^IDCOT10TR vs. TMF
Compare and contrast key facts about ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) and Direxion Daily 20-Year Treasury Bull 3X (TMF).
TMF is a passively managed fund by Direxion that tracks the performance of the NYSE 20 Year Plus Treasury Bond Index (300%). 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: ^IDCOT10TR or TMF.
Key characteristics
| ^IDCOT10TR | TMF | |
|---|---|---|
| YTD Return | 1.73% | -16.19% |
| 1Y Return | 16.75% | 28.01% |
| 3Y Return (Ann) | -7.36% | -40.60% |
| 5Y Return (Ann) | -3.59% | -27.68% |
| 10Y Return (Ann) | 0.21% | -11.14% |
| Sharpe Ratio | 1.24 | 0.52 |
| Sortino Ratio | 1.79 | 1.01 |
| Omega Ratio | 1.21 | 1.12 |
| Calmar Ratio | 0.37 | 0.26 |
| Martin Ratio | 3.90 | 1.21 |
| Ulcer Index | 3.97% | 19.61% |
| Daily Std Dev | 12.50% | 45.77% |
| Max Drawdown | -41.24% | -92.18% |
| Current Drawdown | -29.82% | -89.04% |
Correlation
The correlation between ^IDCOT10TR and TMF is 0.87, 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
^IDCOT10TR vs. TMF - Performance Comparison
In the year-to-date period, ^IDCOT10TR achieves a 1.73% return, which is significantly higher than TMF's -16.19% return. Over the past 10 years, ^IDCOT10TR has outperformed TMF with an annualized return of 0.21%, while TMF has yielded a comparatively lower -11.14% 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
^IDCOT10TR vs. TMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) 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.
Drawdowns
^IDCOT10TR vs. TMF - Drawdown Comparison
The maximum ^IDCOT10TR drawdown since its inception was -41.24%, smaller than the maximum TMF drawdown of -92.18%. Use the drawdown chart below to compare losses from any high point for ^IDCOT10TR and TMF. For additional features, visit the drawdowns tool.
Volatility
^IDCOT10TR vs. TMF - Volatility Comparison
The current volatility for ICE U.S. Treasury 10-20 Year TR Index (^IDCOT10TR) is 2.84%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 8.81%. This indicates that ^IDCOT10TR experiences smaller price fluctuations and is considered to be less risky than TMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.