Direxion Daily Energy Bear 3X Shares (ERY)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or increase in value of -92.9% in the last 5 years of Direxion Daily Energy Bear 3X Shares, we see it is relatively lower, thus worse in comparison to the benchmark SPY (81.9%)
• During the last 3 years, the total return, or performance is -89.9%, which is lower, thus worse than the value of 46.1% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the annual return (CAGR) of -41.1% in the last 5 years of Direxion Daily Energy Bear 3X Shares, we see it is relatively lower, thus worse in comparison to the benchmark SPY (12.7%)
• During the last 3 years, the annual return (CAGR) is -53.4%, which is lower, thus worse than the value of 13.5% from the benchmark.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the 30 days standard deviation of 86.1% in the last 5 years of Direxion Daily Energy Bear 3X Shares, we see it is relatively greater, thus worse in comparison to the benchmark SPY (19.8%)
• Looking at historical 30 days volatility in of 100.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (23%).

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Looking at the downside deviation of 57.7% in the last 5 years of Direxion Daily Energy Bear 3X Shares, we see it is relatively greater, thus worse in comparison to the benchmark SPY (14.5%)
• During the last 3 years, the downside deviation is 67.5%, which is larger, thus worse than the value of 16.8% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The ratio of return and volatility (Sharpe) over 5 years of Direxion Daily Energy Bear 3X Shares is -0.51, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
• Compared with SPY (0.48) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.55 is lower, thus worse.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.7) in the period of the last 5 years, the ratio of annual return and downside deviation of -0.76 of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
• During the last 3 years, the ratio of annual return and downside deviation is -0.83, which is smaller, thus worse than the value of 0.65 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Index over 5 years of Direxion Daily Energy Bear 3X Shares is 67 , which is greater, thus worse compared to the benchmark SPY (6.08 ) in the same period.
• Looking at Ulcer Ratio in of 78 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.77 ).

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum drop from peak to valley over 5 years of Direxion Daily Energy Bear 3X Shares is -98.7 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -98.7 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 days).

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Looking at the maximum days below previous high of 545 days in the last 5 years of Direxion Daily Energy Bear 3X Shares, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days below previous high of 545 days is larger, thus worse.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Looking at the average time in days below previous high water mark of 202 days in the last 5 years of Direxion Daily Energy Bear 3X Shares, we see it is relatively higher, thus worse in comparison to the benchmark SPY (35 days)
• Compared with SPY (27 days) in the period of the last 3 years, the average time in days below previous high water mark of 214 days is larger, thus worse.