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 -26.5%, which is smaller, thus worse compared to the benchmark SPY (62.9%) in the same period.
• During the last 3 years, the total return is 23%, which is lower, thus worse than the value of 39.8% 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 -6%, which is lower, thus worse compared to the benchmark SPY (10.3%) in the same period.
• Compared with SPY (11.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 7.2% is lower, thus worse.

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.'

• Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 63.9% of Direxion Daily Energy Bear 3X Shares is higher, thus worse.
• Compared with SPY (13.3%) in the period of the last 3 years, the 30 days standard deviation of 58% is greater, thus worse.

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.'

• The downside deviation over 5 years of Direxion Daily Energy Bear 3X Shares is 44.4%, which is higher, thus worse compared to the benchmark SPY (9.8%) in the same period.
• During the last 3 years, the downside risk is 38.6%, which is higher, thus worse than the value of 9.8% from the benchmark.

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.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the Sharpe Ratio of -0.13 of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
• During the last 3 years, the Sharpe Ratio is 0.08, which is lower, thus worse than the value of 0.71 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 excess return divided by the downside deviation of -0.19 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 (0.79)
• Looking at excess return divided by the downside deviation in of 0.12 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.96).

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 Index over 5 years of Direxion Daily Energy Bear 3X Shares is 69 , which is larger, thus worse compared to the benchmark SPY (3.98 ) in the same period.
• Compared with SPY (4.12 ) in the period of the last 3 years, the Downside risk index of 40 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 (-19.3 days) in the period of the last 5 years, the maximum reduction from previous high of -86.6 days of Direxion Daily Energy Bear 3X Shares is smaller, thus worse.
• Looking at maximum drop from peak to valley in of -61.3 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 1031 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 (187 days)
• Looking at maximum time in days below previous high water mark in of 337 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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.'

• Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days below previous high of 438 days of Direxion Daily Energy Bear 3X Shares is higher, thus worse.
• Compared with SPY (37 days) in the period of the last 3 years, the average days under water of 138 days is higher, thus worse.