PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
3X
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

3X

Last updated Sep 21, 2024

Asset Allocation

USD 33.33%FNGU 33.33%NVDL 33.33%EquityEquity
PositionCategory/SectorWeight
FNGU
MicroSectors FANG+™ Index 3X Leveraged ETN		Leveraged Equities, Leveraged
33.33%
NVDL
GraniteShares 2x Long NVDA Daily ETF		Leveraged Equities
33.33%
USD
ProShares Ultra Semiconductors		Leveraged Equities, Leveraged
33.33%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 3X, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

-40.00%-20.00%0.00%20.00%40.00%60.00%AprilMayJuneJulyAugustSeptember
15.94%
8.95%
3X
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 13, 2022, corresponding to the inception date of NVDL

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
3X147.99%-6.09%15.94%258.02%N/AN/A
Portfolio components:
USD
ProShares Ultra Semiconductors		105.35%-8.68%8.33%205.98%58.80%45.00%
FNGU
MicroSectors FANG+™ Index 3X Leveraged ETN		78.92%7.08%22.75%180.50%62.67%N/A
NVDL
GraniteShares 2x Long NVDA Daily ETF		258.26%-15.96%17.61%349.26%N/AN/A

Monthly Returns

The table below presents the monthly returns of 3X, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
202421.61%42.44%15.74%-11.42%35.51%23.32%-11.59%-3.44%147.99%
202348.27%13.76%31.18%-5.79%52.11%17.82%12.67%-2.06%-17.82%-9.91%32.32%15.89%368.03%
2022-26.29%-26.29%

Expense Ratio

3X has a high expense ratio of 1.02%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

NVDL
GraniteShares 2x Long NVDA Daily ETF
Expense ratio chart for NVDL: current value at 1.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.15%
USD
ProShares Ultra Semiconductors
Expense ratio chart for USD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
FNGU
MicroSectors FANG+™ Index 3X Leveraged ETN
Expense ratio chart for FNGU: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 3X is 74, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of 3X is 7474
3X
The Sharpe Ratio Rank of 3X is 9292Sharpe Ratio Rank
The Sortino Ratio Rank of 3X is 5151Sortino Ratio Rank
The Omega Ratio Rank of 3X is 5353Omega Ratio Rank
The Calmar Ratio Rank of 3X is 9595Calmar Ratio Rank
The Martin Ratio Rank of 3X is 7878Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

3X
Sharpe ratio
The chart of Sharpe ratio for 3X, currently valued at 3.04, compared to the broader market-1.000.001.002.003.004.003.04
Sortino ratio
The chart of Sortino ratio for 3X, currently valued at 2.97, compared to the broader market-2.000.002.004.006.002.97
Omega ratio
The chart of Omega ratio for 3X, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for 3X, currently valued at 5.12, compared to the broader market0.002.004.006.008.0010.005.12
Martin ratio
The chart of Martin ratio for 3X, currently valued at 15.18, compared to the broader market0.0010.0020.0030.0040.0015.18
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
USD
ProShares Ultra Semiconductors		2.532.711.354.1511.95
FNGU
MicroSectors FANG+™ Index 3X Leveraged ETN		2.182.451.323.4610.20
NVDL
GraniteShares 2x Long NVDA Daily ETF		3.393.181.416.6018.56

Sharpe Ratio

The current 3X Sharpe ratio is 3.04. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.91 to 2.59, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of 3X with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.002.003.004.005.006.00AprilMayJuneJulyAugustSeptember
3.04
2.32
3X
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

3X granted a 1.06% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
3X1.06%3.78%0.10%0.00%0.05%0.24%0.31%0.11%1.24%0.13%0.60%0.21%
Portfolio components:
USD
ProShares Ultra Semiconductors		0.02%0.05%0.30%0.00%0.14%0.72%0.93%0.32%3.71%0.39%1.80%0.63%
FNGU
MicroSectors FANG+™ Index 3X Leveraged ETN		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NVDL
GraniteShares 2x Long NVDA Daily ETF		3.15%11.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-50.00%-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-30.58%
-0.19%
3X
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 3X. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the 3X was 47.63%, occurring on Aug 7, 2024. The portfolio has not yet recovered.

The current 3X drawdown is 30.58%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.63%Jul 11, 202420Aug 7, 2024———
-32.86%Jul 19, 202371Oct 26, 202333Dec 13, 2023104
-31.71%Dec 14, 202210Dec 28, 202216Jan 23, 202326
-31.1%Mar 26, 202418Apr 19, 202422May 21, 202440
-19.07%Jun 20, 20243Jun 24, 202410Jul 9, 202413

Volatility

Volatility Chart

The current 3X volatility is 30.49%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

0.00%10.00%20.00%30.00%40.00%AprilMayJuneJulyAugustSeptember
30.49%
4.31%
3X
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
FNGUNVDLUSD
FNGU1.000.750.82
NVDL0.751.000.92
USD0.820.921.00
The correlation results are calculated based on daily price changes starting from Dec 14, 2022