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.'

• The total return over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 108.7%, which is higher, thus better compared to the benchmark SPY (57.4%) in the same period.
• Looking at total return, or increase in value in of 103.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (32.9%).

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.'

• Compared with the benchmark SPY (9.5%) in the period of the last 5 years, the annual performance (CAGR) of 15.9% of Direxion Daily 20-Yr Treasury Bull 3x is larger, thus better.
• Looking at annual performance (CAGR) in of 26.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10%).

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 (18.7%) in the period of the last 5 years, the 30 days standard deviation of 41.4% of Direxion Daily 20-Yr Treasury Bull 3x is larger, thus worse.
• Compared with SPY (21.5%) in the period of the last 3 years, the volatility of 43.3% is larger, thus worse.

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 (13.6%) in the period of the last 5 years, the downside volatility of 28.7% of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
• During the last 3 years, the downside deviation is 29.3%, which is higher, thus worse than the value of 15.7% from the benchmark.

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.'

• Compared with the benchmark SPY (0.37) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.32 of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
• Compared with SPY (0.35) in the period of the last 3 years, the Sharpe Ratio of 0.56 is higher, thus better.

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 ratio of annual return and downside deviation over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 0.46, which is smaller, thus worse compared to the benchmark SPY (0.52) in the same period.
• Compared with SPY (0.48) in the period of the last 3 years, the excess return divided by the downside deviation of 0.83 is larger, thus better.

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.'

• Looking at the Ulcer Ratio of 29 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 (5.8 )
• Compared with SPY (6.84 ) in the period of the last 3 years, the Downside risk index of 16 is higher, thus worse.

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.'

• Looking at the maximum drop from peak to valley of -51.1 days 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 (-33.7 days)
• Looking at maximum reduction from previous high in of -43.8 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 (187 days) in the period of the last 5 years, the maximum days below previous high of 777 days of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
• During the last 3 years, the maximum days below previous high is 430 days, which is larger, thus worse than the value of 139 days from the benchmark.

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.'

• The average time in days below previous high water mark over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 263 days, which is greater, thus worse compared to the benchmark SPY (43 days) in the same period.
• During the last 3 years, the average days below previous high is 144 days, which is higher, thus worse than the value of 38 days from the benchmark.