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Leveraged Value ETFs
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IWDL 33.33%UMDD 33.33%UDOW 33.33%EquityEquity
PositionCategory/SectorWeight
IWDL
ETRACS 2x Leveraged US Value Factor TR ETN
Leveraged Equities, Leveraged

33.33%

UDOW
ProShares UltraPro Dow30
Leveraged Equities, Leveraged

33.33%

UMDD
ProShares UltraPro MidCap400
Leveraged Equities, Leveraged

33.33%

S&P 500

Performance

Performance Chart

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


-20.00%-10.00%0.00%10.00%20.00%30.00%40.00%NovemberDecember2024FebruaryMarchApril
21.43%
27.80%
Leveraged Value ETFs
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 5, 2021, corresponding to the inception date of IWDL

Returns By Period


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%
Leveraged Value ETFs1.86%-11.32%42.60%23.90%N/AN/A
IWDL
ETRACS 2x Leveraged US Value Factor TR ETN
5.02%-6.62%30.84%17.38%N/AN/A
UMDD
ProShares UltraPro MidCap400
1.13%-15.72%53.39%24.77%0.74%9.12%
UDOW
ProShares UltraPro Dow30
-0.96%-11.79%43.15%27.99%8.02%18.77%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.31%9.48%10.26%
2023-11.95%-10.01%22.72%16.70%

Expense Ratio

The Leveraged Value ETFs has a high expense ratio of 0.95%, 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%0.95%
0.50%1.00%1.50%2.00%0.95%
0.50%1.00%1.50%2.00%0.95%

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.


Leveraged Value ETFs
Sharpe ratio
The chart of Sharpe ratio for Leveraged Value ETFs, currently valued at 0.71, compared to the broader market-1.000.001.002.003.004.000.71
Sortino ratio
The chart of Sortino ratio for Leveraged Value ETFs, currently valued at 1.19, compared to the broader market-2.000.002.004.006.001.19
Omega ratio
The chart of Omega ratio for Leveraged Value ETFs, currently valued at 1.14, compared to the broader market0.801.001.201.401.601.801.14
Calmar ratio
The chart of Calmar ratio for Leveraged Value ETFs, currently valued at 0.48, compared to the broader market0.002.004.006.008.000.48
Martin ratio
The chart of Martin ratio for Leveraged Value ETFs, currently valued at 2.16, compared to the broader market0.0010.0020.0030.0040.002.16
^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
IWDL
ETRACS 2x Leveraged US Value Factor TR ETN
0.711.141.130.472.00
UMDD
ProShares UltraPro MidCap400
0.481.001.110.361.52
UDOW
ProShares UltraPro Dow30
0.901.431.170.613.09

Sharpe Ratio

The current Leveraged Value ETFs Sharpe ratio is 0.71. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.71

The Sharpe ratio of Leveraged Value ETFs 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
0.71
1.66
Leveraged Value ETFs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Leveraged Value ETFs granted a 0.36% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Leveraged Value ETFs0.36%0.38%0.44%0.11%0.09%0.42%0.35%0.04%0.10%0.09%0.18%0.12%
IWDL
ETRACS 2x Leveraged US Value Factor TR 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%
UMDD
ProShares UltraPro MidCap400
0.21%0.19%0.49%0.06%0.08%0.64%0.32%0.00%0.03%0.06%0.08%0.00%
UDOW
ProShares UltraPro Dow30
0.87%0.95%0.83%0.26%0.19%0.61%0.73%0.13%0.26%0.21%0.46%0.35%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2024FebruaryMarchApril
-19.39%
-5.46%
Leveraged Value ETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Leveraged Value 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 Value ETFs was 51.77%, occurring on Sep 30, 2022. The portfolio has not yet recovered.

The current Leveraged Value ETFs drawdown is 19.39%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-51.77%Jan 5, 2022186Sep 30, 2022
-17.87%Nov 9, 202116Dec 1, 202123Jan 4, 202239
-12.45%May 10, 202129Jun 18, 202137Aug 11, 202166
-11.82%Sep 3, 202112Sep 21, 202121Oct 20, 202133
-9.88%Feb 25, 20216Mar 4, 20214Mar 10, 202110

Volatility

Volatility Chart

The current Leveraged Value ETFs volatility is 9.19%, 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2024FebruaryMarchApril
9.19%
3.15%
Leveraged Value ETFs
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.

UMDDUDOWIWDL
UMDD1.000.860.92
UDOW0.861.000.93
IWDL0.920.931.00