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TSX/S&P500
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SPXU 60%XIU.TO 40%EquityEquity
PositionCategory/SectorWeight
SPXU
ProShares UltraPro Short S&P500
Leveraged Equities, Leveraged
60%
XIU.TO
iShares S&P/TSX 60 Index ETF
Large Cap Growth Equities
40%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in TSX/S&P500, 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


-10.00%-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
-11.87%
11.40%
TSX/S&P500
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 25, 2009, corresponding to the inception date of SPXU

Returns By Period

As of Oct 10, 2024, the TSX/S&P500 returned -22.09% Year-To-Date and -20.80% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
21.43%5.87%12.23%32.90%14.34%11.78%
TSX/S&P500-22.09%-6.49%-12.12%-28.62%-23.73%-21.05%
XIU.TO
iShares S&P/TSX 60 Index ETF
13.47%4.30%11.07%25.60%10.50%6.76%
SPXU
ProShares UltraPro Short S&P500
-41.23%-14.01%-25.81%-54.08%-46.53%-40.28%

Monthly Returns

The table below presents the monthly returns of TSX/S&P500, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.60%-7.57%-2.89%6.90%-6.70%-6.04%0.40%-2.37%-1.96%-22.09%
2023-6.40%2.04%-6.05%-0.87%-2.79%-7.10%-3.88%1.86%8.36%2.32%-10.48%-3.31%-24.51%
20229.15%4.22%-6.58%14.21%-2.89%12.83%-13.03%4.25%13.59%-11.60%-5.82%5.74%20.58%
20210.73%-3.30%-5.43%-7.11%1.14%-3.77%-4.48%-5.12%7.03%-8.47%-1.06%-5.53%-30.88%
20200.02%12.63%-9.27%-17.78%-4.87%-2.82%-7.48%-7.53%1.72%1.86%-12.01%-4.00%-41.83%
2019-7.40%-3.27%-2.99%-4.90%10.15%-9.20%-2.43%1.68%-2.29%-4.08%-4.53%-3.67%-29.31%
2018-8.87%2.10%3.76%-0.49%-2.77%-0.76%-5.15%-5.27%-0.81%9.71%-3.72%15.46%0.75%
2017-1.38%-7.26%0.24%-2.57%-2.51%0.06%-1.85%-0.37%-1.76%-4.08%-4.59%-0.28%-23.61%
20167.46%0.58%-8.34%1.82%-4.49%-1.14%-4.92%-0.27%-0.19%2.92%-5.81%-2.71%-14.99%
20151.86%-8.08%0.81%0.85%-4.16%1.94%-5.73%7.94%2.55%-11.66%-2.08%-1.03%-16.92%
20144.61%-6.57%-1.31%-0.54%-3.48%-1.10%2.22%-6.10%-0.42%-5.85%-4.72%-1.11%-22.36%
2013-7.62%-3.10%-5.60%-4.61%-4.69%0.01%-7.01%4.68%-3.72%-6.63%-5.38%-3.75%-38.77%

Expense Ratio

TSX/S&P500 features an expense ratio of 0.63%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for SPXU: current value at 0.93% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.93%
Expense ratio chart for XIU.TO: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of TSX/S&P500 is 0, indicating that it is in the bottom 0% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of TSX/S&P500 is 00
TSX/S&P500
The Sharpe Ratio Rank of TSX/S&P500 is 00Sharpe Ratio Rank
The Sortino Ratio Rank of TSX/S&P500 is 00Sortino Ratio Rank
The Omega Ratio Rank of TSX/S&P500 is 00Omega Ratio Rank
The Calmar Ratio Rank of TSX/S&P500 is 00Calmar Ratio Rank
The Martin Ratio Rank of TSX/S&P500 is 00Martin 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.


TSX/S&P500
Sharpe ratio
The chart of Sharpe ratio for TSX/S&P500, currently valued at -1.54, compared to the broader market0.002.004.00-1.54
Sortino ratio
The chart of Sortino ratio for TSX/S&P500, currently valued at -2.35, compared to the broader market-2.000.002.004.006.00-2.35
Omega ratio
The chart of Omega ratio for TSX/S&P500, currently valued at 0.75, compared to the broader market0.801.001.201.401.601.800.75
Calmar ratio
The chart of Calmar ratio for TSX/S&P500, currently valued at -0.29, compared to the broader market0.002.004.006.008.0010.0012.00-0.29
Martin ratio
The chart of Martin ratio for TSX/S&P500, currently valued at -1.16, compared to the broader market0.0010.0020.0030.0040.0050.00-1.16
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.68, compared to the broader market0.002.004.002.68
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.59, compared to the broader market-2.000.002.004.006.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.002.004.006.008.0010.0012.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.37, compared to the broader market0.0010.0020.0030.0040.0050.0016.37

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XIU.TO
iShares S&P/TSX 60 Index ETF
1.862.691.331.2712.71
SPXU
ProShares UltraPro Short S&P500
-1.47-2.600.72-0.54-1.18

Sharpe Ratio

The current TSX/S&P500 Sharpe ratio is -1.54. 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 2.16 to 2.86, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of TSX/S&P500 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 Ratio-2.00-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
-1.54
2.68
TSX/S&P500
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

TSX/S&P500 granted a 7.59% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
TSX/S&P5007.59%5.50%1.45%0.97%1.64%2.43%2.12%1.10%1.06%1.28%1.06%1.07%
XIU.TO
iShares S&P/TSX 60 Index ETF
2.81%3.16%3.02%2.43%3.03%2.87%3.18%2.58%2.65%3.19%2.65%2.68%
SPXU
ProShares UltraPro Short S&P500
10.79%7.06%0.39%0.00%0.71%2.14%1.40%0.11%0.00%0.00%0.00%0.00%

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.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%MayJuneJulyAugustSeptemberOctober
-98.18%
0
TSX/S&P500
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the TSX/S&P500. 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 TSX/S&P500 was 98.18%, occurring on Oct 9, 2024. The portfolio has not yet recovered.

The current TSX/S&P500 drawdown is 98.18%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-98.18%Jul 13, 20093906Oct 9, 2024
-1.54%Jun 29, 20091Jun 29, 20093Jul 2, 20094
-0.96%Jul 6, 20091Jul 6, 20091Jul 7, 20092
-0.62%Jul 8, 20091Jul 8, 20092Jul 10, 20093

Volatility

Volatility Chart

The current TSX/S&P500 volatility is 4.35%, 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%MayJuneJulyAugustSeptemberOctober
4.35%
2.94%
TSX/S&P500
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.

SPXUXIU.TO
SPXU1.00-0.74
XIU.TO-0.741.00
The correlation results are calculated based on daily price changes starting from Jun 26, 2009