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lev
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


QLD 50%SSO 50%EquityEquity
PositionCategory/SectorWeight
QLD
ProShares Ultra QQQ
Leveraged Equities, Leveraged

50%

SSO
ProShares Ultra S&P 500
Leveraged Equities, Leveraged

50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in lev, 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


0.00%10.00%20.00%30.00%2024FebruaryMarchAprilMayJune
32.11%
15.10%
lev
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 21, 2006, corresponding to the inception date of QLD

Returns By Period

As of Jun 14, 2024, the lev returned 28.35% Year-To-Date and 25.75% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.87%2.33%15.10%22.72%13.49%10.85%
lev29.05%7.73%32.11%48.87%29.08%25.78%
QLD
ProShares Ultra QQQ
31.62%11.20%34.85%55.16%34.56%31.09%
SSO
ProShares Ultra S&P 500
26.39%4.30%29.28%42.74%22.36%19.74%

Monthly Returns

The table below presents the monthly returns of lev, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.69%9.96%3.87%-8.95%10.98%29.05%
202316.72%-3.61%13.06%1.45%7.70%12.43%6.66%-4.00%-10.03%-4.97%20.03%9.74%80.18%
2022-13.89%-7.85%7.45%-21.72%-2.52%-17.48%22.14%-9.80%-19.67%11.18%9.95%-14.80%-50.51%
2021-1.04%2.25%5.76%11.23%-0.90%8.55%5.11%7.16%-10.43%15.23%1.00%5.08%58.01%
20202.59%-13.56%-25.29%27.90%10.82%7.80%13.30%18.61%-10.10%-6.04%22.55%8.59%52.89%
201916.78%5.91%5.54%9.28%-14.65%14.72%3.41%-4.38%2.50%6.23%7.56%6.66%72.52%
201814.49%-5.69%-7.21%0.23%7.86%1.37%6.07%8.94%0.02%-15.88%1.03%-17.77%-11.32%
20176.85%8.31%1.97%3.59%5.13%-2.18%6.07%1.97%1.52%6.83%4.76%1.62%57.01%
2016-12.22%-2.09%14.39%-2.98%5.83%-2.39%10.99%1.03%2.01%-3.37%3.89%3.08%16.62%
2015-5.25%13.08%-4.21%2.71%3.37%-4.62%6.57%-13.26%-5.30%20.64%0.78%-3.67%6.57%
2014-5.65%9.67%-2.12%0.08%6.67%5.17%-0.39%9.04%-2.30%4.55%7.37%-2.88%31.55%
20137.79%1.34%6.75%4.26%5.84%-4.16%11.74%-3.52%8.08%9.57%6.34%5.48%76.59%

Expense Ratio

lev has a high expense ratio of 0.93%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for QLD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for SSO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of lev is 55, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of lev is 5555
lev
The Sharpe Ratio Rank of lev is 6060Sharpe Ratio Rank
The Sortino Ratio Rank of lev is 5151Sortino Ratio Rank
The Omega Ratio Rank of lev is 5353Omega Ratio Rank
The Calmar Ratio Rank of lev is 4646Calmar Ratio Rank
The Martin Ratio Rank of lev is 6464Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


lev
Sharpe ratio
The chart of Sharpe ratio for lev, currently valued at 1.97, compared to the broader market0.002.004.006.001.97
Sortino ratio
The chart of Sortino ratio for lev, currently valued at 2.60, compared to the broader market-2.000.002.004.006.002.60
Omega ratio
The chart of Omega ratio for lev, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for lev, currently valued at 1.46, compared to the broader market0.002.004.006.008.0010.001.46
Martin ratio
The chart of Martin ratio for lev, currently valued at 8.10, compared to the broader market0.0010.0020.0030.0040.0050.008.10
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.14, compared to the broader market0.002.004.006.002.14
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
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 1.71, compared to the broader market0.002.004.006.008.0010.001.71
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.02, compared to the broader market0.0010.0020.0030.0040.0050.008.02

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QLD
ProShares Ultra QQQ
1.872.441.301.438.10
SSO
ProShares Ultra S&P 500
2.052.741.341.377.28

Sharpe Ratio

The current lev Sharpe ratio is 1.99. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.41 to 2.33, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of lev with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
1.97
2.14
lev
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

lev granted a 0.34% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
lev0.34%0.26%0.41%0.09%0.10%0.31%0.41%0.20%0.37%0.37%0.26%0.19%
QLD
ProShares Ultra QQQ
0.31%0.33%0.31%0.00%0.00%0.13%0.06%0.02%0.24%0.11%0.19%0.13%
SSO
ProShares Ultra S&P 500
0.36%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.50%0.63%0.33%0.26%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune0
-0.04%
lev
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the lev. 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 lev was 83.42%, occurring on Mar 9, 2009. Recovery took 1045 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-83.42%Nov 1, 2007339Mar 9, 20091045May 2, 20131384
-55.18%Feb 20, 202023Mar 23, 202092Aug 3, 2020115
-54.78%Dec 28, 2021202Oct 14, 2022345Mar 1, 2024547
-39.17%Oct 2, 201858Dec 24, 2018131Jul 3, 2019189
-28.19%Jul 21, 2015143Feb 11, 2016110Jul 20, 2016253

Volatility

Volatility Chart

The current lev volatility is 5.19%, 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%2024FebruaryMarchAprilMayJune
5.19%
2.26%
lev
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.

QLDSSO
QLD1.000.89
SSO0.891.00
The correlation results are calculated based on daily price changes starting from Jun 22, 2006