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Leveraged momentum portfolio

Last updated Mar 21, 2023

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

UBT 11.63%SSO 88.37%BondBondEquityEquity


Oct 31, 2022BuyProShares Ultra S&P 500280$45.97
Oct 31, 2022SellProShares Ultra 20+ Year Treasury570$22.49
Sep 30, 2022SellProShares Ultra S&P 500800$39.72
Sep 30, 2022BuyProShares Ultra 20+ Year Treasury1240$25.80
Aug 31, 2022BuyProShares Ultra S&P 500830$48.66
Aug 31, 2022SellProShares Ultra 20+ Year Treasury1300$30.87
Jul 29, 2022BuyProShares Ultra S&P 500500$53.29
Jul 29, 2022SellProShares Ultra 20+ Year Treasury790$34.03
Jun 30, 2022SellProShares Ultra S&P 500510$44.90
Jun 30, 2022BuyProShares Ultra 20+ Year Treasury700$32.69

1–10 of 300


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

Leveraged momentum portfolio
Benchmark (^GSPC)
Portfolio components


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 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Leveraged momentum portfolio-5.19%5.55%-1.12%-29.01%9.12%14.86%

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Leveraged momentum portfolio Sharpe ratio is -0.66. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.

Leveraged momentum portfolio
Benchmark (^GSPC)
Portfolio components

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

Leveraged momentum portfolio
Benchmark (^GSPC)
Portfolio components

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.



To Bottom


To Recover



-48.05%Dec 28, 2021202Oct 14, 2022
-47.36%Feb 20, 202023Mar 23, 2020108Aug 25, 2020131
-29.07%Sep 21, 201865Dec 24, 2018120Jun 18, 2019185
-20.88%Feb 25, 2015244Feb 11, 201698Jul 1, 2016342
-17.7%Jan 29, 20189Feb 8, 2018140Aug 29, 2018149
-17.33%May 2, 201169Aug 8, 201157Oct 27, 2011126
-16.69%Sep 3, 202014Sep 23, 202038Nov 16, 202052
-11.89%May 22, 201323Jun 24, 201319Jul 22, 201342
-10.68%Sep 22, 201419Oct 16, 201411Oct 31, 201430
-9.7%Aug 24, 201651Nov 3, 201623Dec 7, 201674

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.

Leveraged momentum portfolio
Benchmark (^GSPC)
Portfolio components