Direxion Daily S&P 500 Bull 3X (SPXL)

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.'

• The total return over 5 years of Direxion Daily S&P 500 Bull 3X is 77.8%, which is greater, thus better compared to the benchmark SPY (68.1%) in the same period.
• During the last 3 years, the total return, or increase in value is 101.7%, which is larger, thus better than the value of 47% from the benchmark.

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.'

• Compared with the benchmark SPY (11%) in the period of the last 5 years, the annual return (CAGR) of 12.2% of Direxion Daily S&P 500 Bull 3X is larger, thus better.
• Looking at annual return (CAGR) in of 26.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (13.7%).

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.'

• Looking at the 30 days standard deviation of 64.1% in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively greater, thus worse in comparison to the benchmark SPY (21.4%)
• Looking at historical 30 days volatility in of 55.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (18.7%).

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.'

• Looking at the downside volatility of 46.3% in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively larger, thus worse in comparison to the benchmark SPY (15.4%)
• Compared with SPY (13.3%) in the period of the last 3 years, the downside deviation of 39.8% is higher, thus worse.

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.'

• Looking at the Sharpe Ratio of 0.15 in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.4)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.43, which is lower, thus worse than the value of 0.6 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.'

• The downside risk / excess return profile over 5 years of Direxion Daily S&P 500 Bull 3X is 0.21, which is smaller, thus worse compared to the benchmark SPY (0.55) in the same period.
• Compared with SPY (0.84) in the period of the last 3 years, the excess return divided by the downside deviation of 0.6 is lower, thus worse.

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.'

• Looking at the Ulcer Index of 31 in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively larger, thus worse in comparison to the benchmark SPY (9.45 )
• During the last 3 years, the Downside risk index is 32 , which is greater, thus worse than the value of 10 from the benchmark.

MaxDD:

'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.'

• Looking at the maximum reduction from previous high of -76.9 days in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-33.7 days)
• During the last 3 years, the maximum DrawDown is -63.8 days, which is smaller, thus worse than the value of -24.5 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.'

• Compared with the benchmark SPY (351 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 351 days of Direxion Daily S&P 500 Bull 3X is greater, thus worse.
• Looking at maximum days under water in of 351 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (351 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 below previous high of 99 days in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively larger, thus worse in comparison to the benchmark SPY (78 days)
• During the last 3 years, the average days under water is 100 days, which is smaller, thus better than the value of 101 days from the benchmark.