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Leveraged momentum portfolio
Performance
Risk-Adjusted Performance
Drawdowns
Volatility
Diversification

Asset Allocation


UBT 5.4%SSO 94.6%BondBondEquityEquity
PositionCategory/SectorWeight
UBT
ProShares Ultra 20+ Year Treasury
Leveraged Bonds, Leveraged

5.40%

SSO
ProShares Ultra S&P 500
Leveraged Equities, Leveraged

94.60%

S&P 500

Transactions


DateTypeSymbolQuantityPrice
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

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Leveraged momentum portfolio, 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


200.00%400.00%600.00%800.00%1,000.00%1,200.00%NovemberDecember2024FebruaryMarchApril
1,044.99%
364.52%
Leveraged momentum portfolio
Benchmark (^GSPC)
Portfolio components

Returns By Period

As of Apr 13, 2024, the Leveraged momentum portfolio returned 10.96% Year-To-Date and 16.08% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.41%-0.81%18.38%23.57%12.02%10.79%
Leveraged momentum portfolio10.96%-2.09%33.56%36.99%15.78%15.88%
UBT
ProShares Ultra 20+ Year Treasury
-16.99%-5.32%5.70%-27.33%-13.03%-3.73%
SSO
ProShares Ultra S&P 500
13.47%-1.62%36.35%45.49%19.43%19.54%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.90%8.90%5.44%
2023-10.39%-5.48%18.34%9.05%

Expense Ratio

Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.95%
0.50%1.00%1.50%2.00%0.90%

Risk-Adjusted Performance

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.


Leveraged momentum portfolio
Sharpe ratio
The chart of Sharpe ratio for Leveraged momentum portfolio, currently valued at 1.77, compared to the broader market0.002.004.001.77
Sortino ratio
The chart of Sortino ratio for Leveraged momentum portfolio, currently valued at 2.47, compared to the broader market-2.000.002.004.006.002.47
Omega ratio
The chart of Omega ratio for Leveraged momentum portfolio, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for Leveraged momentum portfolio, currently valued at 0.99, compared to the broader market0.002.004.006.008.0010.0012.000.99
Martin ratio
The chart of Martin ratio for Leveraged momentum portfolio, currently valued at 6.00, compared to the broader market0.0010.0020.0030.0040.0050.006.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.002.15
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 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.63, compared to the broader market0.002.004.006.008.0010.0012.001.63
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.76, compared to the broader market0.0010.0020.0030.0040.0050.008.76

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UBT
ProShares Ultra 20+ Year Treasury
-0.89-1.210.87-0.38-1.33
SSO
ProShares Ultra S&P 500
2.092.831.341.438.00

Sharpe Ratio

The current Leveraged momentum portfolio Sharpe ratio is 1.77. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.77

The Sharpe ratio of Leveraged momentum portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.77
2.15
Leveraged momentum portfolio
Benchmark (^GSPC)
Portfolio components

Drawdowns

Drawdowns Chart

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


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-10.56%
-2.49%
Leveraged momentum portfolio
Benchmark (^GSPC)
Portfolio components

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 48.05%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current Leveraged momentum portfolio drawdown is 10.56%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-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

Volatility

Volatility Chart

The current Leveraged momentum portfolio volatility is 6.01%, 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.


2.00%4.00%6.00%8.00%10.00%NovemberDecember2024FebruaryMarchApril
6.01%
3.24%
Leveraged momentum portfolio
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.

SSOUBT
SSO1.00-0.30
UBT-0.301.00