Rick's 2x Harry Browne
2x leveraged version of Harry Browne's Permanent portfolio
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
EUO ProShares UltraShort Euro | Leveraged Currency, Leveraged | 27% |
UGL ProShares Ultra Gold | Leveraged Commodities, Leveraged, Gold | 27% |
UPRO ProShares UltraPro S&P 500 | Leveraged Equities, Leveraged | 19% |
YCS ProShares UltraShort Yen | Leveraged Currency, Leveraged | 27% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Rick's 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
The earliest data available for this chart is Jun 25, 2009, corresponding to the inception date of UPRO
Returns By Period
As of Dec 4, 2024, the Rick's 2x Harry Browne returned 40.21% Year-To-Date and 14.10% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 26.84% | 5.60% | 14.34% | 32.39% | 14.23% | 11.32% |
| Rick's 2x Harry Browne | 40.21% | 1.57% | 16.78% | 41.31% | 20.28% | 14.10% |
| Portfolio components: | ||||||
YCS ProShares UltraShort Yen | 23.69% | -4.10% | -2.43% | 14.35% | 17.57% | 6.37% |
EUO ProShares UltraShort Euro | 16.26% | 6.87% | 10.35% | 12.18% | 4.47% | 4.92% |
UGL ProShares Ultra Gold | 48.86% | -7.46% | 22.34% | 53.03% | 15.42% | 9.30% |
UPRO ProShares UltraPro S&P 500 | 79.73% | 16.75% | 39.26% | 102.67% | 26.05% | 24.61% |
Monthly Returns
The table below presents the monthly returns of Rick's 2x Harry Browne, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.69% | 4.30% | 7.09% | 2.34% | 2.24% | 3.85% | -0.82% | 0.01% | 3.48% | 6.23% | 2.05% | 40.21% | |
| 2023 | 5.58% | -1.02% | 3.45% | 1.85% | 2.43% | 3.82% | 2.01% | -0.04% | -2.24% | 3.54% | 3.72% | 0.44% | 25.90% |
| 2022 | -3.48% | 2.03% | 5.91% | 0.45% | -3.76% | 0.44% | 4.32% | -1.48% | -3.17% | 4.25% | 0.99% | -6.42% | -0.70% |
| 2021 | -1.50% | -0.55% | 6.27% | 2.87% | 4.33% | -1.26% | 1.82% | 2.07% | -3.18% | 6.23% | -0.56% | 5.21% | 23.36% |
| 2020 | 2.76% | -4.72% | -7.92% | 10.58% | 3.76% | 1.59% | 4.98% | 3.40% | -5.10% | -2.23% | 1.93% | 4.07% | 12.28% |
| 2019 | 5.92% | 3.44% | 0.79% | 2.37% | -4.18% | 7.33% | 2.94% | 2.13% | 0.52% | 1.30% | 1.88% | 2.47% | 29.96% |
| 2018 | 1.83% | -4.46% | -1.90% | 2.12% | 2.23% | -0.28% | 1.47% | 0.94% | 1.36% | -1.76% | 1.37% | -3.33% | -0.69% |
| 2017 | 0.53% | 4.74% | -1.04% | 0.37% | -1.29% | -0.86% | -0.59% | 1.98% | 0.63% | 2.27% | 0.31% | 1.72% | 8.96% |
| 2016 | 0.53% | 2.53% | 0.08% | -0.60% | 0.71% | 1.28% | 2.05% | -1.09% | -1.35% | 0.48% | 5.31% | 2.08% | 12.51% |
| 2015 | 5.61% | 0.87% | 0.00% | -2.28% | 4.19% | -3.82% | -0.90% | -4.82% | -2.86% | 7.57% | -0.09% | -4.45% | -1.84% |
| 2014 | -0.90% | 4.48% | -0.85% | -0.34% | 0.20% | 3.93% | -0.77% | 3.98% | 1.26% | 0.97% | 4.95% | 2.00% | 20.31% |
| 2013 | 3.95% | 0.74% | 4.50% | -2.95% | 0.83% | -6.07% | 4.77% | 1.87% | -2.57% | 1.90% | 1.15% | 0.82% | 8.71% |
Expense Ratio
Rick's 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Rick's 2x Harry Browne is 75, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
YCS ProShares UltraShort Yen | 0.66 | 0.99 | 1.14 | 0.65 | 1.61 |
EUO ProShares UltraShort Euro | 1.07 | 1.64 | 1.19 | 0.64 | 3.99 |
UGL ProShares Ultra Gold | 1.55 | 2.03 | 1.26 | 0.90 | 8.35 |
UPRO ProShares UltraPro S&P 500 | 2.73 | 3.08 | 1.42 | 2.66 | 16.39 |
Dividends
Dividend yield
Rick's 2x Harry Browne provided a 0.13% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.13% | 0.14% | 0.10% | 0.01% | 0.02% | 0.10% | 0.12% | 0.00% | 0.02% | 0.06% | 0.04% | 0.01% |
| Portfolio components: | ||||||||||||
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 | 0.70% | 0.74% | 0.52% | 0.06% | 0.11% | 0.53% | 0.63% | 0.00% | 0.12% | 0.34% | 0.22% | 0.07% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Rick's 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 Rick's 2x Harry Browne was 22.74%, occurring on Mar 16, 2020. Recovery took 96 trading sessions.
The current Rick's 2x Harry Browne drawdown is 2.88%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.74% | Feb 21, 2020 | 17 | Mar 16, 2020 | 96 | Jul 31, 2020 | 113 |
| -14.46% | Apr 13, 2015 | 95 | Aug 25, 2015 | 327 | Dec 9, 2016 | 422 |
| -11.4% | May 13, 2010 | 37 | Jul 6, 2010 | 104 | Dec 1, 2010 | 141 |
| -11.37% | Apr 12, 2013 | 51 | Jun 24, 2013 | 163 | Feb 14, 2014 | 214 |
| -11.16% | Jul 17, 2024 | 14 | Aug 5, 2024 | 41 | Oct 2, 2024 | 55 |
Volatility
Volatility Chart
The current Rick's 2x Harry Browne volatility is 4.33%, 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.
Diversification
Asset Correlations Table
| UPRO | UGL | EUO | YCS | |
|---|---|---|---|---|
| UPRO | 1.00 | 0.06 | -0.22 | 0.21 |
| UGL | 0.06 | 1.00 | -0.37 | -0.39 |
| EUO | -0.22 | -0.37 | 1.00 | 0.34 |
| YCS | 0.21 | -0.39 | 0.34 | 1.00 |