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3X

Last updated Sep 21, 2023

Asset Allocation


TQQQ 34%UDOW 33%SPXL 33%EquityEquity
PositionCategory/SectorWeight
TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged34%
UDOW
ProShares UltraPro Dow30
Leveraged Equities, Leveraged33%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
Leveraged Equities, Leveraged33%

Performance

The chart shows the growth of an initial investment of $10,000 in 3X, 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%40.00%50.00%AprilMayJuneJulyAugustSeptember
31.17%
10.86%
3X
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the 3X returned 52.31% Year-To-Date and 27.06% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.51%9.99%
3X0.21%33.01%52.31%51.00%12.32%27.21%
TQQQ
ProShares UltraPro QQQ
-0.28%48.68%120.94%65.33%17.64%35.39%
UDOW
ProShares UltraPro Dow30
0.74%18.08%4.53%31.91%1.52%18.57%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.10%31.33%38.05%34.94%9.78%22.14%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

TQQQUDOWSPXL
TQQQ1.000.770.90
UDOW0.771.000.93
SPXL0.900.931.00

Sharpe Ratio

The current 3X Sharpe ratio is 0.74. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.74

The Sharpe ratio of 3X 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 Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.74
0.74
3X
Benchmark (^GSPC)
Portfolio components

Dividend yield

3X granted a 1.21% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
3X1.21%0.58%0.12%0.14%0.51%0.63%1.37%0.09%0.08%0.17%0.12%0.11%
TQQQ
ProShares UltraPro QQQ
1.36%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%0.00%
UDOW
ProShares UltraPro Dow30
1.27%0.84%0.27%0.19%0.63%0.75%0.13%0.27%0.22%0.48%0.37%0.34%
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.99%0.33%0.11%0.23%0.85%1.05%4.02%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The 3X has a high expense ratio of 0.97%, 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.


1.02%
0.00%2.15%
0.95%
0.00%2.15%
0.95%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
TQQQ
ProShares UltraPro QQQ
0.77
UDOW
ProShares UltraPro Dow30
0.48
SPXL
Direxion Daily S&P 500 Bull 3X Shares
0.45

Drawdowns Chart

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


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-38.93%
-8.22%
3X
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the 3X. 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 3X is 75.07%, recorded on Mar 23, 2020. It took 179 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-75.07%Feb 20, 202023Mar 23, 2020179Dec 4, 2020202
-66.32%Jan 4, 2022195Oct 12, 2022
-51.76%Oct 4, 201856Dec 24, 2018145Jul 24, 2019201
-46.7%May 2, 2011108Oct 3, 2011101Feb 28, 2012209
-41.17%Apr 26, 201049Jul 2, 201087Nov 4, 2010136

Volatility Chart

The current 3X volatility is 10.79%, 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%12.00%14.00%16.00%AprilMayJuneJulyAugustSeptember
10.79%
3.47%
3X
Benchmark (^GSPC)
Portfolio components