Direxion Daily 20-Yr Treasury Bull 3x Shrs (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, or increase in value of 44.3% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs, we see it is relatively lower, thus worse in comparison to the benchmark SPY (68.7%)
• Compared with SPY (47.9%) in the period of the last 3 years, the total return, or increase in value of -7.5% is lower, thus worse.

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 return (CAGR) over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 7.6%, which is lower, thus worse compared to the benchmark SPY (11%) in the same period.
• During the last 3 years, the annual return (CAGR) is -2.6%, which is smaller, thus worse than the value of 14% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Looking at the historical 30 days volatility of 34.9% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs, we see it is relatively higher, thus worse in comparison to the benchmark SPY (13.3%)
• During the last 3 years, the volatility is 30.4%, which is higher, thus worse than the value of 12.5% from the benchmark.

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 (14.6%) in the period of the last 5 years, the downside volatility of 37.3% of Direxion Daily 20-Yr Treasury Bull 3x Shrs is larger, thus worse.
• Looking at downside risk in of 32.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (14.2%).

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.15 in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.64)
• During the last 3 years, the Sharpe Ratio is -0.17, which is smaller, thus worse than the value of 0.91 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark SPY (0.58) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.14 of Direxion Daily 20-Yr Treasury Bull 3x Shrs is lower, thus worse.
• Compared with SPY (0.81) in the period of the last 3 years, the ratio of annual return and downside deviation of -0.16 is lower, 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.'

• The Downside risk index over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 31 , which is higher, thus better compared to the benchmark SPY (3.96 ) in the same period.
• During the last 3 years, the Downside risk index is 36 , which is larger, thus better than the value of 4.01 from the benchmark.

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.'

• Looking at the maximum reduction from previous high of -51.1 days in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs, we see it is relatively lower, thus worse in comparison to the benchmark SPY (-19.3 days)
• Looking at maximum reduction from previous high in of -51.1 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-19.3 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 time in days below previous high water mark of 721 days of Direxion Daily 20-Yr Treasury Bull 3x Shrs is higher, thus worse.
• Looking at maximum time in days below previous high water mark in of 721 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 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.'

• Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of 266 days of Direxion Daily 20-Yr Treasury Bull 3x Shrs is greater, thus worse.
• Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 353 days is greater, thus worse.