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

Correlation

The correlation between ^TNX and TMF is -0.89. 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.


-0.50.00.51.0-0.9

Performance

^TNX vs. TMF - Performance Comparison

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

-60.00%-40.00%-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
59.86%
-61.62%
^TNX
TMF

Key characteristics

Sharpe Ratio

^TNX:

0.75

TMF:

-0.84

Sortino Ratio

^TNX:

1.25

TMF:

-1.09

Omega Ratio

^TNX:

1.14

TMF:

0.88

Calmar Ratio

^TNX:

0.30

TMF:

-0.38

Martin Ratio

^TNX:

1.62

TMF:

-1.51

Ulcer Index

^TNX:

10.31%

TMF:

23.22%

Daily Std Dev

^TNX:

22.26%

TMF:

42.09%

Max Drawdown

^TNX:

-93.78%

TMF:

-92.18%

Current Drawdown

^TNX:

-43.61%

TMF:

-91.30%

Returns By Period

In the year-to-date period, ^TNX achieves a 17.02% return, which is significantly higher than TMF's -33.50% return. Over the past 10 years, ^TNX has outperformed TMF with an annualized return of 7.22%, while TMF has yielded a comparatively lower -13.89% annualized return.


^TNX

YTD

17.02%

1M

2.68%

6M

6.27%

1Y

16.18%

5Y*

18.78%

10Y*

7.22%

TMF

YTD

-33.50%

1M

-5.81%

6M

-18.91%

1Y

-32.79%

5Y*

-29.92%

10Y*

-13.89%

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Risk-Adjusted Performance

^TNX vs. TMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Treasury Yield 10 Years (^TNX) 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.


Sharpe ratio
The chart of Sharpe ratio for ^TNX, currently valued at 0.75, compared to the broader market0.001.002.000.75-0.84
The chart of Sortino ratio for ^TNX, currently valued at 1.25, compared to the broader market-1.000.001.002.003.001.25-1.09
The chart of Omega ratio for ^TNX, currently valued at 1.14, compared to the broader market0.901.001.101.201.301.401.140.88
The chart of Calmar ratio for ^TNX, currently valued at 0.61, compared to the broader market0.001.002.003.000.61-0.38
The chart of Martin ratio for ^TNX, currently valued at 1.62, compared to the broader market00.005.0010.0015.0020.001.62
^TNX
TMF

The current ^TNX Sharpe Ratio is 0.75, which is higher than the TMF Sharpe Ratio of -0.84. The chart below compares the historical Sharpe Ratios of ^TNX 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-1.00-0.500.000.50JulyAugustSeptemberOctoberNovemberDecember
0.75
-0.84
^TNX
TMF

Drawdowns

^TNX vs. TMF - Drawdown Comparison

The maximum ^TNX drawdown since its inception was -93.78%, roughly equal to the maximum TMF drawdown of -92.18%. Use the drawdown chart below to compare losses from any high point for ^TNX and TMF. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.30%
-91.30%
^TNX
TMF

Volatility

^TNX vs. TMF - Volatility Comparison

The current volatility for Treasury Yield 10 Years (^TNX) is 6.15%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 12.86%. This indicates that ^TNX 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.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JulyAugustSeptemberOctoberNovemberDecember
6.15%
12.86%
^TNX
TMF
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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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