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…TEST FNGO & SPXL MODIFIED
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

…TEST FNGO & SPXL MODIFIED

Currency in USD · Last updated May 17, 2025

THIS IS MY CURRENT RETIREMENT PORTFOLIO

.>> INCOME+LEVERAGED GROWTH

TRACKS SPX WHILE PROVIDING 6%+ HI INCOME+LEVERAGED GROWTH

Note: For backtesting am using longer term history of ETV as substitute for actual JEPQ & JEPI components in current portfolio.

Asset Allocation

USD=X 15%ETV 70%SPXL 10%FNGO 5%CurrencyCurrencyEquityEquity
PositionCategory/SectorTarget Weight
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		Financial Services
70%
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN		Leveraged Equities, Leveraged
5%
SPXL
Direxion Daily S&P 500 Bull 3X Shares		Leveraged Equities, Leveraged
10%
USD=X
USD Cash
15%

Performance

Performance Chart

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The earliest data available for this chart is Aug 2, 2018, corresponding to the inception date of FNGO

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		1.30%12.94%1.49%12.48%15.82%10.87%
…TEST FNGO & SPXL MODIFIED-3.16%12.59%0.09%13.57%14.98%N/A
Portfolio components:
SPXL
Direxion Daily S&P 500 Bull 3X Shares		-7.08%41.54%-7.92%16.68%35.09%21.67%
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		-3.47%10.73%-0.32%12.28%9.36%7.93%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN		-0.38%47.36%16.15%48.35%44.77%N/A
*Annualized

Monthly Returns

The table below presents the monthly returns of …TEST FNGO & SPXL MODIFIED, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.50%-1.75%-7.13%-0.97%5.59%-3.16%
20241.72%6.01%1.38%-2.71%4.76%6.15%-0.26%1.35%2.32%0.01%6.88%0.09%30.87%
20238.81%-0.45%1.26%-0.86%2.71%7.22%4.67%-3.59%-6.52%-4.55%13.46%2.81%25.76%
2022-6.93%-1.65%2.51%-8.08%-0.77%-5.72%11.25%-2.03%-9.80%7.74%-2.86%-7.29%-23.04%
2021-1.95%2.57%3.49%4.72%1.12%3.06%1.91%2.29%-4.31%6.84%-1.60%4.40%24.35%
20201.27%-8.68%-12.34%12.81%4.10%3.49%3.71%9.86%-6.02%-3.27%11.33%7.51%22.16%
201911.92%1.74%1.79%4.25%-9.86%8.90%3.37%-4.99%1.71%3.06%2.56%3.17%29.22%
20182.74%0.30%-9.14%1.65%-9.10%-13.48%

Expense Ratio

…TEST FNGO & SPXL MODIFIED has an expense ratio of 0.15%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

SPXL
Direxion Daily S&P 500 Bull 3X Shares
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of …TEST FNGO & SPXL MODIFIED is 32, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of …TEST FNGO & SPXL MODIFIED is 3232
Overall Rank
The Sharpe Ratio Rank of …TEST FNGO & SPXL MODIFIED is 3232
Sharpe Ratio Rank
The Sortino Ratio Rank of …TEST FNGO & SPXL MODIFIED is 3131
Sortino Ratio Rank
The Omega Ratio Rank of …TEST FNGO & SPXL MODIFIED is 3737
Omega Ratio Rank
The Calmar Ratio Rank of …TEST FNGO & SPXL MODIFIED is 3333
Calmar Ratio Rank
The Martin Ratio Rank of …TEST FNGO & SPXL MODIFIED is 2929
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPXL
Direxion Daily S&P 500 Bull 3X Shares		0.280.841.130.381.22
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		0.611.081.170.672.66
USD=X
USD Cash		—————
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN		0.731.311.180.932.40

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

…TEST FNGO & SPXL MODIFIED Sharpe ratios as of May 17, 2025 (values are recalculated daily):

  • 1-Year: 0.62
  • 5-Year: 0.81
  • All Time: 0.51

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.56 to 1.05, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of …TEST FNGO & SPXL MODIFIED compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

…TEST FNGO & SPXL MODIFIED provided a 6.82% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio6.82%5.80%6.56%7.43%5.57%6.09%6.31%7.01%6.44%6.27%6.05%6.57%
Portfolio components:
SPXL
Direxion Daily S&P 500 Bull 3X Shares		0.86%0.74%0.98%0.32%0.11%0.22%0.84%1.02%3.88%0.00%0.00%0.00%
ETV
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		9.63%8.18%9.24%10.57%7.94%8.66%8.89%9.86%8.65%8.96%8.64%9.38%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FNGO
MicroSectors FANG+ Index 2X Leveraged ETN		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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the …TEST FNGO & SPXL MODIFIED. 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 …TEST FNGO & SPXL MODIFIED was 40.96%, occurring on Mar 23, 2020. Recovery took 105 trading sessions.

The current …TEST FNGO & SPXL MODIFIED drawdown is 6.28%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-40.96%Feb 20, 202023Mar 23, 2020105Aug 17, 2020128
-25.55%Dec 28, 2021262Dec 28, 2022289Feb 6, 2024551
-22.55%Oct 4, 201858Dec 24, 201881Apr 16, 2019139
-21.32%Feb 19, 202534Apr 7, 2025———
-12.22%Apr 24, 201929Jun 3, 201929Jul 12, 201958

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 4 assets, with an effective number of assets of 1.90, 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCUSD=XFNGOETVSPXLPortfolio
^GSPC1.000.000.770.721.000.87
USD=X0.000.000.000.000.000.00
FNGO0.770.001.000.610.760.79
ETV0.720.000.611.000.720.94
SPXL1.000.000.760.721.000.86
Portfolio0.870.000.790.940.861.00
The correlation results are calculated based on daily price changes starting from Aug 3, 2018