PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

leveraged 80/20 - 2x

Last updated Mar 2, 2024

Asset Allocation


UST 20%SSO 80%BondBondEquityEquity
PositionCategory/SectorWeight
UST
ProShares Ultra 7-10 Year Treasury
Leveraged Bonds, Leveraged

20%

SSO
ProShares Ultra S&P 500
Leveraged Equities, Leveraged

80%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in leveraged 80/20 - 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


200.00%400.00%600.00%800.00%1,000.00%1,200.00%OctoberNovemberDecember2024FebruaryMarch
1,163.36%
370.53%
leveraged 80/20 - 2x
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 22, 2010, corresponding to the inception date of UST

Returns

As of Mar 2, 2024, the leveraged 80/20 - 2x returned 10.90% Year-To-Date and 16.57% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
leveraged 80/20 - 2x10.90%5.14%20.65%40.51%18.16%16.57%
SSO
ProShares Ultra S&P 500
14.74%6.96%25.83%52.86%21.97%19.47%
UST
ProShares Ultra 7-10 Year Treasury
-4.25%-2.63%0.82%-2.26%-3.69%-0.21%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20242.08%6.71%
2023-3.64%-9.22%-4.86%16.23%8.47%

Sharpe Ratio

The current leveraged 80/20 - 2x Sharpe ratio is 2.29. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.29

The Sharpe ratio of leveraged 80/20 - 2x lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
2.29
2.44
leveraged 80/20 - 2x
Benchmark (^GSPC)
Portfolio components

Dividend yield

leveraged 80/20 - 2x granted a 0.86% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
leveraged 80/20 - 2x0.86%0.84%0.49%0.19%0.27%0.68%0.94%0.48%0.53%0.65%1.24%0.21%
SSO
ProShares Ultra S&P 500
0.16%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.50%0.63%0.33%0.26%
UST
ProShares Ultra 7-10 Year Treasury
3.65%3.49%0.47%0.27%0.53%1.42%1.71%0.84%0.64%0.75%4.91%0.00%

Expense Ratio

The leveraged 80/20 - 2x has a high expense ratio of 0.91%, 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.


0.50%1.00%1.50%2.00%0.95%
0.50%1.00%1.50%2.00%0.90%

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
^GSPC
S&P 500
2.44
leveraged 80/20 - 2x
2.29
SSO
ProShares Ultra S&P 500
2.45
UST
ProShares Ultra 7-10 Year Treasury
-0.10

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

SSOUST
SSO1.00-0.29
UST-0.291.00

Drawdowns Chart

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


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-5.45%
0
leveraged 80/20 - 2x
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the leveraged 80/20 - 2x. 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 80/20 - 2x was 45.48%, occurring on Mar 23, 2020. Recovery took 103 trading sessions.

The current leveraged 80/20 - 2x drawdown is 5.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-45.48%Feb 20, 202023Mar 23, 2020103Aug 18, 2020126
-43.58%Dec 28, 2021200Oct 12, 2022
-28.2%Sep 21, 201865Dec 24, 201871Apr 8, 2019136
-25.32%Jul 8, 201161Oct 3, 201183Feb 1, 2012144
-21.82%Apr 26, 201049Jul 2, 201071Oct 13, 2010120

Volatility Chart

The current leveraged 80/20 - 2x volatility is 5.97%, 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%8.00%OctoberNovemberDecember2024FebruaryMarch
5.97%
3.47%
leveraged 80/20 - 2x
Benchmark (^GSPC)
Portfolio components
0 comments