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Stocks/Bonds 40/60 Leveraged Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


TLT 40%TMF 20%UPRO 40%BondBondEquityEquity
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

40%

TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged

20%

UPRO
ProShares UltraPro S&P 500
Leveraged Equities, Leveraged

40%

S&P 500

Expense Ratio

The Stocks/Bonds 40/60 Leveraged Portfolio has a high expense ratio of 0.65%, 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%1.09%
0.50%1.00%1.50%2.00%0.92%
0.50%1.00%1.50%2.00%0.15%

Asset Correlations Table

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

UPROTLTTMF
UPRO1.00-0.30-0.30
TLT-0.301.001.00
TMF-0.301.001.00

Performance

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 Quarterly


400.00%600.00%800.00%1,000.00%OctoberNovemberDecember2024FebruaryMarch
1,015.65%
456.05%
Stocks/Bonds 40/60 Leveraged Portfolio
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Mar 16, 2024, the Stocks/Bonds 40/60 Leveraged Portfolio returned 1.93% Year-To-Date and 12.27% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.28%2.23%14.98%30.65%12.59%10.61%
Stocks/Bonds 40/60 Leveraged Portfolio1.93%2.73%15.88%16.54%8.15%12.32%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-18.95%0.29%-7.68%-41.57%-23.09%-8.58%
TLT
iShares 20+ Year Treasury Bond ETF
-5.41%0.51%1.35%-9.88%-3.26%0.91%
UPRO
ProShares UltraPro S&P 500
20.09%5.91%42.19%96.75%22.48%23.63%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.14%3.77%
2023-5.97%-13.62%-8.83%20.78%14.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.64
Stocks/Bonds 40/60 Leveraged Portfolio
0.76
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.80
TLT
iShares 20+ Year Treasury Bond ETF
-0.53
UPRO
ProShares UltraPro S&P 500
2.81

Sharpe Ratio

The current Stocks/Bonds 40/60 Leveraged Portfolio Sharpe ratio is 0.76. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.76

The Sharpe ratio of Stocks/Bonds 40/60 Leveraged Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
0.76
2.64
Stocks/Bonds 40/60 Leveraged Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Stocks/Bonds 40/60 Leveraged Portfolio granted a 2.41% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Stocks/Bonds 40/60 Leveraged Portfolio2.41%2.21%1.60%0.65%1.09%1.31%1.60%1.05%1.09%1.18%1.15%1.45%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.48%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
TLT
iShares 20+ Year Treasury Bond ETF
3.68%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
UPRO
ProShares UltraPro S&P 500
0.61%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.


-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-38.79%
-1.12%
Stocks/Bonds 40/60 Leveraged Portfolio
Benchmark (^GSPC)
Portfolio components

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 56.98%, occurring on Oct 27, 2023. The portfolio has not yet recovered.

The current Stocks/Bonds 40/60 Leveraged Portfolio drawdown is 38.79%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-56.98%Dec 28, 2021462Oct 27, 2023
-32.28%Mar 9, 20208Mar 18, 202050May 29, 202058
-19.15%Jan 29, 2018229Dec 24, 201858Mar 20, 2019287
-16.83%Feb 3, 2015165Sep 28, 2015128Apr 1, 2016293
-16.78%Sep 3, 202041Oct 30, 202057Jan 25, 202198

Volatility

Volatility Chart

The current Stocks/Bonds 40/60 Leveraged Portfolio volatility is 5.45%, 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%4.00%6.00%8.00%10.00%12.00%OctoberNovemberDecember2024FebruaryMarch
5.45%
3.36%
Stocks/Bonds 40/60 Leveraged Portfolio
Benchmark (^GSPC)
Portfolio components
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