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HEDGEFUNDIE 2x

Last updated Sep 21, 2023

Asset Allocation


UBT 45%SSO 55%BondBondEquityEquity
PositionCategory/SectorWeight
UBT
ProShares Ultra 20+ Year Treasury
Leveraged Bonds, Leveraged45%
SSO
ProShares Ultra S&P 500
Leveraged Equities, Leveraged55%

Performance

The chart shows the growth of an initial investment of $10,000 in HEDGEFUNDIE 2x, 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%AprilMayJuneJulyAugustSeptember
-1.84%
10.86%
HEDGEFUNDIE 2x
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the HEDGEFUNDIE 2x returned 7.24% Year-To-Date and 11.68% 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%
HEDGEFUNDIE 2x-0.10%-0.83%7.24%-0.26%5.66%11.68%
SSO
ProShares Ultra S&P 500
0.23%21.47%26.75%27.17%12.30%18.49%
UBT
ProShares Ultra 20+ Year Treasury
-0.45%-24.03%-14.27%-27.84%-9.80%-1.76%

Asset Correlations Table

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

SSOUBT
SSO1.00-0.33
UBT-0.331.00

Sharpe Ratio

The current HEDGEFUNDIE 2x Sharpe ratio is -0.12. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.12

The Sharpe ratio of HEDGEFUNDIE 2x is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-0.12
0.74
HEDGEFUNDIE 2x
Benchmark (^GSPC)
Portfolio components

Dividend yield

HEDGEFUNDIE 2x granted a 1.62% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
HEDGEFUNDIE 2x1.62%0.41%0.10%0.23%0.98%1.15%0.87%0.65%1.12%0.58%0.24%0.44%
SSO
ProShares Ultra S&P 500
0.32%0.50%0.18%0.20%0.51%0.76%0.39%0.52%0.65%0.34%0.27%0.74%
UBT
ProShares Ultra 20+ Year Treasury
3.20%0.31%0.00%0.27%1.55%1.62%1.46%0.81%1.69%0.87%0.19%0.07%

Expense Ratio

The HEDGEFUNDIE 2x has a high expense ratio of 0.92%, 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.


0.95%
0.00%2.15%
0.90%
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
SSO
ProShares Ultra S&P 500
0.57
UBT
ProShares Ultra 20+ Year Treasury
-0.73

Drawdowns Chart

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


-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-43.52%
-8.22%
HEDGEFUNDIE 2x
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the HEDGEFUNDIE 2x. 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 HEDGEFUNDIE 2x is 51.49%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-51.49%Dec 28, 2021206Oct 20, 2022
-28.2%Mar 9, 20209Mar 19, 202047May 27, 202056
-18.65%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288
-15.07%Mar 23, 2015132Sep 28, 2015125Mar 29, 2016257
-14.25%Sep 3, 202041Oct 30, 202039Dec 28, 202080

Volatility Chart

The current HEDGEFUNDIE 2x volatility is 6.00%, 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%3.00%4.00%5.00%6.00%7.00%AprilMayJuneJulyAugustSeptember
6.00%
3.47%
HEDGEFUNDIE 2x
Benchmark (^GSPC)
Portfolio components