If a "triple leveraged" ETF which returns are compounded daily is to be calculated for annual return. Will the annual return be three times the annual return of a unlevered S&P 500 index?
No it isn't. Every 3X leveraged ETF explicitly tracks "3X Daily Returns". For example SPXL:
These leveraged ETFs seek a return that is +300% or -300% of the return of their benchmark index for a single day. The funds should not be expected to provide three times or negative three times the return of the benchmark’s cumulative return for periods greater than a day.
SPY is up 3.33% YTD and SPXL is up 6.36% YTD.
You do not hold leveraged ETF for more than a few days. Otherwise, even if SPY is +0% after one month, SPXL will still be at a loss.
Consider just two days, up 10% then down 10%. The unleveraged position is worth 1.1*.9= .99 or a 1% drop, but leveraged +30% then down 30% is 1.3*.7 or .91, down 9%. Over time the effect will be more pronounced.