Description

The investment seeks daily investment results, before fees and expenses, of 300% of the daily performance of the S&P 500® Index. The fund, under normal circumstances, invests at least 80% of its net assets (plus borrowing for investment purposes) in financial instruments, such as swap agreements, and securities of the index, exchange-traded funds (ETFs) that track the index and other financial instruments that provide daily leveraged exposure to the index or ETFs that track the index. The index is a float-adjusted, market capitalization-weighted index. The fund 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.'

Using this definition on our asset we see for example:
  • The total return over 5 years of Direxion Daily S&P 500 Bull 3X is 62.7%, which is lower, 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 15.2%, which is smaller, thus worse than the value of 33.5% 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.'

Applying this definition to our asset in some examples:
  • The compounded annual growth rate (CAGR) over 5 years of Direxion Daily S&P 500 Bull 3X is 10.2%, which is smaller, thus worse compared to the benchmark SPY (10.3%) in the same period.
  • During the last 3 years, the annual return (CAGR) is 4.8%, which is lower, thus worse than the value of 10.1% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of Direxion Daily S&P 500 Bull 3X is 64.8%, which is larger, thus worse compared to the benchmark SPY (21.6%) in the same period.
  • During the last 3 years, the volatility is 75.2%, which is greater, thus worse than the value of 25.1% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of Direxion Daily S&P 500 Bull 3X is 47%, which is greater, thus worse compared to the benchmark SPY (15.6%) in the same period.
  • Looking at downside risk in of 54.3% 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 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:
  • Looking at the ratio of return and volatility (Sharpe) of 0.12 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 (0.36)
  • Looking at risk / return profile (Sharpe) in of 0.03 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.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of 0.16 in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.5)
  • During the last 3 years, the downside risk / excess return profile is 0.04, which is lower, thus worse than the value of 0.42 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The Ulcer Ratio over 5 years of Direxion Daily S&P 500 Bull 3X is 28 , which is greater, thus worse compared to the benchmark SPY (8.88 ) in the same period.
  • Compared with SPY (11 ) in the period of the last 3 years, the Ulcer Index of 34 is greater, thus worse.

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.'

Applying this definition to our asset in some examples:
  • The maximum reduction from previous high over 5 years of Direxion Daily S&P 500 Bull 3X is -76.9 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
  • During the last 3 years, the maximum reduction from previous high is -76.9 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.'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 273 days in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively higher, thus worse in comparison to the benchmark SPY (273 days)
  • During the last 3 years, the maximum days below previous high is 273 days, which is higher, thus worse than the value of 273 days from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (57 days) in the period of the last 5 years, the average days under water of 80 days of Direxion Daily S&P 500 Bull 3X is greater, thus worse.
  • Looking at average days below previous high in of 94 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (73 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Direxion Daily S&P 500 Bull 3X 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.