Description of Direxion Daily S&P 500 Bull 3X Shares

Direxion Daily S&P 500 Bull 3X Shares ETF

Statistics of Direxion Daily S&P 500 Bull 3X Shares (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Applying this definition to our asset in some examples:
  • Looking at the total return, or performance of 199.9% in the last 5 years of Direxion Daily S&P 500 Bull 3X Shares, we see it is relatively larger, thus better in comparison to the benchmark SPY (67.9%)
  • Compared with SPY (46.6%) in the period of the last 3 years, the total return, or increase in value of 137% is higher, thus better.

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.'

Using this definition on our asset we see for example:
  • The annual return (CAGR) over 5 years of Direxion Daily S&P 500 Bull 3X Shares is 24.6%, which is higher, thus better compared to the benchmark SPY (10.9%) in the same period.
  • Looking at annual return (CAGR) in of 33.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.6%).

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 volatility over 5 years of Direxion Daily S&P 500 Bull 3X Shares is 39.8%, which is higher, thus worse compared to the benchmark SPY (13.3%) in the same period.
  • During the last 3 years, the volatility is 37.3%, which is higher, thus worse than the value of 12.5% 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:
  • Looking at the downside risk of 43.6% in the last 5 years of Direxion Daily S&P 500 Bull 3X Shares, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.6%)
  • During the last 3 years, the downside deviation is 42.4%, which is larger, thus worse than the value of 14.2% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (0.64) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.55 of Direxion Daily S&P 500 Bull 3X Shares is lower, thus worse.
  • Looking at risk / return profile (Sharpe) in of 0.83 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.89).

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.'

Which means for our asset as example:
  • The ratio of annual return and downside deviation over 5 years of Direxion Daily S&P 500 Bull 3X Shares is 0.51, which is lower, thus worse compared to the benchmark SPY (0.58) in the same period.
  • Looking at downside risk / excess return profile in of 0.73 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.78).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (3.96 ) in the period of the last 5 years, the Ulcer Ratio of 13 of Direxion Daily S&P 500 Bull 3X Shares is greater, thus better.
  • Compared with SPY (4.01 ) in the period of the last 3 years, the Downside risk index of 13 is higher, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-19.3 days) in the period of the last 5 years, the maximum DrawDown of -50.2 days of Direxion Daily S&P 500 Bull 3X Shares is lower, thus worse.
  • Looking at maximum drop from peak to valley in of -50.2 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 days).

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'

Which means for our asset as example:
  • The maximum time in days below previous high water mark over 5 years of Direxion Daily S&P 500 Bull 3X Shares is 292 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
  • Compared with SPY (139 days) in the period of the last 3 years, the maximum days under water of 164 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.'

Applying this definition to our asset in some examples:
  • Looking at the average time in days below previous high water mark of 69 days in the last 5 years of Direxion Daily S&P 500 Bull 3X Shares, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
  • Compared with SPY (36 days) in the period of the last 3 years, the average days under water of 49 days is greater, thus worse.

Performance of Direxion Daily S&P 500 Bull 3X Shares (YTD)

Historical returns have been extended using synthetic data.

Allocations of Direxion Daily S&P 500 Bull 3X Shares
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Allocations

Returns of Direxion Daily S&P 500 Bull 3X Shares (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of Direxion Daily S&P 500 Bull 3X Shares 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.