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 (78.4%) in the period of the last 5 years, the total return, or increase in value of -25.8% of Direxion Daily 20-Yr Treasury Bull 3x is lower, thus worse.
• During the last 3 years, the total return is -31.1%, which is lower, thus worse than the value of 44.1% from the benchmark.

CAGR:

'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.'

• The annual performance (CAGR) over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -5.8%, which is smaller, thus worse compared to the benchmark SPY (12.3%) in the same period.
• Looking at annual return (CAGR) in of -11.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (12.9%).

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 43.3%, which is higher, thus worse compared to the benchmark SPY (19.9%) in the same period.
• Looking at volatility in of 51.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (23.1%).

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.'

• Looking at the downside risk of 30.5% 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 (14.6%)
• Looking at downside risk in of 36% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (16.9%).

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 risk / return profile (Sharpe) of -0.19 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 (0.49)
• Looking at risk / return profile (Sharpe) in of -0.28 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.45).

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.'

• The downside risk / excess return profile over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -0.27, which is smaller, thus worse compared to the benchmark SPY (0.67) in the same period.
• Compared with SPY (0.62) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.39 is smaller, thus worse.

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.'

• Compared with the benchmark SPY (6.16 ) in the period of the last 5 years, the Ulcer Index of 30 of Direxion Daily 20-Yr Treasury Bull 3x is larger, thus worse.
• During the last 3 years, the Ulcer Index is 37 , which is larger, thus worse than the value of 6.87 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 DrawDown over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -74.9 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -74.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 days).

MaxDuration:

'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.'

• The maximum days under water over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 556 days, which is greater, thus worse compared to the benchmark SPY (139 days) in the same period.
• Looking at maximum days under water in of 556 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (119 days).

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 210 days 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 (35 days)
• Looking at average days under water in of 223 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (27 days).