Direxion Daily Energy Bear 3X Shares (ERY)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (104.5%) in the period of the last 5 years, the total return, or increase in value of -95.2% of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
• During the last 3 years, the total return, or performance is -43.4%, which is smaller, thus worse than the value of 57.9% 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.'

• The compounded annual growth rate (CAGR) over 5 years of Direxion Daily Energy Bear 3X Shares is -45.7%, which is lower, thus worse compared to the benchmark SPY (15.4%) in the same period.
• During the last 3 years, the annual performance (CAGR) is -17.4%, which is smaller, thus worse than the value of 16.5% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Direxion Daily Energy Bear 3X Shares is 58.3%, which is larger, thus worse compared to the benchmark SPY (17.5%) in the same period.
• During the last 3 years, the historical 30 days volatility is 48.6%, which is larger, thus worse than the value of 17.2% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 42.9% 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 (12.1%)
• During the last 3 years, the downside deviation is 33%, which is greater, thus worse than the value of 11.5% 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.'

• Compared with the benchmark SPY (0.74) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.83 of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
• Compared with SPY (0.81) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.41 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 (1.07) in the period of the last 5 years, the ratio of annual return and downside deviation of -1.12 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 -0.6, which is lower, thus worse than the value of 1.22 from the benchmark.

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.'

• The Ulcer Ratio over 5 years of Direxion Daily Energy Bear 3X Shares is 89 , which is larger, thus worse compared to the benchmark SPY (8.48 ) in the same period.
• Compared with SPY (5.3 ) in the period of the last 3 years, the Ulcer Index of 46 is larger, thus worse.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• 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.
• During the last 3 years, the maximum reduction from previous high is -58.6 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

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 below previous high over 5 years of Direxion Daily Energy Bear 3X Shares is 1194 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 714 days in the period of the last 3 years, we see it is relatively higher, 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.'

• Looking at the average days under water of 575 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 (120 days)
• Looking at average days under water in of 342 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (47 days).