'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (93.6%) in the period of the last 5 years, the total return, or increase in value of -92.8% of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
- During the last 3 years, the total return, or performance is -87%, which is lower, thus worse than the value of 33.2% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the annual return (CAGR) of -41% 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 (14.2%)
- Looking at annual performance (CAGR) in of -49.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (10%).

'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.'

Applying this definition to our asset in some examples:- Looking at the 30 days standard deviation of 85.6% 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 (20.9%)
- Compared with SPY (17.5%) in the period of the last 3 years, the 30 days standard deviation of 58.2% is larger, thus worse.

'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.'

Which means for our asset as example:- The downside deviation over 5 years of Direxion Daily Energy Bear 3X Shares is 57.6%, which is greater, thus worse compared to the benchmark SPY (15%) in the same period.
- Looking at downside volatility in of 42.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.2%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Using this definition on our asset we see for example:- The Sharpe Ratio over 5 years of Direxion Daily Energy Bear 3X Shares is -0.51, which is lower, thus worse compared to the benchmark SPY (0.56) in the same period.
- During the last 3 years, the Sharpe Ratio is -0.89, which is lower, thus worse than the value of 0.43 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.78) in the period of the last 5 years, the excess return divided by the downside deviation of -0.75 of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
- Looking at ratio of annual return and downside deviation in of -1.23 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Downside risk index of 84 of Direxion Daily Energy Bear 3X Shares is higher, thus worse.
- During the last 3 years, the Ulcer Ratio is 72 , which is larger, thus worse than the value of 10 from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -99.3 days of Direxion Daily Energy Bear 3X Shares is lower, thus worse.
- During the last 3 years, the maximum drop from peak to valley is -89.1 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 987 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 time in days below previous high water mark is 754 days, which is higher, thus worse than the value of 488 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days under water of 403 days of Direxion Daily Energy Bear 3X Shares is greater, thus worse.
- During the last 3 years, the average time in days below previous high water mark is 378 days, which is larger, thus worse than the value of 180 days from the benchmark.

Historical returns have been extended using synthetic data.
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- 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.