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HFEA
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

HFEA

Last updated May 1, 2024

Asset Allocation

TMF 45%UPRO 55%BondBondEquityEquity
PositionCategory/SectorWeight
TMF
Direxion Daily 20-Year Treasury Bull 3X		Leveraged Bonds, Leveraged

45%

UPRO
ProShares UltraPro S&P 500		Leveraged Equities, Leveraged

55%

S&P 500

Performance

Performance Chart

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

500.00%1,000.00%1,500.00%2,000.00%NovemberDecember2024FebruaryMarchApril
1,850.85%
447.20%
HFEA
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of May 1, 2024, the HFEA returned -7.95% Year-To-Date and 12.73% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		5.57%-4.16%20.07%20.82%11.56%10.37%
HFEA-7.95%-15.85%40.55%3.03%4.64%12.73%
Portfolio components:
UPRO
ProShares UltraPro S&P 500		12.37%-12.97%62.57%55.49%18.67%22.50%
TMF
Direxion Daily 20-Year Treasury Bull 3X		-31.54%-19.38%11.92%-44.19%-25.49%-10.87%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.76%5.07%5.97%
2023-12.20%28.66%18.68%

Expense Ratio

HFEA has a high expense ratio of 1.00%, 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.

TMF
Direxion Daily 20-Year Treasury Bull 3X
Expense ratio chart for TMF: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
UPRO
ProShares UltraPro S&P 500
Expense ratio chart for UPRO: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%

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.

HFEA
Sharpe ratio
The chart of Sharpe ratio for HFEA, currently valued at -0.03, compared to the broader market-1.000.001.002.003.004.005.00-0.03
Sortino ratio
The chart of Sortino ratio for HFEA, currently valued at 0.19, compared to the broader market-2.000.002.004.006.000.19
Omega ratio
The chart of Omega ratio for HFEA, currently valued at 1.02, compared to the broader market0.801.001.201.401.601.801.02
Calmar ratio
The chart of Calmar ratio for HFEA, currently valued at -0.01, compared to the broader market0.002.004.006.008.0010.00-0.01
Martin ratio
The chart of Martin ratio for HFEA, currently valued at -0.07, compared to the broader market0.0010.0020.0030.0040.00-0.07
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.78, compared to the broader market-1.000.001.002.003.004.005.001.78
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.58, compared to the broader market-2.000.002.004.006.002.58
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.36, compared to the broader market0.002.004.006.008.0010.001.36
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.92, compared to the broader market0.0010.0020.0030.0040.006.92
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UPRO
ProShares UltraPro S&P 500		1.582.171.261.035.74
TMF
Direxion Daily 20-Year Treasury Bull 3X		-0.98-1.470.84-0.53-1.42

Sharpe Ratio

The current HFEA Sharpe ratio is -0.03. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.20 to 2.19, 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 HFEA 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-0.500.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
-0.03
1.78
HFEA
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

HFEA granted a 2.24% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
HFEA2.24%1.67%1.02%0.09%0.27%0.72%1.02%0.18%0.06%0.19%0.12%0.30%
Portfolio components:
UPRO
ProShares UltraPro S&P 500		0.72%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%
TMF
Direxion Daily 20-Year Treasury Bull 3X		4.08%2.82%1.62%0.13%0.48%0.94%1.49%0.41%0.00%0.00%0.00%0.57%

Drawdowns

Drawdowns Chart

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

-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2024FebruaryMarchApril
-58.22%
-4.16%
HFEA
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the HFEA. 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 HFEA was 70.84%, occurring on Oct 27, 2023. The portfolio has not yet recovered.

The current HFEA drawdown is 58.22%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-70.84%Dec 28, 2021462Oct 27, 2023———
-44.34%Mar 9, 20208Mar 18, 202053Jun 3, 202061
-26.74%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288
-23.14%Feb 3, 2015165Sep 28, 2015136Apr 13, 2016301
-21.73%Sep 3, 202041Oct 30, 202057Jan 25, 202198

Volatility

Volatility Chart

The current HFEA volatility is 8.90%, 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.

0.00%5.00%10.00%15.00%NovemberDecember2024FebruaryMarchApril
8.90%
3.95%
HFEA
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.
TMFUPRO
TMF1.00-0.30
UPRO-0.301.00