^TNX vs. TMF
Compare and contrast key facts about Treasury Yield 10 Years (^TNX) 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: ^TNX or TMF.
Key characteristics
| ^TNX | TMF | |
|---|---|---|
| YTD Return | 5.35% | -19.92% |
| 1Y Return | -18.34% | 33.94% |
| 3Y Return (Ann) | 35.72% | -40.96% |
| 5Y Return (Ann) | 18.49% | -28.30% |
| 10Y Return (Ann) | 6.33% | -11.42% |
| Sharpe Ratio | -0.72 | 0.56 |
| Sortino Ratio | -0.94 | 1.06 |
| Omega Ratio | 0.90 | 1.12 |
| Calmar Ratio | -0.31 | 0.28 |
| Martin Ratio | -1.02 | 1.30 |
| Ulcer Index | 16.61% | 19.70% |
| Daily Std Dev | 23.66% | 45.80% |
| Max Drawdown | -93.78% | -92.18% |
| Current Drawdown | -49.23% | -89.52% |
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.
Performance
^TNX vs. TMF - Performance Comparison
In the year-to-date period, ^TNX achieves a 5.35% return, which is significantly higher than TMF's -19.92% return. Over the past 10 years, ^TNX has outperformed TMF with an annualized return of 6.33%, while TMF has yielded a comparatively lower -11.42% 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
^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.
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.
Volatility
^TNX vs. TMF - Volatility Comparison
The current volatility for Treasury Yield 10 Years (^TNX) is 5.53%, while Direxion Daily 20-Year Treasury Bull 3X (TMF) has a volatility of 9.28%. 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.