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.'

• The total return, or increase in value over 5 years of Direxion Daily Energy Bear 3X Shares is -93%, which is smaller, thus worse compared to the benchmark SPY (63%) in the same period.
• During the last 3 years, the total return, or increase in value is -94.7%, which is lower, thus worse than the value of 33.5% 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 compounded annual growth rate (CAGR) of -41.2% 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 (10.3%)
• Compared with SPY (10.1%) in the period of the last 3 years, the annual return (CAGR) of -62.5% is lower, thus worse.

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.'

• Compared with the benchmark SPY (21.6%) in the period of the last 5 years, the historical 30 days volatility of 88.5% of Direxion Daily Energy Bear 3X Shares is larger, thus worse.
• Looking at volatility in of 102.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (25.1%).

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.'

• Compared with the benchmark SPY (15.6%) in the period of the last 5 years, the downside deviation of 59.4% of Direxion Daily Energy Bear 3X Shares is larger, thus worse.
• Looking at downside volatility in of 68.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.1%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The risk / return profile (Sharpe) over 5 years of Direxion Daily Energy Bear 3X Shares is -0.49, which is smaller, thus worse compared to the benchmark SPY (0.36) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of -0.64 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.3).

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 excess return divided by the downside deviation of -0.74 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 (0.5)
• Looking at ratio of annual return and downside deviation in of -0.94 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.42).

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.'

• Compared with the benchmark SPY (8.88 ) in the period of the last 5 years, the Ulcer Ratio of 75 of Direxion Daily Energy Bear 3X Shares is larger, thus worse.
• During the last 3 years, the Downside risk index is 91 , which is larger, thus worse than the value of 11 from the benchmark.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -99.2 days of Direxion Daily Energy Bear 3X Shares is smaller, thus worse.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -99.2 days is lower, thus worse.

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 time in days below previous high water mark of 726 days 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 (273 days)
• Compared with SPY (273 days) in the period of the last 3 years, the maximum days below previous high of 726 days is higher, thus worse.

AveDuration:

'The Average 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. 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 266 days 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 (57 days)
• Compared with SPY (73 days) in the period of the last 3 years, the average time in days below previous high water mark of 353 days is higher, thus worse.