Stocks/Bonds 40/60 Leveraged Portfolio
This is a leveraged alternative to the classical 40/60 Portfolio. It is implemented without borrowing money at the portfolio level but using leveraged ETFs. Note that leveraged ETFs may involve a substantial risk of loss and are not suitable for all investors.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds | 30% |
TMF Direxion Daily 20-Year Treasury Bull 3X | Leveraged Bonds, Leveraged | 15% |
UPRO ProShares UltraPro S&P 500 | Leveraged Equities, Leveraged | 55% |
Performance
The chart shows the growth of an initial investment of $10,000 in Stocks/Bonds 40/60 Leveraged Portfolio, 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
Returns
As of Sep 23, 2023, the Stocks/Bonds 40/60 Leveraged Portfolio returned 9.01% Year-To-Date and 15.62% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.29% | 8.79% | 12.52% | 16.97% | 8.17% | 9.84% |
| Stocks/Bonds 40/60 Leveraged Portfolio | -5.10% | 0.03% | 9.01% | 7.54% | 7.96% | 15.68% |
| Portfolio components: | ||||||
TMF Direxion Daily 20-Year Treasury Bull 3X | -11.29% | -40.15% | -28.87% | -42.65% | -19.82% | -7.32% |
TLT iShares 20+ Year Treasury Bond ETF | -3.38% | -13.04% | -6.20% | -10.79% | -2.73% | 0.82% |
UPRO ProShares UltraPro S&P 500 | -4.76% | 21.06% | 29.49% | 36.55% | 8.46% | 21.69% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| UPRO | TLT | TMF | |
|---|---|---|---|
| UPRO | 1.00 | -0.32 | -0.32 |
| TLT | -0.32 | 1.00 | 1.00 |
| TMF | -0.32 | 1.00 | 1.00 |
Dividend yield
Stocks/Bonds 40/60 Leveraged Portfolio granted a 2.09% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Stocks/Bonds 40/60 Leveraged Portfolio | 2.09% | 1.36% | 0.52% | 0.88% | 1.18% | 1.46% | 0.89% | 0.97% | 1.12% | 1.10% | 1.36% | 1.10% |
| Portfolio components: | ||||||||||||
TMF Direxion Daily 20-Year Treasury Bull 3X | 3.37% | 1.65% | 0.13% | 2.31% | 1.00% | 1.59% | 0.44% | 0.00% | 0.00% | 0.00% | 0.62% | 0.18% |
TLT iShares 20+ Year Treasury Bond ETF | 3.46% | 2.73% | 1.56% | 1.59% | 2.44% | 2.90% | 2.76% | 3.02% | 3.11% | 3.26% | 4.09% | 3.47% |
UPRO ProShares UltraPro S&P 500 | 1.00% | 0.53% | 0.06% | 0.11% | 0.54% | 0.65% | 0.00% | 0.12% | 0.35% | 0.22% | 0.07% | 0.05% |
Expense Ratio
The Stocks/Bonds 40/60 Leveraged Portfolio has a high expense ratio of 0.71%, 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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
TMF Direxion Daily 20-Year Treasury Bull 3X | -0.84 | ||||
TLT iShares 20+ Year Treasury Bond ETF | -0.67 | ||||
UPRO ProShares UltraPro S&P 500 | 0.51 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Stocks/Bonds 40/60 Leveraged Portfolio. 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 Stocks/Bonds 40/60 Leveraged Portfolio is 56.95%, recorded on Oct 14, 2022. The portfolio has not recovered from it yet.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -56.95% | Dec 28, 2021 | 202 | Oct 14, 2022 | — | — | — |
| -41.15% | Feb 20, 2020 | 20 | Mar 18, 2020 | 56 | Jun 8, 2020 | 76 |
| -26.35% | Jan 29, 2018 | 229 | Dec 24, 2018 | 59 | Mar 21, 2019 | 288 |
| -19.85% | Mar 23, 2015 | 132 | Sep 28, 2015 | 136 | Apr 13, 2016 | 268 |
| -19.3% | Sep 3, 2020 | 41 | Oct 30, 2020 | 26 | Dec 8, 2020 | 67 |
Volatility Chart
The current Stocks/Bonds 40/60 Leveraged Portfolio volatility is 7.44%, 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.