Direxion Daily 20-Yr Treasury Bull 3x (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 performance of -75.6% in the last 5 years of Direxion Daily 20-Yr Treasury Bull 3x, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (86.6%)
• Looking at total return, or performance in of -80.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (26.7%).

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.'

• Compared with the benchmark SPY (13.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of -24.6% of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
• During the last 3 years, the annual return (CAGR) is -42.2%, which is lower, thus worse than the value of 8.2% from the benchmark.

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 historical 30 days volatility over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 52.4%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
• During the last 3 years, the 30 days standard deviation is 52.2%, which is greater, thus worse than the value of 17.3% from the benchmark.

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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 37.2% of Direxion Daily 20-Yr Treasury Bull 3x is higher, thus worse.
• Looking at downside deviation in of 37.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (12.1%).

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 risk / return profile (Sharpe) of -0.52 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 (0.52)
• Looking at ratio of return and volatility (Sharpe) in of -0.86 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.33).

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 excess return divided by the downside deviation of -0.73 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 (0.72)
• Looking at excess return divided by the downside deviation in of -1.18 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.47).

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.'

• The Ulcer Ratio over 5 years of Direxion Daily 20-Yr Treasury Bull 3x is 60 , which is higher, thus worse compared to the benchmark SPY (9.33 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 62 , which is greater, thus worse than the value of 10 from the benchmark.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -92.2 days of Direxion Daily 20-Yr Treasury Bull 3x is smaller, thus worse.
• Looking at maximum DrawDown in of -87.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-24.5 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 (488 days) in the period of the last 5 years, the maximum days below previous high of 1037 days of Direxion Daily 20-Yr Treasury Bull 3x is greater, thus worse.
• During the last 3 years, the maximum days below previous high is 597 days, which is greater, thus worse than the value of 488 days from the benchmark.

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.'

• Looking at the average time in days below previous high water mark of 447 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 (123 days)
• During the last 3 years, the average days below previous high is 245 days, which is higher, thus worse than the value of 179 days from the benchmark.