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Leveraged ETF
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Leveraged ETF

Last updated Oct 17, 2024

Asset Allocation

TQQQ 81.15%UPRO 15.49%TNA 3.36%EquityEquity
PositionCategory/SectorWeight
TNA
Direxion Daily Small Cap Bull 3X Shares		Leveraged Equities, Leveraged
3.36%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
81.15%
UPRO
ProShares UltraPro S&P 500		Leveraged Equities, Leveraged
15.49%

Transactions

DateTypeSymbolQuantityPrice
Mar 1, 2024SellProShares UltraPro S&P 500372$66.70
Mar 1, 2024SellProShares UltraPro QQQ402$62.90
Mar 1, 2024SellDirexion Daily Small Cap Bull 3X Shares515$40.60
Dec 29, 2023BuyProShares UltraPro S&P 500372$54.60
Dec 29, 2023BuyProShares UltraPro QQQ402$50.50
Dec 29, 2023BuyDirexion Daily Small Cap Bull 3X Shares515$39.40
Dec 1, 2023BuyProShares UltraPro S&P 500413$49.20
Dec 1, 2023BuyProShares UltraPro QQQ463$43.90
Dec 1, 2023BuyDirexion Daily Small Cap Bull 3X Shares653$31.10
Oct 13, 2023SellProShares UltraPro S&P 500417$41.90

1–10 of 63

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Leveraged ETF, 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%0.00%10.00%20.00%30.00%40.00%50.00%60.00%MayJuneJulyAugustSeptemberOctober
40.08%
16.59%
Leveraged ETF
Benchmark (^GSPC)
Portfolio components

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.49%3.72%16.33%33.60%14.41%11.99%
Leveraged ETF45.72%9.96%40.08%101.02%31.25%N/A
Portfolio components:
TNA
Direxion Daily Small Cap Bull 3X Shares		20.97%9.87%46.24%85.41%-2.96%5.18%
UPRO
ProShares UltraPro S&P 500		64.45%10.24%47.84%116.71%27.10%27.11%
TQQQ
ProShares UltraPro QQQ		45.76%10.33%39.59%102.36%36.55%38.25%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.66%14.68%3.46%-14.38%17.78%16.07%-5.20%0.83%5.35%45.72%
202328.97%-4.83%19.93%0.18%17.02%18.35%10.64%-6.85%-16.05%-8.89%33.09%15.71%147.93%
2022-24.27%-14.47%10.74%-35.76%-8.47%-27.01%37.38%-16.11%-29.98%10.85%12.71%-24.73%-76.64%
2021-0.24%0.72%3.63%16.93%-3.63%16.71%3.43%12.05%-16.21%23.97%4.08%2.97%76.67%
20205.93%-30.91%-39.89%45.28%18.03%24.84%29.45%32.86%-17.86%-9.58%35.57%15.05%87.63%
201926.58%8.86%21.95%15.52%-23.10%22.58%5.59%-7.87%2.59%11.04%11.93%15.03%161.09%
201824.54%-7.94%-11.81%-0.25%8.38%-9.39%19.77%16.00%-1.42%-33.25%-1.59%-27.02%-34.97%
201712.37%12.52%4.14%6.80%39.85%-5.15%10.45%3.47%1.42%11.54%6.33%1.46%160.17%
2016895.78%10.69%-5.96%-37.08%2.59%4.36%-5.43%5.05%3.70%619.42%

Expense Ratio

Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

TNA
Direxion Daily Small Cap Bull 3X Shares
Expense ratio chart for TNA: current value at 1.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.14%
TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: 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%
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 Rank

The current rank of Leveraged ETF is 16, indicating that it is in the bottom 16% 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 Leveraged ETF is 1616
Combined Rank
The Sharpe Ratio Rank of Leveraged ETF is 1717Sharpe Ratio Rank
The Sortino Ratio Rank of Leveraged ETF is 1212Sortino Ratio Rank
The Omega Ratio Rank of Leveraged ETF is 1414Omega Ratio Rank
The Calmar Ratio Rank of Leveraged ETF is 1818Calmar Ratio Rank
The Martin Ratio Rank of Leveraged ETF is 1616Martin 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.

Leveraged ETF
Sharpe ratio
The chart of Sharpe ratio for Leveraged ETF, currently valued at 1.84, compared to the broader market0.002.004.001.84
Sortino ratio
The chart of Sortino ratio for Leveraged ETF, currently valued at 2.25, compared to the broader market-2.000.002.004.006.002.25
Omega ratio
The chart of Omega ratio for Leveraged ETF, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for Leveraged ETF, currently valued at 1.37, compared to the broader market0.002.004.006.008.0010.0012.001.37
Martin ratio
The chart of Martin ratio for Leveraged ETF, currently valued at 8.31, compared to the broader market0.0010.0020.0030.0040.0050.008.31
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.69, compared to the broader market0.002.004.002.69
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.58, 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 16.43, compared to the broader market0.0010.0020.0030.0040.0050.0016.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TNA
Direxion Daily Small Cap Bull 3X Shares		1.261.901.231.006.09
UPRO
ProShares UltraPro S&P 500		2.903.231.432.0316.76
TQQQ
ProShares UltraPro QQQ		1.762.191.291.427.49

Sharpe Ratio

The current Leveraged ETF Sharpe ratio is 1.84. 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 2.18 to 2.98, 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 Leveraged ETF 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 Ratio0.501.001.502.002.50MayJuneJulyAugustSeptemberOctober
1.84
2.69
Leveraged ETF
Benchmark (^GSPC)
Portfolio components

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.

-50.00%-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-20.04%
-0.30%
Leveraged ETF
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Leveraged ETF. 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 Leveraged ETF was 79.20%, occurring on Dec 28, 2022. The portfolio has not yet recovered.

The current Leveraged ETF drawdown is 20.04%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-79.2%Nov 22, 2021277Dec 28, 2022———
-74.56%Feb 13, 202027Mar 23, 202093Aug 4, 2020120
-61.25%Aug 30, 201880Dec 24, 2018220Nov 7, 2019300
-49.22%Jul 21, 201676Nov 4, 2016129May 12, 2017205
-34.06%Sep 3, 202014Sep 23, 202052Dec 7, 202066

Volatility

Volatility Chart

The current Leveraged ETF volatility is 11.83%, 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%20.00%25.00%MayJuneJulyAugustSeptemberOctober
11.83%
3.03%
Leveraged ETF
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.
TNATQQQUPRO
TNA1.000.680.81
TQQQ0.681.000.90
UPRO0.810.901.00
The correlation results are calculated based on daily price changes starting from Apr 1, 2016