'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.'

Applying this definition to our asset in some examples:- The total return, or increase in value over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -76.1%, which is smaller, thus worse compared to the benchmark SPY (88.1%) in the same period.
- Compared with SPY (26.1%) in the period of the last 3 years, the total return, or increase in value of -80.6% is lower, thus worse.

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:- Looking at the compounded annual growth rate (CAGR) of -24.9% 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 (13.5%)
- Looking at compounded annual growth rate (CAGR) in of -42.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (8.1%).

'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.'

Using this definition on our asset we see for example:- Looking at the 30 days standard deviation of 52.4% 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 (20.9%)
- Looking at 30 days standard deviation in of 52.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.3%).

'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:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 37.2% of Direxion Daily 20-Yr Treasury Bull 3x is higher, thus worse.
- Compared with SPY (12.1%) in the period of the last 3 years, the downside deviation of 37.9% is larger, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.52) in the period of the last 5 years, the Sharpe Ratio of -0.52 of Direxion Daily 20-Yr Treasury Bull 3x is lower, thus worse.
- During the last 3 years, the Sharpe Ratio is -0.86, which is lower, thus worse than the value of 0.32 from the benchmark.

'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.'

Using this definition on our asset we see for example:- The ratio of annual return and downside deviation over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -0.74, which is lower, thus worse compared to the benchmark SPY (0.73) in the same period.
- Compared with SPY (0.46) in the period of the last 3 years, the excess return divided by the downside deviation of -1.18 is lower, thus worse.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (9.33 ) in the period of the last 5 years, the Ulcer Index of 60 of Direxion Daily 20-Yr Treasury Bull 3x is larger, thus worse.
- Looking at Ulcer Index in of 62 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10 ).

'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.'

Applying this definition to our asset in some examples:- The maximum drop from peak to valley over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -92.2 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
- During the last 3 years, the maximum DrawDown is -87.5 days, which is lower, thus worse than the value of -24.5 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 1033 days of Direxion Daily 20-Yr Treasury Bull 3x is higher, thus worse.
- Looking at maximum days below previous high in of 593 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (488 days).

'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.'

Using this definition on our asset we see for example:- Looking at the average time in days below previous high water mark of 444 days in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively larger, thus worse in comparison to the benchmark SPY (123 days)
- During the last 3 years, the average days under water is 242 days, which is higher, thus worse than the value of 179 days from the benchmark.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Direxion Daily 20-Yr Treasury Bull 3x 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.