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 | 5.31% |
SSO ProShares Ultra S&P 500 | Leveraged Equities, Leveraged | 94.69% |
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
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
Returns By Period
As of Apr 17, 2024, the Leveraged momentum portfolio returned 7.68% Year-To-Date and 15.52% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 5.90% | -1.28% | 15.51% | 21.68% | 11.74% | 10.50% |
| Leveraged momentum portfolio | 7.68% | -3.72% | 27.66% | 32.43% | 15.14% | 15.52% |
| Portfolio components: | ||||||
UBT ProShares Ultra 20+ Year Treasury | -20.71% | -9.57% | 6.33% | -28.94% | -13.71% | -3.97% |
SSO ProShares Ultra S&P 500 | 10.22% | -3.10% | 29.81% | 40.33% | 18.76% | 19.14% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.90% | 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
UBT ProShares Ultra 20+ Year Treasury | -0.91 | -1.24 | 0.86 | -0.39 | -1.35 |
SSO ProShares Ultra S&P 500 | 1.78 | 2.46 | 1.30 | 1.22 | 6.78 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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 13.20%.
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 |
Volatility
Volatility Chart
The current Leveraged momentum portfolio volatility is 6.38%, 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.
Diversification
Asset Correlations Table
| SSO | UBT | |
|---|---|---|
| SSO | 1.00 | -0.30 |
| UBT | -0.30 | 1.00 |