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

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Looking at the total return, or increase in value of 42.7% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (77.6%)
• During the last 3 years, the total return, or performance is 72.6%, which is larger, thus better than the value of 53.5% 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 Shrs is 7.4%, which is lower, thus worse compared to the benchmark SPY (12.2%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 20% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (15.4%).

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.'

• Looking at the historical 30 days volatility of 35.4% 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 historical 30 days volatility is 30.9%, which is higher, thus worse than the value of 13% from the benchmark.

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.'

• The downside deviation over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 25.3%, which is greater, thus worse compared to the benchmark SPY (9.6%) in the same period.
• Looking at downside volatility in of 21.3% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (9.4%).

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.'

• The Sharpe Ratio over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 0.14, which is lower, thus worse compared to the benchmark SPY (0.73) in the same period.
• Compared with SPY (0.99) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.57 is lower, thus worse.

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 (1.01) in the period of the last 5 years, the downside risk / excess return profile of 0.19 of Direxion Daily 20-Yr Treasury Bull 3x Shrs is lower, thus worse.
• Looking at excess return divided by the downside deviation in of 0.82 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.37).

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.'

• The Downside risk index over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 30 , which is greater, thus worse compared to the benchmark SPY (3.97 ) in the same period.
• Compared with SPY (4.1 ) in the period of the last 3 years, the Downside risk index of 15 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.'

• The maximum drop from peak to valley over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is -51.1 days, which is lower, thus worse compared to the benchmark SPY (-19.3 days) in the same period.
• Looking at maximum drop from peak to valley in of -33.9 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-19.3 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.'

• Looking at the maximum days below previous high of 777 days 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 (187 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 430 days is higher, thus worse.

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 days below previous high over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 273 days, which is larger, thus worse compared to the benchmark SPY (42 days) in the same period.
• During the last 3 years, the average days below previous high is 142 days, which is greater, thus worse than the value of 37 days from the benchmark.