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^SP600 vs. TMF
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SP600 and TMF is -0.27. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0
Correlation: -0.3

Performance

^SP600 vs. TMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in S&P 600 (^SP600) and Direxion Daily 20-Year Treasury Bull 3X (TMF). The values are adjusted to include any dividend payments, if applicable.

-100.00%0.00%100.00%200.00%300.00%400.00%500.00%NovemberDecember2025FebruaryMarchApril
385.06%
-61.51%
^SP600
TMF

Key characteristics

Sharpe Ratio

^SP600:

-0.23

TMF:

-0.16

Sortino Ratio

^SP600:

-0.17

TMF:

0.06

Omega Ratio

^SP600:

0.98

TMF:

1.01

Calmar Ratio

^SP600:

-0.19

TMF:

-0.08

Martin Ratio

^SP600:

-0.60

TMF:

-0.30

Ulcer Index

^SP600:

9.00%

TMF:

23.34%

Daily Std Dev

^SP600:

23.79%

TMF:

42.72%

Max Drawdown

^SP600:

-59.17%

TMF:

-92.11%

Current Drawdown

^SP600:

-21.08%

TMF:

-91.28%

Returns By Period

In the year-to-date period, ^SP600 achieves a -13.43% return, which is significantly lower than TMF's 2.29% return. Over the past 10 years, ^SP600 has outperformed TMF with an annualized return of 5.36%, while TMF has yielded a comparatively lower -14.44% annualized return.


^SP600

YTD

-13.43%

1M

-6.61%

6M

-12.34%

1Y

-4.33%

5Y*

11.28%

10Y*

5.36%

TMF

YTD

2.29%

1M

-2.33%

6M

-13.08%

1Y

-2.88%

5Y*

-37.43%

10Y*

-14.44%

*Annualized

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Risk-Adjusted Performance

^SP600 vs. TMF — Risk-Adjusted Performance Rank

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

^SP600
The Risk-Adjusted Performance Rank of ^SP600 is 1818
Overall Rank
The Sharpe Ratio Rank of ^SP600 is 1919
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP600 is 1818
Sortino Ratio Rank
The Omega Ratio Rank of ^SP600 is 1818
Omega Ratio Rank
The Calmar Ratio Rank of ^SP600 is 1515
Calmar Ratio Rank
The Martin Ratio Rank of ^SP600 is 1818
Martin Ratio Rank

TMF
The Risk-Adjusted Performance Rank of TMF is 1414
Overall Rank
The Sharpe Ratio Rank of TMF is 1212
Sharpe Ratio Rank
The Sortino Ratio Rank of TMF is 1616
Sortino Ratio Rank
The Omega Ratio Rank of TMF is 1616
Omega Ratio Rank
The Calmar Ratio Rank of TMF is 1414
Calmar Ratio Rank
The Martin Ratio Rank of TMF is 1414
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.

^SP600 vs. TMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for S&P 600 (^SP600) 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 chart of Sharpe ratio for ^SP600, currently valued at -0.23, compared to the broader market-0.500.000.501.001.50
^SP600: -0.23
TMF: -0.16
The chart of Sortino ratio for ^SP600, currently valued at -0.17, compared to the broader market-1.000.001.002.00
^SP600: -0.17
TMF: 0.06
The chart of Omega ratio for ^SP600, currently valued at 0.98, compared to the broader market0.901.001.101.201.30
^SP600: 0.98
TMF: 1.01
The chart of Calmar ratio for ^SP600, currently valued at -0.19, compared to the broader market-0.500.000.501.00
^SP600: -0.19
TMF: -0.08
The chart of Martin ratio for ^SP600, currently valued at -0.60, compared to the broader market0.002.004.006.00
^SP600: -0.60
TMF: -0.30

The current ^SP600 Sharpe Ratio is -0.23, which is lower than the TMF Sharpe Ratio of -0.16. The chart below compares the historical Sharpe Ratios of ^SP600 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.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
-0.23
-0.16
^SP600
TMF

Drawdowns

^SP600 vs. TMF - Drawdown Comparison

The maximum ^SP600 drawdown since its inception was -59.17%, smaller than the maximum TMF drawdown of -92.11%. Use the drawdown chart below to compare losses from any high point for ^SP600 and TMF. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2025FebruaryMarchApril
-21.08%
-91.28%
^SP600
TMF

Volatility

^SP600 vs. TMF - Volatility Comparison

The current volatility for S&P 600 (^SP600) is 14.63%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 18.20%. This indicates that ^SP600 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.


5.00%10.00%15.00%20.00%NovemberDecember2025FebruaryMarchApril
14.63%
18.20%
^SP600
TMF