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.'

• Looking at the total return of -83.7% 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 (91.8%)
• During the last 3 years, the total return, or performance is -50%, which is smaller, thus worse than the value of 83.9% 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 compounded annual growth rate (CAGR) over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -30.5%, which is lower, thus worse compared to the benchmark SPY (14%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of -20.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (22.6%).

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 46.7%, which is higher, thus worse compared to the benchmark SPY (17%) in the same period.
• During the last 3 years, the historical 30 days volatility is 41%, which is greater, thus worse than the value of 15.1% from the benchmark.

DownVol:

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

• The downside risk over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 33.9%, which is higher, thus worse compared to the benchmark SPY (11.7%) in the same period.
• Looking at downside deviation in of 30% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10.1%).

Sharpe:

'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.'

• Compared with the benchmark SPY (0.67) in the period of the last 5 years, the Sharpe Ratio of -0.71 of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
• Looking at risk / return profile (Sharpe) in of -0.57 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (1.33).

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 -0.97, which is smaller, thus worse compared to the benchmark SPY (0.98) in the same period.
• Compared with SPY (2) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.77 is lower, thus worse.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Ratio of 74 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 (8.45 )
• Compared with SPY (3.5 ) in the period of the last 3 years, the Ulcer Ratio of 41 is greater, 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.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -88.8 days of Direxion Daily 20-Yr Treasury Bull 3x is lower, thus worse.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -56.3 days is lower, thus worse.

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) in days.'

• The maximum days below previous high over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 1128 days, which is greater, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 741 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 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.'

• The average time in days below previous high water mark over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 515 days, which is higher, thus worse compared to the benchmark SPY (120 days) in the same period.
• During the last 3 years, the average days below previous high is 367 days, which is greater, thus worse than the value of 20 days from the benchmark.