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 of 137% in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively higher, thus better in comparison to the benchmark SPY (86.8%)
• Looking at total return, or performance in of 22.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (26.3%).

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 18.9% in the last 5 years of Direxion Daily S&P 500 Bull 3X, we see it is relatively larger, thus better in comparison to the benchmark SPY (13.3%)
• During the last 3 years, the annual performance (CAGR) is 6.9%, which is lower, thus worse than the value of 8.1% from the benchmark.

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.'

• Looking at the volatility of 62.8% 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 (20.9%)
• During the last 3 years, the volatility is 51.6%, which is higher, thus worse than the value of 17.3% 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.'

• Looking at the downside volatility of 45.2% 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 (15%)
• Compared with SPY (12.1%) in the period of the last 3 years, the downside deviation of 36.4% is larger, 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 Sharpe Ratio over 5 years of Direxion Daily S&P 500 Bull 3X is 0.26, which is lower, thus worse compared to the benchmark SPY (0.52) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.09, which is lower, thus worse than the value of 0.32 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 excess return divided by the downside deviation of 0.36 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 (0.72)
• Compared with SPY (0.46) in the period of the last 3 years, the downside risk / excess return profile of 0.12 is lower, 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.'

• Looking at the Ulcer Index of 33 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 (9.33 )
• Looking at Downside risk index in of 37 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Looking at the maximum DrawDown of -76.9 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 (-33.7 days)
• During the last 3 years, the maximum DrawDown is -63.8 days, which is lower, 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.'

• The maximum days below previous high over 5 years of Direxion Daily S&P 500 Bull 3X is 580 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 580 days, which is higher, thus worse than the value of 488 days from the benchmark.

AveDuration:

'The Average 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. 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 time in days below previous high water mark of 174 days 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 (122 days)
• Compared with SPY (178 days) in the period of the last 3 years, the average days below previous high of 240 days is greater, thus worse.