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, or increase in value over 5 years of Direxion Daily S&P 500 Bull 3X is 245.9%, which is higher, thus better compared to the benchmark SPY (101.1%) in the same period.
• During the last 3 years, the total return, or increase in value is 104.4%, which is higher, thus better than the value of 56.1% 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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 28.3% of Direxion Daily S&P 500 Bull 3X is greater, thus better.
• Looking at annual return (CAGR) in of 27.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (16.1%).

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.'

• The volatility over 5 years of Direxion Daily S&P 500 Bull 3X is 52.6%, which is higher, thus worse compared to the benchmark SPY (17.8%) in the same period.
• During the last 3 years, the historical 30 days volatility is 52.7%, which is higher, thus worse than the value of 18% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 37.1% 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 (12.4%)
• Looking at downside risk in of 35.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.1%).

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.'

• Looking at the Sharpe Ratio of 0.49 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 (0.7)
• Compared with SPY (0.76) in the period of the last 3 years, the Sharpe Ratio of 0.47 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.'

• Compared with the benchmark SPY (1.01) in the period of the last 5 years, the excess return divided by the downside deviation of 0.69 of Direxion Daily S&P 500 Bull 3X is smaller, thus worse.
• Compared with SPY (1.13) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.68 is smaller, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark SPY (8.49 ) in the period of the last 5 years, the Ulcer Ratio of 30 of Direxion Daily S&P 500 Bull 3X is greater, thus worse.
• Looking at Ulcer Index in of 18 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (5.39 ).

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.'

• Looking at the maximum DrawDown of -63.8 days 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 (-24.5 days)
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -48.9 days is lower, thus worse.

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'

• The maximum days below previous high over 5 years of Direxion Daily S&P 500 Bull 3X is 612 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 229 days is higher, thus worse.

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 (119 days) in the period of the last 5 years, the average days under water of 177 days of Direxion Daily S&P 500 Bull 3X is higher, thus worse.
• Looking at average time in days below previous high water mark in of 61 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (46 days).