart below compares the historical Sharpe Ratios of TMF and UST, 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-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.81
-0.48
TMF
UST

Dividends

TMF vs. UST - Dividend Comparison

TMF's dividend yield for the trailing twelve months is around 4.20%, more than UST's 4.13% yield.


TTM20232022202120202019201820172016201520142013
TMF
Direxion Daily 20-Year Treasury Bull 3X
4.20%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
UST
ProShares Ultra 7-10 Year Treasury
4.13%3.49%0.47%0.27%0.53%1.42%1.71%0.84%0.64%0.75%4.91%0.00%

Drawdowns

TMF vs. UST - Drawdown Comparison

The maximum TMF drawdown since its inception was -92.04%, which is greater than UST's maximum drawdown of -47.99%. Use the drawdown chart below to compare losses from any high point for TMF and UST. For additional features, visit the drawdowns tool.


-90.00%-80.00%-70.00%-60.00%-50.00%-40.00%-30.00%JulyAugustSeptemberOctoberNovemberDecember
-91.30%
-43.01%
TMF
UST

Volatility

TMF vs. UST - Volatility Comparison

Direxion Daily 20-Year Treasury Bull 3X (TMF) has a higher volatility of 13.19% compared to ProShares Ultra 7-10 Year Treasury (UST) at 3.61%. This indicates that TMF's price experiences larger fluctuations and is considered to be riskier than UST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
13.19%
3.61%
TMF
UST
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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.

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