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

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.'

• Compared with the benchmark SPY (60.6%) in the period of the last 5 years, the total return, or increase in value of -67.8% of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is -86.6%, which is lower, thus worse than the value of 38% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -20.3%, which is lower, thus worse compared to the benchmark SPY (10%) in the same period.
• During the last 3 years, the annual return (CAGR) is -48.8%, which is lower, thus worse than the value of 11.3% 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.'

• The volatility over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 50.1%, which is larger, thus worse compared to the benchmark SPY (21.5%) in the same period.
• During the last 3 years, the 30 days standard deviation is 49.7%, which is higher, thus worse than the value of 17.9% from the benchmark.

DownVol:

'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 35.4% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively greater, thus worse in comparison to the benchmark SPY (15.5%)
• During the last 3 years, the downside risk is 36.5%, which is greater, thus worse than the value of 12.5% from the benchmark.

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.'

• Compared with the benchmark SPY (0.35) in the period of the last 5 years, the Sharpe Ratio of -0.46 of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
• Compared with SPY (0.49) in the period of the last 3 years, the Sharpe Ratio of -1.03 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 -0.64 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 (0.48)
• During the last 3 years, the ratio of annual return and downside deviation is -1.41, which is lower, thus worse than the value of 0.71 from the benchmark.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 51 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 (9.55 )
• During the last 3 years, the Ulcer Ratio is 59 , which is higher, thus worse than the value of 10 from the benchmark.

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.'

• The maximum reduction from previous high over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -89.4 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -86.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-24.5 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'

• The maximum time in days below previous high water mark over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 891 days, which is larger, thus worse compared to the benchmark SPY (431 days) in the same period.
• Compared with SPY (431 days) in the period of the last 3 years, the maximum days below previous high of 752 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.'

• Compared with the benchmark SPY (105 days) in the period of the last 5 years, the average days under water of 337 days of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
• Compared with SPY (144 days) in the period of the last 3 years, the average time in days below previous high water mark of 376 days is greater, thus worse.