Direxion Daily 20-Yr Treasury Bull 3x (TMF)

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.'

• The total return, or performance over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -45.9%, which is lower, thus worse compared to the benchmark SPY (63%) in the same period.
• Looking at total return, or performance in of -69.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (33.5%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (10.3%) in the period of the last 5 years, the annual return (CAGR) of -11.6% of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
• Compared with SPY (10.1%) in the period of the last 3 years, the annual performance (CAGR) of -32.6% is smaller, thus worse.

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.'

• The historical 30 days volatility over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 48.1%, which is higher, thus worse compared to the benchmark SPY (21.6%) in the same period.
• During the last 3 years, the 30 days standard deviation is 56.3%, which is higher, thus worse than the value of 25.1% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 33.7%, which is larger, thus worse compared to the benchmark SPY (15.6%) in the same period.
• Looking at downside volatility in of 39.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (18.1%).

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 Sharpe Ratio of -0.29 in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
• Compared with SPY (0.3) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.62 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 (0.5) in the period of the last 5 years, the downside risk / excess return profile of -0.42 of Direxion Daily 20-Yr Treasury Bull 3x is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is -0.88, which is smaller, thus worse than the value of 0.42 from the benchmark.

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.'

• Compared with the benchmark SPY (8.88 ) in the period of the last 5 years, the Ulcer Ratio of 41 of Direxion Daily 20-Yr Treasury Bull 3x is higher, thus worse.
• Compared with SPY (11 ) in the period of the last 3 years, the Downside risk index of 53 is larger, thus worse.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -87.2 days of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
• During the last 3 years, the maximum drop from peak to valley is -87.2 days, which is lower, thus worse than the value of -33.7 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'

• Compared with the benchmark SPY (273 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 733 days of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
• Compared with SPY (273 days) in the period of the last 3 years, the maximum days under water of 733 days is higher, thus worse.

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 237 days in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively higher, thus worse in comparison to the benchmark SPY (57 days)
• During the last 3 years, the average days below previous high is 360 days, which is larger, thus worse than the value of 73 days from the benchmark.