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 281.8%, which is higher, thus better compared to the benchmark SPY (107.8%) in the same period.
• During the last 3 years, the total return is 26.8%, which is smaller, thus worse than the value of 34.1% 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.'

• Looking at the annual performance (CAGR) of 30.8% in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively greater, thus better in comparison to the benchmark SPY (15.8%)
• During the last 3 years, the annual performance (CAGR) is 8.3%, which is lower, thus worse than the value of 10.3% from the benchmark.

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 53.2% 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 (18%)
• Looking at 30 days standard deviation in of 55.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.8%).

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 37.4% 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 (12.5%)
• During the last 3 years, the downside volatility is 38.7%, which is greater, thus worse than the value of 13% from the benchmark.

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 risk / return profile (Sharpe) of 0.53 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 (0.74)
• During the last 3 years, the Sharpe Ratio is 0.1, which is smaller, thus worse than the value of 0.41 from the benchmark.

Sortino:

'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.'

• Compared with the benchmark SPY (1.06) in the period of the last 5 years, the excess return divided by the downside deviation of 0.76 of Direxion Daily S&P 500 Bull 3X is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is 0.15, which is lower, thus worse than the value of 0.6 from the benchmark.

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 (8.45 ) in the period of the last 5 years, the Ulcer Index of 29 of Direxion Daily S&P 500 Bull 3X is higher, thus worse.
• Looking at Downside risk index in of 21 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (5.73 ).

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.'

• The maximum drop from peak to valley over 5 years of Direxion Daily S&P 500 Bull 3X is -63.8 days, which is lower, thus worse compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -48.9 days, which is lower, thus worse than the value of -18.8 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). 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'

• Looking at the maximum days under water of 612 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 (488 days)
• Looking at maximum days below previous high in of 411 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (199 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.'

• The average days below previous high over 5 years of Direxion Daily S&P 500 Bull 3X is 176 days, which is greater, thus worse compared to the benchmark SPY (118 days) in the same period.
• Looking at average days under water in of 132 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (45 days).