Direxion Daily Energy Bear 3X Shares (ERY)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return of -92.5% in the last 5 years of Direxion Daily Energy Bear 3X Shares, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (80.1%)
• During the last 3 years, the total return is -56.7%, which is lower, thus worse than the value of 69.5% from the benchmark.

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.'

• Compared with the benchmark SPY (12.6%) in the period of the last 5 years, the annual performance (CAGR) of -40.5% of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
• During the last 3 years, the annual return (CAGR) is -24.5%, which is lower, thus worse than the value of 19.4% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The 30 days standard deviation over 5 years of Direxion Daily Energy Bear 3X Shares is 51.4%, which is larger, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Looking at 30 days standard deviation in of 42.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (15.3%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 volatility of 36.2% 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 (11.8%)
• Looking at downside deviation in of 28.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.3%).

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.'

• Looking at the risk / return profile (Sharpe) of -0.84 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 (0.59)
• Looking at ratio of return and volatility (Sharpe) in of -0.63 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.1).

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 -1.19 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 (0.85)
• Looking at excess return divided by the downside deviation in of -0.93 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.64).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 81 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 (8.46 )
• Looking at Ulcer Ratio in of 31 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (3.53 ).

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 -94 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -65.9 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 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 1237 days 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 (488 days)
• During the last 3 years, the maximum days below previous high is 325 days, which is larger, thus worse than the value of 87 days from the benchmark.

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 days below previous high of 613 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 (119 days)
• Looking at average days under water in of 137 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (21 days).