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

Correlation

The correlation between UVIX and TMF is 0.13, 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

UVIX vs. TMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Volatility Shares 2x Long VIX Futures ETF (UVIX) and Direxion Daily 20-Year Treasury Bull 3X (TMF). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

UVIX:

-0.29

TMF:

-0.53

Sortino Ratio

UVIX:

0.79

TMF:

-0.62

Omega Ratio

UVIX:

1.10

TMF:

0.93

Calmar Ratio

UVIX:

-0.57

TMF:

-0.27

Martin Ratio

UVIX:

-0.81

TMF:

-0.98

Ulcer Index

UVIX:

69.79%

TMF:

25.36%

Daily Std Dev

UVIX:

192.28%

TMF:

42.67%

Max Drawdown

UVIX:

-99.80%

TMF:

-92.22%

Current Drawdown

UVIX:

-99.79%

TMF:

-92.22%

Returns By Period

In the year-to-date period, UVIX achieves a -17.65% return, which is significantly lower than TMF's -8.84% return.


UVIX

YTD

-17.65%

1M

-49.91%

6M

-26.89%

1Y

-55.48%

3Y*

-85.88%

5Y*

N/A

10Y*

N/A

TMF

YTD

-8.84%

1M

-7.44%

6M

-18.46%

1Y

-22.64%

3Y*

-34.57%

5Y*

-37.31%

10Y*

-13.94%

*Annualized

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UVIX vs. TMF - Expense Ratio Comparison

UVIX has a 2.78% expense ratio, which is higher than TMF's 1.09% expense ratio.


Risk-Adjusted Performance

UVIX vs. TMF — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

UVIX
The Risk-Adjusted Performance Rank of UVIX is 2222
Overall Rank
The Sharpe Ratio Rank of UVIX is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of UVIX is 4848
Sortino Ratio Rank
The Omega Ratio Rank of UVIX is 4343
Omega Ratio Rank
The Calmar Ratio Rank of UVIX is 11
Calmar Ratio Rank
The Martin Ratio Rank of UVIX is 77
Martin Ratio Rank

TMF
The Risk-Adjusted Performance Rank of TMF is 55
Overall Rank
The Sharpe Ratio Rank of TMF is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of TMF is 44
Sortino Ratio Rank
The Omega Ratio Rank of TMF is 44
Omega Ratio Rank
The Calmar Ratio Rank of TMF is 66
Calmar Ratio Rank
The Martin Ratio Rank of TMF is 55
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

UVIX vs. TMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Volatility Shares 2x Long VIX Futures ETF (UVIX) and Direxion Daily 20-Year Treasury Bull 3X (TMF). 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.


The current UVIX Sharpe Ratio is -0.29, which is higher than the TMF Sharpe Ratio of -0.53. The chart below compares the historical Sharpe Ratios of UVIX and TMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

UVIX vs. TMF - Dividend Comparison

UVIX has not paid dividends to shareholders, while TMF's dividend yield for the trailing twelve months is around 4.65%.


TTM20242023202220212020201920182017
UVIX
Volatility Shares 2x Long VIX Futures ETF
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
4.65%4.29%2.82%1.62%0.13%2.23%0.94%1.49%0.41%

Drawdowns

UVIX vs. TMF - Drawdown Comparison

The maximum UVIX drawdown since its inception was -99.80%, which is greater than TMF's maximum drawdown of -92.22%. Use the drawdown chart below to compare losses from any high point for UVIX and TMF. For additional features, visit the drawdowns tool.


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Volatility

UVIX vs. TMF - Volatility Comparison

Volatility Shares 2x Long VIX Futures ETF (UVIX) has a higher volatility of 37.03% compared to Direxion Daily 20-Year Treasury Bull 3X (TMF) at 9.83%. This indicates that UVIX's price experiences larger fluctuations and is considered to be riskier than TMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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