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

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.'

• Looking at the total return, or increase in value of 329% 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 (115.1%)
• Looking at total return, or increase in value in of 173.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (71.1%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Direxion Daily S&P 500 Bull 3X is 33.9%, which is higher, thus better compared to the benchmark SPY (16.6%) in the same period.
• Compared with SPY (19.7%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 40% is higher, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the 30 days standard deviation of 51.7% of Direxion Daily S&P 500 Bull 3X is greater, thus worse.
• Looking at volatility in of 51.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.5%).

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.'

• The downside risk over 5 years of Direxion Daily S&P 500 Bull 3X is 36.1%, which is higher, thus worse compared to the benchmark SPY (12.1%) in the same period.
• Compared with SPY (11.5%) in the period of the last 3 years, the downside deviation of 34.3% is greater, thus worse.

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Direxion Daily S&P 500 Bull 3X is 0.61, which is lower, thus worse compared to the benchmark SPY (0.8) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.73, which is smaller, thus worse than the value of 0.98 from the benchmark.

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.'

• Looking at the ratio of annual return and downside deviation of 0.87 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 (1.17)
• Looking at ratio of annual return and downside deviation in of 1.09 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.49).

Ulcer:

'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.'

• Looking at the Downside risk index of 30 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 (8.48 )
• During the last 3 years, the Ulcer Index is 18 , which is higher, thus worse than the value of 5.31 from the benchmark.

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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -63.8 days of Direxion Daily S&P 500 Bull 3X is smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -48.9 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum time in days below previous high water mark over 5 years of Direxion Daily S&P 500 Bull 3X is 612 days, which is larger, 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 days under water of 229 days is greater, 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 (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 180 days of Direxion Daily S&P 500 Bull 3X is higher, thus worse.
• During the last 3 years, the average days below previous high is 64 days, which is larger, thus worse than the value of 47 days from the benchmark.