Description

The investment seeks daily investment results, before fees and expenses, of 300% of the daily performance of the ICE U.S. Treasury 20+ Year Bond Index. The fund, under normal circumstances, invests at least 80% of its net assets (plus borrowing for investment purposes) in financial instruments and securities of the index, ETFs that track the index and other financial instruments that provide daily leveraged exposure to the index or ETFs that track the index. The index is a market value weighted index that includes publicly issued U.S. Treasury securities that have a remaining maturity of greater than 20 years. The fund is non-diversified.

Statistics (YTD)

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

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.'

Which means for our asset as example:
  • Looking at the total return, or performance of -89.5% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively lower, thus worse in comparison to the benchmark SPY (115.1%)
  • During the last 3 years, the total return, or increase in value is -67.9%, which is lower, thus worse than the value of 71.1% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • The annual performance (CAGR) over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is -36.4%, which is smaller, thus worse compared to the benchmark SPY (16.6%) in the same period.
  • Compared with SPY (19.7%) in the period of the last 3 years, the annual performance (CAGR) of -31.6% is smaller, 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.'

Which means for our asset as example:
  • Looking at the 30 days standard deviation of 47.8% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively larger, thus worse in comparison to the benchmark SPY (17.5%)
  • During the last 3 years, the historical 30 days volatility is 49.8%, which is greater, thus worse than the value of 17.5% from the benchmark.

DownVol:

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

Which means for our asset as example:
  • Looking at the downside risk of 34.9% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively larger, thus worse in comparison to the benchmark SPY (12.1%)
  • Looking at downside volatility in of 35.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (11.5%).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.8) in the period of the last 5 years, the Sharpe Ratio of -0.81 of Direxion Daily 20-Yr Treasury Bull 3x is lower, thus worse.
  • During the last 3 years, the Sharpe Ratio is -0.69, which is smaller, thus worse than the value of 0.98 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 ratio of annual return and downside deviation of -1.12 in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.17)
  • Looking at excess return divided by the downside deviation in of -0.95 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (1.49).

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.'

Which means for our asset as example:
  • Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 72 of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
  • Looking at Downside risk index in of 56 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (5.31 ).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -91.9 days of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
  • Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -73.9 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'

Which means for our asset as example:
  • Looking at the maximum days under water of 1234 days in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
  • Compared with SPY (199 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 733 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.'

Which means for our asset as example:
  • The average days below previous high over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 611 days, which is larger, thus worse compared to the benchmark SPY (120 days) in the same period.
  • Looking at average days under water in of 359 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (47 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

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 are hypothetical and do not account for slippage, fees or taxes.