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 | 40% |
TMF Direxion Daily 20-Year Treasury Bull 3X | Leveraged Bonds, Leveraged | 20% |
UPRO ProShares UltraPro S&P 500 | Leveraged Equities, Leveraged | 40% |
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
The earliest data available for this chart is Jun 25, 2009, corresponding to the inception date of UPRO
Returns By Period
As of Apr 25, 2024, the Stocks/Bonds 40/60 Leveraged Portfolio returned -4.16% Year-To-Date and 11.39% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 5.84% | -2.98% | 22.02% | 24.47% | 11.44% | 10.46% |
| Stocks/Bonds 40/60 Leveraged Portfolio | -5.33% | -10.05% | 30.52% | 5.77% | 5.51% | 11.26% |
| Portfolio components: | ||||||
TMF Direxion Daily 20-Year Treasury Bull 3X | -32.53% | -18.73% | 5.77% | -48.74% | -25.79% | -10.48% |
TLT iShares 20+ Year Treasury Bond ETF | -10.36% | -6.07% | 5.64% | -13.98% | -4.50% | 0.10% |
UPRO ProShares UltraPro S&P 500 | 13.52% | -9.89% | 70.67% | 69.93% | 18.33% | 22.85% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.14% | 3.73% | 4.55% | |||||||||
| 2023 | -13.51% | -8.83% | 20.78% | 13.97% |
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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
TMF Direxion Daily 20-Year Treasury Bull 3X | -1.01 | -1.54 | 0.83 | -0.55 | -1.48 |
TLT iShares 20+ Year Treasury Bond ETF | -0.87 | -1.16 | 0.87 | -0.31 | -1.44 |
UPRO ProShares UltraPro S&P 500 | 1.94 | 2.57 | 1.30 | 1.28 | 7.13 |
Dividends
Dividend yield
Stocks/Bonds 40/60 Leveraged Portfolio granted a 2.69% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Stocks/Bonds 40/60 Leveraged Portfolio | 2.69% | 2.21% | 1.60% | 0.65% | 0.74% | 1.31% | 1.60% | 1.05% | 1.09% | 1.18% | 1.15% | 1.45% |
| Portfolio components: | ||||||||||||
TMF Direxion Daily 20-Year Treasury Bull 3X | 4.15% | 2.82% | 1.62% | 0.13% | 0.48% | 0.94% | 1.49% | 0.41% | 0.00% | 0.00% | 0.00% | 0.57% |
TLT iShares 20+ Year Treasury Bond ETF | 3.95% | 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 | 0.72% | 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.
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 56.78%, occurring on Oct 27, 2023. The portfolio has not yet recovered.
The current Stocks/Bonds 40/60 Leveraged Portfolio drawdown is 42.28%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -56.78% | Dec 28, 2021 | 462 | Oct 27, 2023 | — | — | — |
| -32.28% | Mar 9, 2020 | 8 | Mar 18, 2020 | 50 | May 29, 2020 | 58 |
| -19.01% | Jan 29, 2018 | 229 | Dec 24, 2018 | 56 | Mar 18, 2019 | 285 |
| -16.83% | Feb 3, 2015 | 165 | Sep 28, 2015 | 128 | Apr 1, 2016 | 293 |
| -16.78% | Sep 3, 2020 | 41 | Oct 30, 2020 | 57 | Jan 25, 2021 | 98 |
Volatility
Volatility Chart
The current Stocks/Bonds 40/60 Leveraged Portfolio volatility is 6.12%, 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 | TLT | TMF | |
|---|---|---|---|
| UPRO | 1.00 | -0.30 | -0.30 |
| TLT | -0.30 | 1.00 | 1.00 |
| TMF | -0.30 | 1.00 | 1.00 |