Description

Direxion Daily 20-Yr Treasury Bull 3x Shrs ETF

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs is 97.1%, which is greater, thus better compared to the benchmark SPY (36.4%) in the same period.
  • Compared with SPY (14.9%) in the period of the last 3 years, the total return, or performance of 142.2% is higher, thus better.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (6.4%) in the period of the last 5 years, the annual return (CAGR) of 14.5% of Direxion Daily 20-Yr Treasury Bull 3x Shrs is greater, thus better.
  • Looking at annual performance (CAGR) in of 34.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (4.7%).

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.'

Using this definition on our asset we see for example:
  • Looking at the 30 days standard deviation of 41.4% 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 (17.8%)
  • Looking at 30 days standard deviation in of 42.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (20%).

DownVol:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 28.8% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs, we see it is relatively larger, thus worse in comparison to the benchmark SPY (13.2%)
  • During the last 3 years, the downside volatility is 28.4%, which is larger, thus worse than the value of 15.1% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (0.22) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.29 of Direxion Daily 20-Yr Treasury Bull 3x Shrs is greater, thus better.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.75, which is greater, thus better than the value of 0.11 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk / excess return profile of 0.42 in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x Shrs, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.3)
  • During the last 3 years, the downside risk / excess return profile is 1.12, which is greater, thus better than the value of 0.15 from the benchmark.

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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 30 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 (4.93 )
  • Compared with SPY (5.58 ) in the period of the last 3 years, the Downside risk index of 16 is greater, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -51.1 days of Direxion Daily 20-Yr Treasury Bull 3x Shrs is smaller, thus worse.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -43.8 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). 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'

Using this definition on our asset we see for example:
  • Looking at the maximum time in days below previous high water mark 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)
  • Looking at maximum days under water in of 430 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (42 days) in the period of the last 5 years, the average days under water of 273 days of Direxion Daily 20-Yr Treasury Bull 3x Shrs is greater, thus worse.
  • During the last 3 years, the average days below previous high is 143 days, which is greater, thus worse than the value of 36 days from the benchmark.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal the sum of monthly returns due to compounding.
  • Performance results of Direxion Daily 20-Yr Treasury Bull 3x Shrs are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.