Leveraged momentum portfolio
Leveraged momentum portfolio consisting of leveraged ETFs SSO and UBT and be designed to take advantage of upward trends in the market.
1. SSO, or the ProShares Ultra S&P500 ETF, is a leveraged ETF that seeks to track the performance of the S&P 500 index. This ETF uses leverage to amplify the underlying index's returns, providing investors with the opportunity to earn higher returns in a shorter time frame.
2. UBT, or the ProShares Ultra 20+ Year Treasury ETF, is a leveraged ETF that seeks to track the performance of long-term U.S. Treasury bonds.
The portfolio is rebalanced every month, increasing the allocation of a symbol that showed a larger return in the past month. For example, if the SSO ETF showed a return of 10% in the past month and the UBT ETF showed a return of 5%, the portfolio would increase its allocation to SSO and decrease its allocation to UBT. This would allow the portfolio to capitalize on the momentum of the SSO ETF and potentially generate higher returns.
The portfolio carries higher risks due to leverage and should be used cautiously.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
UBT ProShares Ultra 20+ Year Treasury | Leveraged Bonds, Leveraged | 11.63% |
SSO ProShares Ultra S&P 500 | Leveraged Equities, Leveraged | 88.37% |
Transactions
| Date | Type | Symbol | Quantity | Price |
|---|---|---|---|---|
| Oct 31, 2022 | Buy | ProShares Ultra S&P 500 | 280 | $45.97 |
| Oct 31, 2022 | Sell | ProShares Ultra 20+ Year Treasury | 570 | $22.49 |
| Sep 30, 2022 | Sell | ProShares Ultra S&P 500 | 800 | $39.72 |
| Sep 30, 2022 | Buy | ProShares Ultra 20+ Year Treasury | 1240 | $25.80 |
| Aug 31, 2022 | Buy | ProShares Ultra S&P 500 | 830 | $48.66 |
| Aug 31, 2022 | Sell | ProShares Ultra 20+ Year Treasury | 1300 | $30.87 |
| Jul 29, 2022 | Buy | ProShares Ultra S&P 500 | 500 | $53.29 |
| Jul 29, 2022 | Sell | ProShares Ultra 20+ Year Treasury | 790 | $34.03 |
| Jun 30, 2022 | Sell | ProShares Ultra S&P 500 | 510 | $44.90 |
| Jun 30, 2022 | Buy | ProShares Ultra 20+ Year Treasury | 700 | $32.69 |
Performance
The chart shows the growth of $10,000 invested in Leveraged momentum portfolio in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $77,522 for a total return of roughly 675.22%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly
Returns
As of Mar 21, 2023, the Leveraged momentum portfolio returned 5.55% Year-To-Date and 14.86% of annualized return in the last 10 years.
| 1 month | Year-To-Date | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -3.13% | 2.92% | 2.02% | -11.46% | 7.79% | 9.86% |
| Leveraged momentum portfolio | -5.19% | 5.55% | -1.12% | -29.01% | 9.12% | 14.86% |
| Portfolio components: | ||||||
| Returns over 1 year are annualized | ||||||
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Leveraged momentum portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Leveraged momentum portfolio is 48.05%, recorded on Oct 14, 2022. The portfolio has not recovered from it yet.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -48.05% | Dec 28, 2021 | 202 | Oct 14, 2022 | — | — | — |
| -47.36% | Feb 20, 2020 | 23 | Mar 23, 2020 | 108 | Aug 25, 2020 | 131 |
| -29.07% | Sep 21, 2018 | 65 | Dec 24, 2018 | 120 | Jun 18, 2019 | 185 |
| -20.88% | Feb 25, 2015 | 244 | Feb 11, 2016 | 98 | Jul 1, 2016 | 342 |
| -17.7% | Jan 29, 2018 | 9 | Feb 8, 2018 | 140 | Aug 29, 2018 | 149 |
| -17.33% | May 2, 2011 | 69 | Aug 8, 2011 | 57 | Oct 27, 2011 | 126 |
| -16.69% | Sep 3, 2020 | 14 | Sep 23, 2020 | 38 | Nov 16, 2020 | 52 |
| -11.89% | May 22, 2013 | 23 | Jun 24, 2013 | 19 | Jul 22, 2013 | 42 |
| -10.68% | Sep 22, 2014 | 19 | Oct 16, 2014 | 11 | Oct 31, 2014 | 30 |
| -9.7% | Aug 24, 2016 | 51 | Nov 3, 2016 | 23 | Dec 7, 2016 | 74 |
Volatility Chart
Current Leveraged momentum portfolio volatility is 32.35%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.