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2x Harry Browne

Last updated Mar 2, 2024

2x leveraged version of Harry Browne's Permanent portfolio

Asset Allocation


UGL 27%YCS 27%EUO 27%UPRO 19%CommodityCommodityCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
UGL
ProShares Ultra Gold
Leveraged Commodities, Leveraged, Gold

27%

YCS
ProShares UltraShort Yen
Leveraged Currency, Leveraged

27%

EUO
ProShares UltraShort Euro
Leveraged Currency, Leveraged

27%

UPRO
ProShares UltraPro S&P 500
Leveraged Equities, Leveraged

19%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in 2x Harry Browne, 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


350.00%400.00%450.00%500.00%550.00%OctoberNovemberDecember2024FebruaryMarch
541.10%
458.22%
2x Harry Browne
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 25, 2009, corresponding to the inception date of UPRO

Returns

As of Mar 2, 2024, the 2x Harry Browne returned 9.79% Year-To-Date and 12.99% 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%
2x Harry Browne9.79%3.94%14.87%30.29%17.79%12.91%
YCS
ProShares UltraShort Yen
15.43%3.39%11.88%36.73%15.49%8.98%
EUO
ProShares UltraShort Euro
4.75%-0.47%1.48%1.41%3.96%6.21%
UGL
ProShares Ultra Gold
0.25%3.96%9.42%13.69%11.52%2.20%
UPRO
ProShares UltraPro S&P 500
21.98%10.20%37.94%80.26%23.73%23.55%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20243.69%4.34%
2023-0.04%-2.24%3.54%3.72%0.44%

Sharpe Ratio

The current 2x Harry Browne Sharpe ratio is 3.57. A Sharpe ratio of 3.0 or higher is considered excellent.

0.002.004.003.57

The Sharpe ratio of 2x Harry Browne 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.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00OctoberNovemberDecember2024FebruaryMarch
3.57
2.44
2x Harry Browne
Benchmark (^GSPC)
Portfolio components

Dividend yield

2x Harry Browne granted a 0.11% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
2x Harry Browne0.11%0.14%0.10%0.01%0.02%0.10%0.12%0.00%0.02%0.06%0.04%0.01%
YCS
ProShares UltraShort Yen
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
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%
UPRO
ProShares UltraPro S&P 500
0.60%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%

Expense Ratio

The 2x Harry Browne has a high expense ratio of 0.97%, 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%1.00%
0.50%1.00%1.50%2.00%0.99%
0.50%1.00%1.50%2.00%0.95%
0.50%1.00%1.50%2.00%0.92%

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
2x Harry Browne
3.57
YCS
ProShares UltraShort Yen
1.90
EUO
ProShares UltraShort Euro
0.14
UGL
ProShares Ultra Gold
0.62
UPRO
ProShares UltraPro S&P 500
2.53

Asset Correlations Table

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

UPROUGLEUOYCS
UPRO1.000.05-0.220.22
UGL0.051.00-0.38-0.40
EUO-0.22-0.381.000.34
YCS0.22-0.400.341.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
2x Harry Browne
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2x Harry Browne. 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 2x Harry Browne was 22.74%, occurring on Mar 16, 2020. Recovery took 96 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.74%Feb 21, 202017Mar 16, 202096Jul 31, 2020113
-14.46%Apr 13, 201595Aug 25, 2015327Dec 9, 2016422
-11.4%May 13, 201037Jul 6, 2010104Dec 1, 2010141
-11.37%Apr 12, 201351Jun 24, 2013163Feb 14, 2014214
-10.68%Sep 9, 201118Oct 4, 201177Jan 25, 201295

Volatility Chart

The current 2x Harry Browne volatility is 2.44%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.44%
3.47%
2x Harry Browne
Benchmark (^GSPC)
Portfolio components
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