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 performance of -96% 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 (121.8%)
• Compared with SPY (52.8%) in the period of the last 3 years, the total return, or increase in value of -43.4% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The compounded annual growth rate (CAGR) over 5 years of Direxion Daily Energy Bear 3X Shares is -47.6%, which is smaller, thus worse compared to the benchmark SPY (17.3%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of -17.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (15.3%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the historical 30 days volatility of 61.5% in the last 5 years of Direxion Daily Energy Bear 3X Shares, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.9%)
• Looking at 30 days standard deviation in of 52.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.4%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside volatility over 5 years of Direxion Daily Energy Bear 3X Shares is 45.2%, which is higher, thus worse compared to the benchmark SPY (12.4%) in the same period.
• Compared with SPY (12.4%) in the period of the last 3 years, the downside risk of 35.3% is greater, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The risk / return profile (Sharpe) over 5 years of Direxion Daily Energy Bear 3X Shares is -0.81, which is smaller, thus worse compared to the benchmark SPY (0.83) in the same period.
• During the last 3 years, the Sharpe Ratio is -0.38, which is lower, thus worse than the value of 0.7 from the benchmark.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Looking at the ratio of annual return and downside deviation of -1.11 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 (1.19)
• Looking at ratio of annual return and downside deviation in of -0.56 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.03).

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 Ratio over 5 years of Direxion Daily Energy Bear 3X Shares is 87 , which is larger, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• During the last 3 years, the Ulcer Index is 50 , which is greater, thus worse than the value of 5.55 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum reduction from previous high of -97.3 days of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
• Looking at maximum drop from peak to valley in of -63.4 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of Direxion Daily Energy Bear 3X Shares is 1140 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 711 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (199 days).

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.'

• The average time in days below previous high water mark over 5 years of Direxion Daily Energy Bear 3X Shares is 524 days, which is greater, thus worse compared to the benchmark SPY (119 days) in the same period.
• Compared with SPY (45 days) in the period of the last 3 years, the average days under water of 340 days is greater, thus worse.