Direxion Daily 20-Yr Treasury Bull 3x Shrs (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 Shrs is 58.5%, which is smaller, thus worse compared to the benchmark SPY (67.3%) in the same period.
• During the last 3 years, the total return is -11.3%, which is smaller, thus worse than the value of 46.1% 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 return (CAGR) over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 9.7%, which is lower, thus worse compared to the benchmark SPY (10.9%) in the same period.
• Compared with SPY (13.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of -3.9% is lower, thus worse.

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 34.9%, which is greater, thus worse compared to the benchmark SPY (13.2%) in the same period.
• Looking at volatility in of 30.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.4%).

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 risk over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 37.3%, which is higher, thus worse compared to the benchmark SPY (14.6%) in the same period.
• Looking at downside deviation in of 32.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14%).

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.'

• The Sharpe Ratio over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 0.21, which is lower, thus worse compared to the benchmark SPY (0.63) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of -0.21 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.88).

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.'

• Looking at the downside risk / excess return profile of 0.19 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 (0.57)
• Looking at excess return divided by the downside deviation in of -0.2 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.79).

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 (3.95 ) in the period of the last 5 years, the Downside risk index of 31 of Direxion Daily 20-Yr Treasury Bull 3x Shrs is higher, thus better.
• During the last 3 years, the Downside risk index is 35 , which is larger, thus better than the value of 4 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• 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 reduction from previous high in of -51.1 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.'

• The maximum time in days below previous high water mark over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 678 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
• Compared with SPY (131 days) in the period of the last 3 years, the maximum days under water of 678 days is larger, 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 under water over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 244 days, which is higher, thus worse compared to the benchmark SPY (39 days) in the same period.
• During the last 3 years, the average days under water is 314 days, which is larger, thus worse than the value of 33 days from the benchmark.