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 | Target 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
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The earliest data available for this chart is Jun 25, 2009, corresponding to the inception date of UPRO
Returns By Period
As of May 11, 2025, the Stocks/Bonds 40/60 Leveraged Portfolio returned -4.39% Year-To-Date and 8.65% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
| Stocks/Bonds 40/60 Leveraged Portfolio | -4.39% | 10.61% | -11.99% | 5.53% | 2.33% | 8.65% |
| Portfolio components: | ||||||
TMF Direxion Daily 20-Year Treasury Bull 3X | -3.12% | 1.83% | -18.58% | -15.30% | -36.24% | -13.14% |
TLT iShares 20+ Year Treasury Bond ETF | 1.08% | 1.10% | -3.86% | 0.64% | -9.36% | -0.54% |
UPRO ProShares UltraPro S&P 500 | -19.89% | 22.07% | -25.66% | 4.93% | 30.53% | 20.37% |
Monthly Returns
The table below presents the monthly returns of Stocks/Bonds 40/60 Leveraged Portfolio, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.00% | 2.86% | -8.52% | -1.60% | 0.25% | -4.39% | |||||||
| 2024 | -0.62% | 3.97% | 4.21% | -11.71% | 8.55% | 5.80% | 3.72% | 3.94% | 3.94% | -6.23% | 8.26% | -9.59% | 12.28% |
| 2023 | 14.45% | -8.30% | 8.10% | 1.70% | -2.88% | 8.74% | 0.88% | -5.98% | -13.55% | -8.34% | 20.47% | 13.25% | 24.94% |
| 2022 | -10.69% | -5.77% | -1.28% | -19.22% | -3.01% | -11.27% | 13.46% | -10.42% | -19.27% | 2.91% | 12.51% | -10.73% | -51.01% |
| 2021 | -4.94% | -1.49% | 0.22% | 9.29% | 0.60% | 6.86% | 6.45% | 3.75% | -8.67% | 10.83% | 1.36% | 3.12% | 28.84% |
| 2020 | 6.69% | -3.83% | -10.27% | 15.34% | 4.29% | 1.77% | 11.50% | 4.65% | -4.09% | -6.73% | 14.08% | 3.42% | 38.80% |
| 2019 | 8.50% | 2.22% | 7.32% | 2.80% | -2.14% | 8.74% | 1.74% | 8.49% | -1.40% | 0.83% | 3.77% | 0.39% | 48.86% |
| 2018 | 4.03% | -8.98% | -1.16% | -2.20% | 4.43% | 1.07% | 3.04% | 5.15% | -1.97% | -12.48% | 3.36% | -6.22% | -12.96% |
| 2017 | 2.69% | 6.40% | -0.79% | 2.63% | 3.31% | 1.34% | 1.87% | 3.20% | 0.25% | 3.09% | 4.87% | 3.11% | 36.85% |
| 2016 | -1.10% | 2.71% | 7.57% | -0.52% | 2.65% | 7.36% | 6.72% | -1.25% | -1.97% | -7.19% | -3.73% | 2.47% | 13.31% |
| 2015 | 6.27% | -0.67% | -1.37% | -2.56% | -1.03% | -6.83% | 7.06% | -9.58% | -1.76% | 9.83% | -0.51% | -3.36% | -6.06% |
| 2014 | 0.75% | 6.06% | 1.54% | 2.65% | 5.69% | 2.42% | -1.46% | 9.86% | -4.11% | 5.33% | 6.67% | 2.40% | 44.00% |
Expense Ratio
Stocks/Bonds 40/60 Leveraged Portfolio has an expense ratio of 0.65%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Stocks/Bonds 40/60 Leveraged Portfolio is 12, meaning it’s performing worse than 88% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | -0.39 | -0.31 | 0.96 | -0.19 | -0.71 |
TLT iShares 20+ Year Treasury Bond ETF | 0.01 | 0.09 | 1.01 | -0.00 | -0.01 |
UPRO ProShares UltraPro S&P 500 | 0.09 | 0.57 | 1.08 | 0.14 | 0.47 |
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Dividends
Dividend yield
Stocks/Bonds 40/60 Leveraged Portfolio provided a 3.11% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.11% | 2.95% | 2.21% | 1.60% | 0.65% | 1.09% | 1.26% | 1.60% | 1.06% | 1.09% | 1.18% | 1.15% |
| Portfolio components: | ||||||||||||
TMF Direxion Daily 20-Year Treasury Bull 3X | 4.37% | 4.29% | 2.82% | 1.62% | 0.13% | 2.23% | 0.94% | 1.49% | 0.41% | 0.00% | 0.00% | 0.00% |
TLT iShares 20+ Year Treasury Bond ETF | 4.35% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% |
UPRO ProShares UltraPro S&P 500 | 1.25% | 0.93% | 0.74% | 0.52% | 0.06% | 0.11% | 0.41% | 0.63% | 0.00% | 0.12% | 0.34% | 0.22% |
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 56.30%, occurring on Oct 27, 2023. The portfolio has not yet recovered.
The current Stocks/Bonds 40/60 Leveraged Portfolio drawdown is 35.05%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -56.3% | Dec 28, 2021 | 462 | Oct 27, 2023 | — | — | — |
| -36.73% | Feb 21, 2020 | 19 | Mar 18, 2020 | 56 | Jun 8, 2020 | 75 |
| -23.21% | Jan 29, 2018 | 229 | Dec 24, 2018 | 89 | May 3, 2019 | 318 |
| -19.02% | Mar 23, 2015 | 132 | Sep 28, 2015 | 172 | Jun 3, 2016 | 304 |
| -14.87% | Sep 3, 2020 | 41 | Oct 30, 2020 | 42 | Dec 31, 2020 | 83 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 3 assets, with an effective number of assets of 2.78, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | TLT | TMF | UPRO | Portfolio | |
|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.27 | -0.27 | 1.00 | 0.70 |
| TLT | -0.27 | 1.00 | 1.00 | -0.27 | 0.40 |
| TMF | -0.27 | 1.00 | 1.00 | -0.27 | 0.40 |
| UPRO | 1.00 | -0.27 | -0.27 | 1.00 | 0.71 |
| Portfolio | 0.70 | 0.40 | 0.40 | 0.71 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a blend of equity and bond exposures, but it shows signs of concentration in its bond holdings. The correlation matrix reveals that UPRO, a leveraged equity ETF, has a strong positive correlation of 0.71 with the overall portfolio, indicating that equity exposure significantly influences portfolio movements. The bond ETFs TLT and TMF are perfectly correlated with each other (correlation of 1.0), suggesting they move almost identically and thus do not add diversification benefits relative to each other. Both TLT and TMF have a moderate positive correlation of 0.4 with the portfolio, reflecting their meaningful but less dominant role compared to UPRO.
The negative correlation of approximately -0.27 between UPRO and the bond ETFs (TLT and TMF) is beneficial for diversification, as it implies that bonds provide some hedge against equity volatility. However, the perfect correlation between TLT and TMF indicates redundancy in the bond allocation, which could reduce the effectiveness of diversification within the fixed income portion.
Given the strong correlation between UPRO and the portfolio and the perfect correlation between the two bond positions, the portfolio is somewhat concentrated in these two asset classes without much internal diversification within bonds. While the mix of equities and bonds provides a classic diversification framework, the leveraged nature of UPRO and the overlapping bond holdings suggest the portfolio’s risk profile might be more concentrated than a more varied set of bond instruments or equity sectors would provide. Overall, the portfolio benefits from the negative equity-bond correlation but could improve diversification by reducing redundancy in bond holdings or adding other uncorrelated assets.