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LETFs
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TMF 45%UPRO 55%BondBondEquityEquity
PositionCategory/SectorWeight
TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged

45%

UPRO
ProShares UltraPro S&P 500
Leveraged Equities, Leveraged

55%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in LETFs, 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


500.00%1,000.00%1,500.00%2,000.00%NovemberDecember2024FebruaryMarchApril
1,840.35%
439.76%
LETFs
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 Apr 20, 2024, the LETFs returned -8.44% Year-To-Date and 13.05% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
LETFs-8.44%-15.39%38.25%2.02%4.47%12.95%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-29.09%-15.03%17.10%-44.26%-24.64%-10.13%
UPRO
ProShares UltraPro S&P 500
8.27%-15.50%52.53%52.73%17.35%22.09%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.76%5.07%5.97%
2023-18.04%-12.20%28.66%18.68%

Expense Ratio

The LETFs has a high expense ratio of 1.00%, 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%

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.


LETFs
Sharpe ratio
The chart of Sharpe ratio for LETFs, currently valued at 0.04, compared to the broader market-1.000.001.002.003.004.000.04
Sortino ratio
The chart of Sortino ratio for LETFs, currently valued at 0.29, compared to the broader market-2.000.002.004.006.000.29
Omega ratio
The chart of Omega ratio for LETFs, currently valued at 1.03, compared to the broader market0.801.001.201.401.601.801.03
Calmar ratio
The chart of Calmar ratio for LETFs, currently valued at 0.02, compared to the broader market0.002.004.006.008.000.02
Martin ratio
The chart of Martin ratio for LETFs, currently valued at 0.10, compared to the broader market0.0010.0020.0030.0040.000.10
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.87-1.210.87-0.48-1.27
UPRO
ProShares UltraPro S&P 500
1.442.041.240.955.36

Sharpe Ratio

The current LETFs Sharpe ratio is 0.04. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.04

The Sharpe ratio of LETFs 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-0.500.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.04
1.66
LETFs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

LETFs granted a 2.19% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
LETFs2.19%1.67%1.02%0.09%0.27%0.72%1.02%0.18%0.06%0.19%0.12%0.30%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.94%2.82%1.62%0.13%0.48%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
UPRO
ProShares UltraPro S&P 500
0.75%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.


-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2024FebruaryMarchApril
-58.45%
-5.46%
LETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the LETFs. 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 LETFs was 70.84%, occurring on Oct 27, 2023. The portfolio has not yet recovered.

The current LETFs drawdown is 58.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-70.84%Dec 28, 2021462Oct 27, 2023
-44.34%Mar 9, 20208Mar 18, 202053Jun 3, 202061
-26.74%Jan 29, 2018229Dec 24, 201859Mar 21, 2019288
-23.14%Feb 3, 2015165Sep 28, 2015136Apr 13, 2016301
-21.73%Sep 3, 202041Oct 30, 202057Jan 25, 202198

Volatility

Volatility Chart

The current LETFs volatility is 7.85%, 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.


0.00%5.00%10.00%15.00%NovemberDecember2024FebruaryMarchApril
7.85%
3.15%
LETFs
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

TMFUPRO
TMF1.00-0.30
UPRO-0.301.00