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VRTIX vs. TNA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VRTIXTNA
YTD Return19.40%35.98%
1Y Return42.32%120.88%
3Y Return (Ann)1.23%-20.25%
5Y Return (Ann)10.09%-2.65%
10Y Return (Ann)8.96%3.90%
Sharpe Ratio1.961.87
Sortino Ratio2.812.46
Omega Ratio1.341.30
Calmar Ratio1.511.55
Martin Ratio11.329.43
Ulcer Index3.74%12.82%
Daily Std Dev21.62%64.60%
Max Drawdown-41.69%-88.09%
Current Drawdown-1.77%-51.15%

Correlation

-0.50.00.51.01.0

The correlation between VRTIX and TNA is 1.00, 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.

Performance

VRTIX vs. TNA - Performance Comparison

In the year-to-date period, VRTIX achieves a 19.40% return, which is significantly lower than TNA's 35.98% return. Over the past 10 years, VRTIX has outperformed TNA with an annualized return of 8.96%, while TNA has yielded a comparatively lower 3.90% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%0.00%10.00%20.00%30.00%40.00%JuneJulyAugustSeptemberOctoberNovember
15.48%
35.13%
VRTIX
TNA

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VRTIX vs. TNA - Expense Ratio Comparison

VRTIX has a 0.08% expense ratio, which is lower than TNA's 1.14% expense ratio.


TNA
Direxion Daily Small Cap Bull 3X Shares
Expense ratio chart for TNA: current value at 1.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.14%
Expense ratio chart for VRTIX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

VRTIX vs. TNA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Russell 2000 Index Fund Institutional Shares (VRTIX) and Direxion Daily Small Cap Bull 3X Shares (TNA). 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.


VRTIX
Sharpe ratio
The chart of Sharpe ratio for VRTIX, currently valued at 1.96, compared to the broader market0.002.004.001.96
Sortino ratio
The chart of Sortino ratio for VRTIX, currently valued at 2.81, compared to the broader market0.005.0010.002.81
Omega ratio
The chart of Omega ratio for VRTIX, currently valued at 1.34, compared to the broader market1.002.003.004.001.34
Calmar ratio
The chart of Calmar ratio for VRTIX, currently valued at 1.51, compared to the broader market0.005.0010.0015.0020.0025.001.51
Martin ratio
The chart of Martin ratio for VRTIX, currently valued at 11.32, compared to the broader market0.0020.0040.0060.0080.00100.0011.32
TNA
Sharpe ratio
The chart of Sharpe ratio for TNA, currently valued at 1.87, compared to the broader market0.002.004.001.87
Sortino ratio
The chart of Sortino ratio for TNA, currently valued at 2.46, compared to the broader market0.005.0010.002.46
Omega ratio
The chart of Omega ratio for TNA, currently valued at 1.30, compared to the broader market1.002.003.004.001.30
Calmar ratio
The chart of Calmar ratio for TNA, currently valued at 1.55, compared to the broader market0.005.0010.0015.0020.0025.001.55
Martin ratio
The chart of Martin ratio for TNA, currently valued at 9.43, compared to the broader market0.0020.0040.0060.0080.00100.009.43

VRTIX vs. TNA - Sharpe Ratio Comparison

The current VRTIX Sharpe Ratio is 1.96, which is comparable to the TNA Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of VRTIX and TNA, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.96
1.87
VRTIX
TNA

Dividends

VRTIX vs. TNA - Dividend Comparison

VRTIX's dividend yield for the trailing twelve months is around 1.21%, more than TNA's 0.81% yield.


TTM20232022202120202019201820172016201520142013
VRTIX
Vanguard Russell 2000 Index Fund Institutional Shares
1.21%1.46%1.50%1.15%0.93%1.36%1.49%1.24%1.33%1.31%1.17%1.08%
TNA
Direxion Daily Small Cap Bull 3X Shares
0.81%1.27%0.31%0.06%0.03%0.44%0.36%0.15%0.00%0.00%0.59%1.53%

Drawdowns

VRTIX vs. TNA - Drawdown Comparison

The maximum VRTIX drawdown since its inception was -41.69%, smaller than the maximum TNA drawdown of -88.09%. Use the drawdown chart below to compare losses from any high point for VRTIX and TNA. For additional features, visit the drawdowns tool.


-70.00%-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.77%
-51.15%
VRTIX
TNA

Volatility

VRTIX vs. TNA - Volatility Comparison

The current volatility for Vanguard Russell 2000 Index Fund Institutional Shares (VRTIX) is 7.41%, while Direxion Daily Small Cap Bull 3X Shares (TNA) has a volatility of 21.49%. This indicates that VRTIX experiences smaller price fluctuations and is considered to be less risky than TNA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%30.00%JuneJulyAugustSeptemberOctoberNovember
7.41%
21.49%
VRTIX
TNA