leveraged 80/20
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
SSO ProShares Ultra S&P 500 | Leveraged Equities, Leveraged | 80% |
UST ProShares Ultra 7-10 Year Treasury | Leveraged Bonds, Leveraged | 20% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in leveraged 80/20, 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 Jan 22, 2010, corresponding to the inception date of UST
Returns By Period
As of Nov 13, 2024, the leveraged 80/20 returned 37.20% Year-To-Date and 17.18% 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 | 25.45% | 2.91% | 14.05% | 35.64% | 14.13% | 11.39% |
| leveraged 80/20 | 37.20% | 3.41% | 21.36% | 58.57% | 18.55% | 17.18% |
| Portfolio components: | ||||||
SSO ProShares Ultra S&P 500 | 49.45% | 5.39% | 26.36% | 73.91% | 23.28% | 20.53% |
UST ProShares Ultra 7-10 Year Treasury | -5.77% | -5.08% | 1.73% | 5.79% | -6.59% | -1.33% |
Monthly Returns
The table below presents the monthly returns of leveraged 80/20, 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 | 2.08% | 6.74% | 5.26% | -8.19% | 8.22% | 5.79% | 2.22% | 3.62% | 3.35% | -3.34% | 37.20% | ||
| 2023 | 11.04% | -5.85% | 6.65% | 2.27% | -0.39% | 9.51% | 4.54% | -3.64% | -9.22% | -4.86% | 16.23% | 8.47% | 36.44% |
| 2022 | -9.25% | -5.14% | 3.68% | -15.50% | -0.16% | -13.53% | 16.10% | -8.65% | -16.75% | 11.96% | 9.50% | -10.38% | -36.83% |
| 2021 | -2.28% | 3.30% | 6.40% | 8.93% | 1.00% | 3.92% | 4.61% | 4.39% | -8.17% | 11.21% | -1.01% | 6.85% | 44.83% |
| 2020 | 0.96% | -10.99% | -20.97% | 20.09% | 7.64% | 2.34% | 9.77% | 11.34% | -6.65% | -4.86% | 18.08% | 5.96% | 27.59% |
| 2019 | 12.81% | 4.90% | 3.66% | 5.94% | -9.34% | 11.52% | 1.99% | -1.76% | 2.30% | 3.22% | 5.39% | 4.29% | 52.77% |
| 2018 | 7.97% | -6.98% | -4.03% | -0.44% | 3.89% | 0.86% | 5.39% | 5.34% | 0.28% | -11.41% | 3.00% | -12.53% | -10.63% |
| 2017 | 2.82% | 6.51% | 0.02% | 1.89% | 2.32% | 0.61% | 3.27% | 0.78% | 2.45% | 3.57% | 4.57% | 2.02% | 35.38% |
| 2016 | -6.91% | 0.18% | 10.56% | 0.35% | 2.52% | 1.34% | 6.02% | -0.31% | -0.22% | -3.52% | 4.11% | 3.32% | 17.65% |
| 2015 | -3.14% | 7.68% | -2.45% | 1.21% | 1.66% | -3.93% | 3.94% | -10.00% | -3.51% | 13.77% | 0.35% | -3.24% | 0.27% |
| 2014 | -4.62% | 7.21% | 1.00% | 1.29% | 4.21% | 3.22% | -2.42% | 7.03% | -2.80% | 4.10% | 4.93% | -0.63% | 24.00% |
| 2013 | 7.79% | 2.16% | 6.18% | 3.68% | 2.46% | -3.48% | 8.17% | -5.50% | 5.94% | 7.55% | 4.33% | 3.40% | 50.64% |
Expense Ratio
leveraged 80/20 features an expense ratio of 0.91%, falling within the medium range. 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 leveraged 80/20 is 59, 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 | |
|---|---|---|---|---|---|
SSO ProShares Ultra S&P 500 | 3.02 | 3.61 | 1.50 | 3.06 | 18.60 |
UST ProShares Ultra 7-10 Year Treasury | 0.38 | 0.64 | 1.07 | 0.12 | 0.94 |
Dividends
Dividend yield
leveraged 80/20 provided a 1.26% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.26% | 0.84% | 0.49% | 0.19% | 0.27% | 0.68% | 0.94% | 0.48% | 0.53% | 0.65% | 1.24% | 0.21% |
| Portfolio components: | ||||||||||||
SSO ProShares Ultra S&P 500 | 0.68% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.51% | 0.63% | 0.32% | 0.26% |
UST ProShares Ultra 7-10 Year Treasury | 3.57% | 3.49% | 0.47% | 0.27% | 0.53% | 1.42% | 1.71% | 0.84% | 0.64% | 0.75% | 4.91% | 0.00% |
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 leveraged 80/20. 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 leveraged 80/20 was 45.48%, occurring on Mar 23, 2020. Recovery took 103 trading sessions.
The current leveraged 80/20 drawdown is 0.79%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -45.48% | Feb 20, 2020 | 23 | Mar 23, 2020 | 103 | Aug 18, 2020 | 126 |
| -43.58% | Dec 28, 2021 | 200 | Oct 12, 2022 | 417 | Jun 11, 2024 | 617 |
| -28.2% | Sep 21, 2018 | 65 | Dec 24, 2018 | 71 | Apr 8, 2019 | 136 |
| -25.32% | Jul 8, 2011 | 61 | Oct 3, 2011 | 83 | Feb 1, 2012 | 144 |
| -21.82% | Apr 26, 2010 | 49 | Jul 2, 2010 | 71 | Oct 13, 2010 | 120 |
Volatility
Volatility Chart
The current leveraged 80/20 volatility is 6.20%, 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
| SSO | UST | |
|---|---|---|
| SSO | 1.00 | -0.27 |
| UST | -0.27 | 1.00 |