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GMP x2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BNDX 27%UBT 20%TIP 2%DBC 7%UGL 3%SSO 20%UPV 15%EET 6%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BNDX
Vanguard Total International Bond ETF
Total Bond Market

27%

DBC
Invesco DB Commodity Index Tracking Fund
Commodities

7%

EET
ProShares Ultra MSCI Emerging Markets
Leveraged Equities, Leveraged

6%

SSO
ProShares Ultra S&P 500
Leveraged Equities, Leveraged

20%

TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

2%

UBT
ProShares Ultra 20+ Year Treasury
Leveraged Bonds, Leveraged

20%

UGL
ProShares Ultra Gold
Leveraged Commodities, Leveraged, Gold

3%

UPV
ProShares Ultra Europe
Leveraged Equities, Leveraged

15%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in GMP x2, 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%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
7.67%
14.58%
GMP x2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX

Returns By Period

As of Jun 15, 2024, the GMP x2 returned 6.08% Year-To-Date and 6.51% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.75%3.20%15.46%24.12%13.37%10.83%
GMP x26.08%0.51%7.67%10.22%6.25%6.41%
SSO
ProShares Ultra S&P 500
26.39%4.46%27.82%43.79%21.78%19.52%
UBT
ProShares Ultra 20+ Year Treasury
-8.87%7.12%-8.06%-16.13%-13.99%-2.95%
UGL
ProShares Ultra Gold
21.78%-7.67%25.69%28.20%14.01%4.87%
EET
ProShares Ultra MSCI Emerging Markets
6.75%-6.50%11.93%1.70%-4.69%-3.54%
UPV
ProShares Ultra Europe
6.83%-7.80%10.71%11.96%5.96%1.62%
TIP
iShares TIPS Bond ETF
0.86%0.99%1.03%2.45%1.96%1.83%
DBC
Invesco DB Commodity Index Tracking Fund
4.67%-2.70%3.36%3.13%10.05%-0.72%
BNDX
Vanguard Total International Bond ETF
0.08%0.65%0.79%5.42%-0.23%2.04%

Monthly Returns

The table below presents the monthly returns of GMP x2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.85%1.91%4.02%-5.36%5.03%6.08%
202310.33%-5.79%5.22%1.60%-3.75%4.15%2.31%-4.42%-7.46%-4.54%11.97%8.08%16.45%
2022-4.63%-3.44%-1.42%-9.95%-0.70%-8.52%6.58%-7.49%-12.87%3.16%12.39%-5.47%-30.09%
2021-1.99%-0.39%0.86%5.20%2.73%1.87%2.93%1.48%-5.38%5.72%-1.68%2.89%14.58%
20201.54%-3.04%-10.44%8.92%4.17%3.31%7.22%2.87%-3.23%-4.24%11.80%4.68%23.63%
20197.32%1.73%3.18%2.28%-2.82%6.78%-0.34%3.46%-0.19%2.00%1.31%2.71%30.60%
20183.75%-6.06%0.27%-0.31%0.38%-0.89%2.07%0.14%-1.01%-7.63%1.01%-2.29%-10.58%
20172.66%2.92%1.38%2.44%2.93%0.03%2.50%2.21%0.53%1.88%1.32%2.56%25.97%
2016-1.63%1.32%6.08%1.50%0.11%3.02%4.08%-0.21%0.22%-4.23%-3.66%2.34%8.77%
20153.71%1.11%-1.70%1.23%-1.44%-4.12%1.55%-6.03%-1.76%6.57%-1.90%-2.81%-6.08%
2014-0.89%5.34%0.61%2.13%2.62%1.50%-1.84%4.23%-4.32%1.17%2.45%-0.83%12.43%
2013-5.57%4.35%-2.06%4.21%4.51%-0.09%0.77%5.82%

Expense Ratio

GMP x2 has a high expense ratio of 0.68%, 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 UBT: 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 UGL: 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 EET: 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 UPV: 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%
Expense ratio chart for DBC: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for BNDX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of GMP x2 is 10, indicating that it is in the bottom 10% 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 GMP x2 is 1010
GMP x2
The Sharpe Ratio Rank of GMP x2 is 1212Sharpe Ratio Rank
The Sortino Ratio Rank of GMP x2 is 1111Sortino Ratio Rank
The Omega Ratio Rank of GMP x2 is 1212Omega Ratio Rank
The Calmar Ratio Rank of GMP x2 is 88Calmar Ratio Rank
The Martin Ratio Rank of GMP x2 is 1010Martin 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.


GMP x2
Sharpe ratio
The chart of Sharpe ratio for GMP x2, currently valued at 0.80, compared to the broader market0.002.004.000.80
Sortino ratio
The chart of Sortino ratio for GMP x2, currently valued at 1.22, compared to the broader market-2.000.002.004.006.001.22
Omega ratio
The chart of Omega ratio for GMP x2, currently valued at 1.15, compared to the broader market0.801.001.201.401.601.801.15
Calmar ratio
The chart of Calmar ratio for GMP x2, currently valued at 0.34, compared to the broader market0.002.004.006.008.0010.000.34
Martin ratio
The chart of Martin ratio for GMP x2, currently valued at 1.86, compared to the broader market0.0010.0020.0030.0040.0050.001.86
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market0.002.004.002.10
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.98, compared to the broader market-2.000.002.004.006.002.98
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.67, compared to the broader market0.002.004.006.008.0010.001.67
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.85, compared to the broader market0.0010.0020.0030.0040.0050.007.85

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SSO
ProShares Ultra S&P 500
2.052.741.341.377.28
UBT
ProShares Ultra 20+ Year Treasury
-0.47-0.470.95-0.19-0.73
UGL
ProShares Ultra Gold
1.121.651.210.764.87
EET
ProShares Ultra MSCI Emerging Markets
0.100.341.040.040.21
UPV
ProShares Ultra Europe
0.560.961.110.361.58
TIP
iShares TIPS Bond ETF
0.480.761.090.201.59
DBC
Invesco DB Commodity Index Tracking Fund
0.490.761.090.261.12
BNDX
Vanguard Total International Bond ETF
1.171.811.200.414.16

Sharpe Ratio

The current GMP x2 Sharpe ratio is 0.80. 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 1.40 to 2.33, 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 GMP x2 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 Ratio0.000.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.80
2.14
GMP x2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

GMP x2 granted a 2.92% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
GMP x22.92%2.70%0.75%1.13%0.41%1.65%2.00%1.00%0.79%0.88%0.67%0.34%
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%
UBT
ProShares Ultra 20+ Year Treasury
3.97%3.54%0.30%0.00%0.26%1.50%1.55%1.37%0.75%1.56%0.79%0.17%
UGL
ProShares Ultra Gold
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EET
ProShares Ultra MSCI Emerging Markets
2.40%2.14%0.00%0.00%0.01%1.40%0.16%0.00%0.00%0.00%0.00%0.00%
UPV
ProShares Ultra Europe
1.65%1.57%0.00%0.00%0.00%0.65%3.80%0.00%0.00%0.00%0.00%0.00%
TIP
iShares TIPS Bond ETF
3.19%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
DBC
Invesco DB Commodity Index Tracking Fund
4.72%4.94%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%
BNDX
Vanguard Total International Bond ETF
4.69%4.42%1.51%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%

Drawdowns

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-15.01%
-0.04%
GMP x2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the GMP x2. 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 GMP x2 was 38.26%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current GMP x2 drawdown is 15.01%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.26%Nov 10, 2021234Oct 14, 2022
-25.84%Feb 20, 202020Mar 18, 202056Jun 8, 202076
-18.01%Jan 29, 2018229Dec 24, 2018121Jun 19, 2019350
-17.77%Apr 28, 2015185Jan 20, 2016121Jul 13, 2016306
-10.56%Sep 8, 201648Nov 14, 2016102Apr 12, 2017150

Volatility

Volatility Chart

The current GMP x2 volatility is 3.77%, 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%2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
3.77%
2.26%
GMP x2
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.

UGLDBCBNDXTIPSSOUPVEETUBT
UGL1.000.230.260.41-0.020.100.130.32
DBC0.231.00-0.080.080.300.320.36-0.16
BNDX0.26-0.081.000.57-0.02-0.01-0.000.69
TIP0.410.080.571.00-0.020.040.040.74
SSO-0.020.30-0.02-0.021.000.690.67-0.20
UPV0.100.32-0.010.040.691.000.65-0.14
EET0.130.36-0.000.040.670.651.00-0.13
UBT0.32-0.160.690.74-0.20-0.14-0.131.00
The correlation results are calculated based on daily price changes starting from Jun 5, 2013