Description

The investment seeks daily investment results, before fees and expenses, of 200% of the inverse of the daily performance of the Energy Select Sector Index. The fund invests in swap agreements, futures contracts, short positions or other financial instruments that, in combination, provide inverse or short leveraged exposure to the index equal to at least 80% of the fund's net assets (plus borrowing for investment purposes). The index is provided by S&P Dow Jones Indices and includes domestic companies from the energy sector which includes the following industries: oil, gas and consumable fuels; and energy equipment and services. It is non-diversified.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • The total return over 5 years of Direxion Daily Energy Bear 3X Shares is -78.3%, which is lower, thus worse compared to the benchmark SPY (121.6%) in the same period.
  • Looking at total return in of -47.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (64.5%).

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.'

Which means for our asset as example:
  • The annual return (CAGR) over 5 years of Direxion Daily Energy Bear 3X Shares is -26.3%, which is smaller, thus worse compared to the benchmark SPY (17.3%) in the same period.
  • Compared with SPY (18.1%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -19.4% is smaller, thus worse.

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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of Direxion Daily Energy Bear 3X Shares is 85.1%, which is larger, thus worse compared to the benchmark SPY (18.7%) in the same period.
  • Looking at historical 30 days volatility in of 101.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (22.5%).

DownVol:

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

Using this definition on our asset we see for example:
  • Looking at the downside risk of 56.8% 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 (13.5%)
  • Looking at downside deviation in of 66.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (16.4%).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of -0.34 of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
  • Compared with SPY (0.69) in the period of the last 3 years, the Sharpe Ratio of -0.22 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (1.09) in the period of the last 5 years, the excess return divided by the downside deviation of -0.51 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 -0.33, which is lower, thus worse than the value of 0.95 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • The Ulcer Index over 5 years of Direxion Daily Energy Bear 3X Shares is 58 , which is greater, thus worse compared to the benchmark SPY (5.58 ) in the same period.
  • Looking at Ulcer Index in of 65 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (6.83 ).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -95.9 days of Direxion Daily Energy Bear 3X Shares is smaller, thus worse.
  • During the last 3 years, the maximum DrawDown is -95.9 days, which is lower, thus worse than the value of -33.7 days from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days under water of 898 days of Direxion Daily Energy Bear 3X Shares is greater, thus worse.
  • During the last 3 years, the maximum days under water is 345 days, which is larger, thus worse than the value of 139 days from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of Direxion Daily Energy Bear 3X Shares is 370 days, which is greater, thus worse compared to the benchmark SPY (33 days) in the same period.
  • Compared with SPY (35 days) in the period of the last 3 years, the average days below previous high of 143 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Direxion Daily Energy Bear 3X Shares are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.