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2倍 美元+金+股
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


UGL 33.4%EUO 33.3%SSO 33.3%CommodityCommodityCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
EUO
ProShares UltraShort Euro
Leveraged Currency, Leveraged
33.30%
SSO
ProShares Ultra S&P 500
Leveraged Equities, Leveraged
33.30%
UGL
ProShares Ultra Gold
Leveraged Commodities, Leveraged, Gold
33.40%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2倍 美元+金+股, 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


-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
15.96%
8.87%
2倍 美元+金+股
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 3, 2008, corresponding to the inception date of UGL

Returns By Period

As of Dec 19, 2024, the 2倍 美元+金+股 returned 36.49% Year-To-Date and 13.93% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
2倍 美元+金+股37.95%-2.52%15.96%38.62%16.60%13.96%
EUO
ProShares UltraShort Euro
18.18%-0.03%8.81%17.86%4.72%4.92%
SSO
ProShares Ultra S&P 500
46.24%-1.45%15.18%47.14%20.77%19.69%
UGL
ProShares Ultra Gold
46.49%-6.45%20.54%47.66%14.32%9.10%
*Annualized

Monthly Returns

The table below presents the monthly returns of 2倍 美元+金+股, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.26%3.51%7.75%-0.18%2.71%2.82%3.24%1.32%4.61%3.54%3.47%37.95%
20236.95%-4.01%5.79%0.29%1.19%1.41%3.04%-1.62%-4.74%3.18%5.51%2.96%20.97%
2022-4.07%2.58%3.57%-3.80%-3.93%-4.08%6.13%-3.94%-6.44%3.16%5.90%-4.14%-9.76%
2021-2.69%-1.91%4.83%4.18%5.05%-2.39%3.08%2.20%-4.29%5.81%0.01%4.95%19.69%
20203.56%-5.24%-8.64%13.03%3.96%2.17%7.16%3.32%-5.13%-2.04%2.09%5.36%19.16%
20197.16%2.30%1.13%2.17%-3.09%8.92%2.82%4.32%-0.62%1.52%1.11%3.20%35.01%
20183.76%-3.37%-2.01%0.79%2.95%-1.65%0.86%1.30%0.04%-1.64%1.27%-2.30%-0.26%
20172.98%5.86%-0.68%0.35%-1.18%-2.14%0.50%2.65%-0.80%1.94%0.81%1.83%12.53%
20160.48%7.75%0.18%2.98%-1.53%6.01%3.29%-2.07%-0.27%-1.65%-0.21%0.88%16.45%
20158.52%-0.14%0.01%-2.52%2.50%-3.63%-1.93%-3.96%-2.82%8.38%-1.34%-3.71%-1.66%
20141.02%5.70%-1.81%0.30%0.45%5.03%-1.87%4.06%-2.05%-0.21%1.99%2.20%15.42%
20131.09%-0.04%4.36%-5.74%-1.21%-6.29%6.56%2.48%-3.24%2.25%-1.57%-1.12%-3.22%

Expense Ratio

2倍 美元+金+股 has a high expense ratio of 0.95%, 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 EUO: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
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 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 89, 2倍 美元+金+股 is among the top 11% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of 2倍 美元+金+股 is 8989
Overall Rank
The Sharpe Ratio Rank of 2倍 美元+金+股 is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of 2倍 美元+金+股 is 8686
Sortino Ratio Rank
The Omega Ratio Rank of 2倍 美元+金+股 is 8888
Omega Ratio Rank
The Calmar Ratio Rank of 2倍 美元+金+股 is 9191
Calmar Ratio Rank
The Martin Ratio Rank of 2倍 美元+金+股 is 9292
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for 2倍 美元+金+股, currently valued at 2.89, compared to the broader market-6.00-4.00-2.000.002.004.002.892.10
The chart of Sortino ratio for 2倍 美元+金+股, currently valued at 3.63, compared to the broader market-6.00-4.00-2.000.002.004.006.003.632.80
The chart of Omega ratio for 2倍 美元+金+股, currently valued at 1.51, compared to the broader market0.400.600.801.001.201.401.601.801.511.39
The chart of Calmar ratio for 2倍 美元+金+股, currently valued at 4.96, compared to the broader market0.002.004.006.008.0010.0012.004.963.09
The chart of Martin ratio for 2倍 美元+金+股, currently valued at 19.80, compared to the broader market0.0010.0020.0030.0040.0050.0019.8013.49
2倍 美元+金+股
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
EUO
ProShares UltraShort Euro
1.332.051.240.785.11
SSO
ProShares Ultra S&P 500
2.042.571.363.0312.52
UGL
ProShares Ultra Gold
1.692.161.280.988.36

The current 2倍 美元+金+股 Sharpe ratio is 2.72. 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 1.28 to 2.10, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of 2倍 美元+金+股 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 Ratio1.502.002.503.003.504.00JulyAugustSeptemberOctoberNovemberDecember
2.89
2.10
2倍 美元+金+股
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2倍 美元+金+股 provided a 0.19% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio0.19%0.06%0.17%0.06%0.07%0.17%0.25%0.13%0.17%0.21%0.11%0.09%
EUO
ProShares UltraShort Euro
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SSO
ProShares Ultra S&P 500
0.57%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.51%0.63%0.32%0.26%
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%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.65%
-2.62%
2倍 美元+金+股
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2倍 美元+金+股. 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 2倍 美元+金+股 was 24.52%, occurring on Mar 16, 2020. Recovery took 84 trading sessions.

The current 2倍 美元+金+股 drawdown is 4.67%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.52%Feb 21, 202017Mar 16, 202084Jul 15, 2020101
-17.09%Mar 9, 2022153Oct 14, 2022197Jul 31, 2023350
-16.28%Apr 13, 201595Aug 25, 2015210Jun 24, 2016305
-15.87%Oct 5, 2012181Jun 27, 2013254Jul 1, 2014435
-12.41%Feb 19, 200915Mar 11, 200956Jun 1, 200971

Volatility

Volatility Chart

The current 2倍 美元+金+股 volatility is 5.23%, 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%JulyAugustSeptemberOctoberNovemberDecember
5.23%
3.79%
2倍 美元+金+股
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.

SSOUGLEUO
SSO1.000.06-0.23
UGL0.061.00-0.37
EUO-0.23-0.371.00
The correlation results are calculated based on daily price changes starting from Dec 4, 2008
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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