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 | Target Weight |
|---|---|---|
SSO ProShares Ultra S&P 500 | Leveraged Equities, Leveraged | 95.91% |
UBT ProShares Ultra 20+ Year Treasury | Leveraged Bonds, Leveraged | 4.09% |
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
Performance Chart
Loading data...
Returns By Period
As of May 11, 2025, the Leveraged momentum portfolio returned -10.32% Year-To-Date and 14.64% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.64% | 8.97% | -2.62% | 11.90% | 15.76% | 10.69% |
| Leveraged momentum portfolio | -4.98% | 16.52% | -9.42% | 14.30% | 20.24% | 15.02% |
| Portfolio components: | ||||||
UBT ProShares Ultra 20+ Year Treasury | -2.14% | -1.68% | -11.29% | -7.42% | -23.58% | -6.53% |
SSO ProShares Ultra S&P 500 | -5.27% | 18.19% | -9.63% | 15.90% | 28.02% | 18.40% |
Monthly Returns
The table below presents the monthly returns of Leveraged momentum portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 4.41% | -2.51% | -10.89% | -3.94% | 9.05% | -4.98% | |||||||
| 2024 | 1.84% | 8.64% | 5.56% | -8.58% | 9.08% | 6.23% | 1.75% | 3.79% | 3.54% | -2.86% | 10.82% | -5.57% | 37.52% |
| 2023 | 12.01% | -5.89% | 6.67% | 2.22% | -0.42% | 10.92% | 4.91% | -4.11% | -10.02% | -5.30% | 17.69% | 9.03% | 39.66% |
| 2022 | -9.88% | -5.67% | 4.17% | -17.07% | -0.91% | -14.27% | 15.29% | -8.55% | -17.65% | 11.06% | 10.22% | -10.90% | -40.93% |
| 2021 | -2.73% | 3.54% | 6.85% | 9.76% | 0.95% | 4.69% | 4.98% | 4.50% | -8.72% | 12.07% | -0.64% | 5.95% | 47.50% |
| 2020 | 1.16% | -10.75% | -21.19% | 18.58% | 6.28% | 2.49% | 10.74% | 10.32% | -6.82% | -5.45% | 19.92% | 6.23% | 25.98% |
| 2019 | 11.40% | 4.26% | 4.43% | 5.19% | -8.52% | 11.23% | 2.10% | -1.34% | 2.15% | 3.25% | 6.06% | 4.29% | 52.57% |
| 2018 | 7.45% | -7.64% | -3.25% | -0.94% | 4.11% | 0.99% | 4.95% | 5.42% | 0.21% | -12.91% | 3.05% | -11.40% | -11.83% |
| 2017 | 3.17% | 7.20% | -0.18% | 1.96% | 2.69% | 1.15% | 2.20% | 1.88% | 1.21% | 3.28% | 4.81% | 2.47% | 36.65% |
| 2016 | -6.89% | 0.67% | 10.35% | 0.05% | 2.84% | 2.81% | 6.47% | -0.40% | -0.79% | -4.73% | 3.71% | 3.40% | 17.59% |
| 2015 | -2.20% | 6.56% | -2.58% | 0.09% | 1.21% | -4.45% | 4.88% | -10.11% | -3.27% | 11.57% | 0.09% | -3.36% | -3.28% |
| 2014 | -5.14% | 7.75% | 1.48% | 1.51% | 4.54% | 3.59% | -2.42% | 7.90% | -2.99% | 4.52% | 5.50% | -0.07% | 28.31% |
Expense Ratio
Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Leveraged momentum portfolio is 17, meaning it’s performing worse than 83% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
UBT ProShares Ultra 20+ Year Treasury | -0.26 | -0.18 | 0.98 | -0.10 | -0.46 |
SSO ProShares Ultra S&P 500 | 0.41 | 0.88 | 1.13 | 0.50 | 1.74 |
Loading data...
Dividends
Dividend yield
Leveraged momentum portfolio provided a 1.00% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.00% | 0.97% | 0.41% | 0.46% | 0.15% | 0.20% | 0.60% | 0.86% | 0.55% | 0.58% | 0.78% | 0.37% |
Monthly Dividends
The table below shows the monthly dividends paid by this portfolio.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | $0.00 | $0.00 | $2,879.38 | $0.00 | $0.00 | $2,879.38 | |||||||
| 2024 | $0.00 | $0.00 | $3,096.41 | $0.00 | $0.00 | $3,475.51 | $0.00 | $0.00 | $3,195.56 | $0.00 | $0.00 | $4,277.16 | $14,044.64 |
| 2023 | $0.00 | $0.00 | $454.84 | $0.00 | $0.00 | $783.52 | $0.00 | $0.00 | $667.32 | $0.00 | $0.00 | $2,457.61 | $4,363.29 |
| 2022 | $0.00 | $0.00 | $594.34 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2,891.99 | $3,486.33 |
| 2021 | $0.00 | $0.00 | $568.63 | $0.00 | $0.00 | $349.56 | $0.00 | $0.00 | $288.37 | $0.00 | $0.00 | $735.60 | $1,942.16 |
| 2020 | $0.00 | $0.00 | $1,059.30 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $709.13 | $1,768.44 |
| 2019 | $0.00 | $0.00 | $1,094.81 | $0.00 | $0.00 | $1,516.42 | $0.00 | $0.00 | $178.60 | $0.00 | $0.00 | $1,370.21 | $4,160.04 |
| 2018 | $0.00 | $0.00 | $856.04 | $0.00 | $0.00 | $1,064.74 | $0.00 | $0.00 | $684.24 | $0.00 | $0.00 | $1,285.38 | $3,890.41 |
| 2017 | $0.00 | $0.00 | $562.03 | $0.00 | $0.00 | $602.51 | $0.00 | $0.00 | $728.37 | $0.00 | $0.00 | $900.98 | $2,793.88 |
| 2016 | $0.00 | $0.00 | $911.44 | $0.00 | $0.00 | $515.16 | $0.00 | $0.00 | $339.63 | $0.00 | $0.00 | $409.25 | $2,175.48 |
| 2015 | $0.00 | $0.00 | $634.16 | $0.00 | $0.00 | $493.00 | $0.00 | $0.00 | $313.00 | $0.00 | $0.00 | $1,040.62 | $2,480.78 |
| 2014 | $0.00 | $0.00 | $68.38 | $0.00 | $0.00 | $287.27 | $0.00 | $0.00 | $227.46 | $0.00 | $0.00 | $632.85 | $1,215.96 |
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.
Loading data...
Worst Drawdowns
The table below displays the maximum drawdowns of the Leveraged momentum portfolio. 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 Leveraged momentum portfolio was 47.13%, occurring on Oct 14, 2022. Recovery took 417 trading sessions.
The current Leveraged momentum portfolio drawdown is 16.81%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -47.13% | Dec 28, 2021 | 202 | Oct 14, 2022 | 417 | Jun 13, 2024 | 619 |
| -46.11% | Feb 20, 2020 | 23 | Mar 23, 2020 | 108 | Aug 25, 2020 | 131 |
| -32.85% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
| -28.25% | Sep 21, 2018 | 65 | Dec 24, 2018 | 84 | Apr 26, 2019 | 149 |
| -19.9% | Feb 25, 2015 | 244 | Feb 11, 2016 | 81 | Jun 8, 2016 | 325 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading data...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 2 assets, with an effective number of assets of 1.09, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | UBT | SSO | Portfolio | |
|---|---|---|---|---|
| ^GSPC | 1.00 | -0.27 | 1.00 | 0.94 |
| UBT | -0.27 | 1.00 | -0.27 | -0.05 |
| SSO | 1.00 | -0.27 | 1.00 | 0.94 |
| Portfolio | 0.94 | -0.05 | 0.94 | 1.00 |