Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
UJB ProShares Ultra High Yield | Leveraged Bonds | 60% |
SSO ProShares Ultra S&P500 | Leveraged Equities, S&P 500 | 40% |
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Performance Chart
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 when any position deviates by more than 10.0% from its target allocation.
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Returns By Period
As of Jun 3, 2026, the Stocks/Bonds 40/60 Leveraged Portfolio returned 8.99% Year-To-Date and 14.41% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.13% | 5.25% | 11.16% | 11.43% | 28.20% | 21.12% | 12.66% | 13.75% |
Portfolio Stocks/Bonds 40/60 Leveraged Portfolio | 0.19% | 4.20% | 8.99% | 9.57% | 26.81% | 22.36% | 10.55% | 14.41% |
| Portfolio components: | ||||||||
SSO ProShares Ultra S&P500 | 0.27% | 10.52% | 21.07% | 21.28% | 56.67% | 38.21% | 20.39% | 24.38% |
UJB ProShares Ultra High Yield | 0.13% | 0.14% | 1.26% | 2.00% | 9.36% | 11.65% | 3.17% | 6.40% |
Monthly Returns
Based on dividend-adjusted daily data since Apr 15, 2011, Stocks/Bonds 40/60 Leveraged Portfolio's average daily return is +0.06%, while the average monthly return is +1.27%. At this rate, an investment would double in approximately 4.6 years.
Historically, 66% of months were positive and 34% were negative. The best month was Oct 2011 with a return of +18.7%, while the worst month was Mar 2020 at -23.4%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Stocks/Bonds 40/60 Leveraged Portfolio closed higher 55% of trading days. The best single day was Jan 29, 2016 with a return of +15.0%, while the worst single day was Mar 16, 2020 at -15.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.46% | -1.04% | -5.46% | 9.81% | 4.33% | 0.22% | 8.99% | ||||||
| 2025 | 3.31% | -0.33% | -6.12% | -1.33% | 6.57% | 5.89% | 1.52% | 2.59% | 3.48% | 1.38% | 0.66% | 0.30% | 18.75% |
| 2024 | 0.87% | 3.85% | 3.58% | -5.21% | 5.26% | 2.94% | 3.25% | 2.98% | 3.34% | -2.42% | 6.22% | -3.44% | 22.58% |
| 2023 | 9.13% | -4.76% | 4.80% | 1.00% | -1.51% | 6.79% | 3.53% | -1.65% | -6.11% | -3.47% | 12.77% | 7.19% | 29.06% |
| 2022 | -7.37% | -3.58% | 1.33% | -11.90% | 1.96% | -15.04% | 15.61% | -8.49% | -12.13% | 10.16% | 7.72% | -6.92% | -29.08% |
| 2021 | -1.08% | 2.02% | 4.40% | 5.05% | 0.54% | 3.21% | 2.02% | 2.87% | -4.06% | 5.08% | -2.19% | 6.46% | 26.54% |
Benchmark Metrics
Stocks/Bonds 40/60 Leveraged Portfolio has an annualized alpha of 1.13%, beta of 1.12, and R2 of 0.76 versus S&P 500 Index. Calculated based on daily prices since April 15, 2011.
- This portfolio captured 129.66% of S&P 500 Index gains and 122.95% of its losses - amplifying both gains and losses, but participating more in upside than downside.
- With beta of 1.12 and R2 of 0.76, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 1.13%
- Beta
- 1.12
- R²
- 0.76
- Upside Capture
- 129.66%
- Downside Capture
- 122.95%
Expense Ratio
Stocks/Bonds 40/60 Leveraged Portfolio has an expense ratio of 0.92%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Stocks/Bonds 40/60 Leveraged Portfolio ranks 31 for risk / return — below 31% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Stocks/Bonds 40/60 Leveraged Portfolio and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.06 | 2.39 | -0.33 |
Sortino ratioReturn per unit of downside risk | 2.87 | 3.25 | -0.38 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.43 | -0.06 |
Calmar ratioReturn relative to maximum drawdown | 2.67 | 3.11 | -0.45 |
Martin ratioReturn relative to average drawdown | 12.23 | 14.38 | -2.15 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
SSO ProShares Ultra S&P500 | 68 | 2.42 | 3.03 | 1.40 | 3.21 | 14.14 |
UJB ProShares Ultra High Yield | 38 | 1.29 | 1.92 | 1.24 | 1.85 | 7.91 |
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Dividends
Dividend yield
Stocks/Bonds 40/60 Leveraged Portfolio provided a 2.24% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.24% | 1.84% | 2.15% | 2.42% | 0.23% | 0.45% | 1.81% | 2.57% | 2.23% | 1.75% | 1.61% | 2.42% |
| Portfolio components: | ||||||||||||
SSO ProShares Ultra S&P500 | 0.61% | 0.68% | 0.85% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.51% | 0.63% |
UJB ProShares Ultra High Yield | 3.34% | 2.61% | 3.02% | 3.92% | 0.05% | 0.63% | 2.88% | 3.95% | 3.22% | 2.67% | 2.35% | 3.62% |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Stocks/Bonds 40/60 Leveraged Portfolio. 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 Stocks/Bonds 40/60 Leveraged Portfolio was 47.97%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -47.97%Mar 2020 | 1mo 4d | 5mo 13d | 6mo 17dFeb 2020 - Sep 2020 |
Bear market2022 | -36.25%Sep 2022 | 9mo 6d | 1y 8mo | 2y 5moDec 2021 - Jun 2024 |
2011 bear market2011 | -27.60%Oct 2011 | 2mo 28d | 3mo 23d | 6mo 21dJul 2011 - Jan 2012 |
2016 bear market2016 | -24.84%Jan 2016 | 8mo 21d | 4mo 7d | 1y 23dMay 2015 - May 2016 |
Rate-hike selloffLate 2018 | -22.64%Dec 2018 | 2mo 21d | 3mo 8d | 5mo 29dOct 2018 - Apr 2019 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
Thesis
The portfolio is making a two-part bet: levered bonds via ProShares Ultra Bloomberg U.S. Aggregate Bond (UJB) and levered equities via ProShares Ultra S&P 500 (SSO), with the interesting idea being that leverage substitutes for breadth, at least on paper.
The numbers
- The diversification ratio is 1.05 over 1Y and 1.17 since inception, which sits at the 7th and 33rd percentiles on the platform; that is barely any diversification benefit, especially lately.
- The effective number of assets is 1.92 out of 2, so the weights are balanced enough, but the balance is between two highly correlated risk engines, not two independent ones.
- UJB and SSO have a 0.49 correlation, which is not awful by equity-portfolio standards and not much of a hedge once leverage enters the room.
What works
- The portfolio does hold two distinct macro sleeves, so the equity and rate channels are at least separated in name, which is more structure than many levered portfolios manage.
What does not
- The short-window DR is weak relative to the long-window DR, which says the two sleeves have been moving together more recently; that is the sort of thing that makes a hedge look ornamental.
- Position-to-portfolio correlations are high, especially for SSO at 0.91, so the portfolio is mostly a levered expression of broad market conditions rather than a diversified mix.
Stress Scenario
- A regime with rising rates and falling equities would be the obvious stress case, but the more annoying one is a risk-off move where credit, rates, and equities all de-rate together, leaving the two sleeves less offsetting than the labels suggest.
Worth knowing
- Portfolios built from leveraged beta sleeves often have lower diversification than their asset count implies.
- The math here fits a portfolio with two directional exposures and not much internal damping, which is a coherent construction, such as it is.
Diversification Metrics
Number of Effective Assets
The portfolio contains 2 assets, with an effective number of assets of 1.92, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.05 | 1.07 | 1.07 | 1.12 | 1.17 |
The portfolio has a diversification ratio of 1.17, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Stocks/Bonds 40/60 Leveraged Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.97 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.95 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.95 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.92 |
Correlation (All Time) Calculated using the full available price history since Apr 15, 2011 | 0.89 |
Benchmark Correlations
Correlation vs. S&P 500 Index. SSO has the highest benchmark correlation at 1.00, while UJB has the lowest at 0.49.
Asset Correlations Table
Find what Stocks/Bonds 40/60 Leveraged Portfolio is missing
See which holdings overlap, where Stocks/Bonds 40/60 Leveraged Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification