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

TotalReturn:

'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.'

• Compared with the benchmark SPY (62.7%) in the period of the last 5 years, the total return of -53.7% of Direxion Daily 20-Yr Treasury Bull 3x is lower, thus worse.
• During the last 3 years, the total return is -71.3%, which is lower, thus worse than the value of 34.7% from the benchmark.

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 20-Yr Treasury Bull 3x is -14.3%, which is smaller, thus worse compared to the benchmark SPY (10.2%) in the same period.
• Compared with SPY (10.5%) in the period of the last 3 years, the annual performance (CAGR) of -34.1% is lower, 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.'

• Compared with the benchmark SPY (20.9%) in the period of the last 5 years, the 30 days standard deviation of 45.9% of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
• Looking at 30 days standard deviation in of 53.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (24.1%).

DownVol:

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

• Compared with the benchmark SPY (15.3%) in the period of the last 5 years, the downside deviation of 32.7% of Direxion Daily 20-Yr Treasury Bull 3x is higher, thus worse.
• Looking at downside deviation in of 38.5% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.6%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The Sharpe Ratio over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -0.37, which is lower, thus worse compared to the benchmark SPY (0.37) in the same period.
• Compared with SPY (0.33) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.68 is smaller, thus worse.

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.'

• Looking at the downside risk / excess return profile of -0.51 in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.51)
• Compared with SPY (0.45) in the period of the last 3 years, the downside risk / excess return profile of -0.95 is lower, thus worse.

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 (7.71 ) in the period of the last 5 years, the Ulcer Index of 37 of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
• Compared with SPY (9.08 ) in the period of the last 3 years, the Ulcer Ratio of 45 is higher, 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.'

• The maximum reduction from previous high over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -83.2 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum reduction from previous high in of -83.2 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-33.7 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'

• Compared with the benchmark SPY (189 days) in the period of the last 5 years, the maximum days below previous high of 649 days of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
• Looking at maximum days under water in of 649 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (189 days).

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 (46 days) in the period of the last 5 years, the average days under water of 233 days of Direxion Daily 20-Yr Treasury Bull 3x is larger, thus worse.
• During the last 3 years, the average days under water is 289 days, which is higher, thus worse than the value of 45 days from the benchmark.