Leveraged ETFs
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Leveraged ETFs, 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 Mar 11, 2010, corresponding to the inception date of SOXL
Returns By Period
As of Sep 21, 2024, the Leveraged ETFs returned 34.10% Year-To-Date and 29.67% of annualized return in the last 10 years.
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
Leveraged ETFs | 34.10% | 3.32% | 10.82% | 78.25% | 31.69% | 29.42% |
Portfolio components: | ||||||
ProShares UltraPro S&P 500 | 54.21% | 5.85% | 20.36% | 100.71% | 25.14% | 24.06% |
ProShares UltraPro QQQ | 39.35% | 2.56% | 12.40% | 99.19% | 35.51% | 34.63% |
Direxion Daily Semiconductor Bull 3x Shares | 7.24% | -10.56% | -27.54% | 89.17% | 23.81% | 33.93% |
ProShares UltraPro Dow30 | 28.27% | 9.36% | 14.23% | 70.17% | 13.25% | 20.27% |
iShares Gold Trust | 26.88% | 5.63% | 20.99% | 35.82% | 11.28% | 7.77% |
Monthly Returns
The table below presents the monthly returns of Leveraged ETFs, 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 | 1.60% | 12.29% | 6.86% | -8.84% | 11.69% | 8.65% | -2.11% | 0.29% | 34.10% | ||||
2023 | 21.99% | -4.59% | 17.13% | -2.32% | 11.07% | 11.36% | 8.11% | -6.59% | -12.29% | -4.78% | 23.33% | 14.79% | 96.66% |
2022 | -16.05% | -4.37% | 3.57% | -22.07% | -2.27% | -18.17% | 23.52% | -14.58% | -22.11% | 8.96% | 18.59% | -15.57% | -53.54% |
2021 | -1.06% | 2.51% | 3.96% | 8.23% | 2.69% | 6.09% | 4.24% | 5.76% | -11.15% | 14.67% | 6.18% | 5.82% | 56.94% |
2020 | 1.24% | -13.06% | -27.83% | 28.75% | 12.51% | 10.42% | 16.20% | 17.93% | -10.49% | -5.63% | 26.05% | 11.72% | 65.62% |
2019 | 18.07% | 8.28% | 4.82% | 12.76% | -19.36% | 19.67% | 5.17% | -2.88% | 2.35% | 7.78% | 7.01% | 10.60% | 94.47% |
2018 | 16.67% | -6.13% | -7.32% | -4.03% | 10.55% | -2.98% | 5.87% | 7.17% | -1.22% | -16.43% | 1.36% | -12.52% | -13.22% |
2017 | 8.65% | 9.08% | 3.43% | 2.94% | 7.99% | -5.14% | 7.88% | 4.07% | 2.72% | 10.33% | 3.65% | 1.16% | 72.47% |
2016 | -11.02% | 3.65% | 12.46% | -2.76% | 5.50% | 0.27% | 14.88% | 2.88% | 3.89% | -4.08% | 4.56% | 3.77% | 36.32% |
2015 | -3.69% | 11.81% | -5.63% | 1.00% | 7.01% | -8.46% | -0.49% | -12.21% | -4.74% | 22.34% | 0.15% | -4.38% | -1.98% |
2014 | -4.18% | 12.70% | -0.51% | -1.11% | 5.89% | 8.93% | -3.89% | 10.18% | -4.05% | 1.55% | 9.31% | -1.93% | 35.55% |
2013 | 9.86% | 2.00% | 6.10% | 1.30% | 5.81% | -6.63% | 12.06% | -3.17% | 7.57% | 7.92% | 3.76% | 6.13% | 65.06% |
Expense Ratio
Leveraged ETFs features an expense ratio of 0.71%, 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 ETFs is 31, 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 | |
---|---|---|---|---|---|
ProShares UltraPro S&P 500 | 2.35 | 2.75 | 1.37 | 1.68 | 13.65 |
ProShares UltraPro QQQ | 1.66 | 2.10 | 1.28 | 1.36 | 7.48 |
Direxion Daily Semiconductor Bull 3x Shares | 0.83 | 1.60 | 1.21 | 1.03 | 3.34 |
ProShares UltraPro Dow30 | 1.94 | 2.45 | 1.32 | 1.42 | 9.74 |
iShares Gold Trust | 2.43 | 3.38 | 1.42 | 2.86 | 14.88 |
Dividends
Dividend yield
Leveraged ETFs granted a 0.52% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Leveraged ETFs | 0.52% | 0.60% | 0.48% | 0.04% | 0.04% | 0.21% | 0.41% | 0.03% | 0.90% | 0.07% | 0.08% | 0.04% |
Portfolio components: | ||||||||||||
ProShares UltraPro S&P 500 | 0.55% | 0.74% | 0.52% | 0.06% | 0.11% | 0.53% | 0.63% | 0.00% | 0.12% | 0.34% | 0.22% | 0.07% |
ProShares UltraPro QQQ | 1.03% | 1.26% | 0.57% | 0.00% | 0.00% | 0.06% | 0.11% | 0.00% | 0.00% | 0.01% | 0.03% | 0.00% |
Direxion Daily Semiconductor Bull 3x Shares | 0.74% | 0.51% | 1.07% | 0.04% | 0.05% | 0.38% | 1.30% | 0.09% | 4.84% | 0.00% | 0.00% | 0.00% |
ProShares UltraPro Dow30 | 0.62% | 0.95% | 0.83% | 0.26% | 0.19% | 0.61% | 0.73% | 0.13% | 0.67% | 0.21% | 0.46% | 0.35% |
iShares Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 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 ETFs. 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 ETFs was 60.83%, occurring on Oct 14, 2022. Recovery took 339 trading sessions.
The current Leveraged ETFs drawdown is 10.15%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-60.83% | Dec 28, 2021 | 202 | Oct 14, 2022 | 339 | Feb 22, 2024 | 541 |
-54.02% | Feb 20, 2020 | 22 | Mar 20, 2020 | 92 | Jul 31, 2020 | 114 |
-34.83% | Jan 29, 2018 | 229 | Dec 24, 2018 | 59 | Mar 21, 2019 | 288 |
-34.71% | May 2, 2011 | 108 | Oct 3, 2011 | 89 | Feb 9, 2012 | 197 |
-28.9% | May 28, 2015 | 63 | Aug 25, 2015 | 221 | Jul 12, 2016 | 284 |
Volatility
Volatility Chart
The current Leveraged ETFs volatility is 12.50%, 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
IAU | SOXL | UDOW | TQQQ | UPRO | |
---|---|---|---|---|---|
IAU | 1.00 | 0.02 | 0.02 | 0.03 | 0.04 |
SOXL | 0.02 | 1.00 | 0.67 | 0.83 | 0.78 |
UDOW | 0.02 | 0.67 | 1.00 | 0.76 | 0.93 |
TQQQ | 0.03 | 0.83 | 0.76 | 1.00 | 0.90 |
UPRO | 0.04 | 0.78 | 0.93 | 0.90 | 1.00 |