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Leveraged
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


EDV 30%IEF 10%UPRO 30%TQQQ 20%VT 10%BondBondEquityEquity
PositionCategory/SectorWeight
EDV
Vanguard Extended Duration Treasury ETF
Government Bonds

30%

IEF
iShares 7-10 Year Treasury Bond ETF
Government Bonds

10%

UPRO
ProShares UltraPro S&P 500
Leveraged Equities, Leveraged

30%

TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged

20%

VT
Vanguard Total World Stock ETF
Large Cap Growth Equities

10%

S&P 500

Performance

Performance Chart

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


-10.00%0.00%10.00%20.00%30.00%40.00%NovemberDecember2024FebruaryMarchApril
26.66%
15.73%
Leveraged
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 11, 2010, corresponding to the inception date of TQQQ

Returns By Period

As of Apr 16, 2024, the Leveraged returned 2.92% Year-To-Date and 19.50% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
Leveraged2.92%-3.62%26.66%30.73%16.56%19.50%
UPRO
ProShares UltraPro S&P 500
14.88%-4.35%45.24%61.31%19.58%23.11%
EDV
Vanguard Extended Duration Treasury ETF
-13.03%-5.66%6.73%-18.11%-6.16%-0.04%
TQQQ
ProShares UltraPro QQQ
10.40%-3.10%45.38%106.02%29.24%37.40%
IEF
iShares 7-10 Year Treasury Bond ETF
-4.08%-1.77%2.80%-4.33%-0.91%0.85%
VT
Vanguard Total World Stock ETF
4.02%-1.42%14.66%17.13%9.59%8.39%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.61%7.04%4.13%
2023-11.84%-6.85%20.59%11.96%

Expense Ratio

The Leveraged has a high expense ratio of 0.51%, 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%0.92%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.06%

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
Sharpe ratio
The chart of Sharpe ratio for Leveraged, currently valued at 1.22, compared to the broader market-1.000.001.002.003.004.005.001.22
Sortino ratio
The chart of Sortino ratio for Leveraged, currently valued at 1.80, compared to the broader market-2.000.002.004.006.001.80
Omega ratio
The chart of Omega ratio for Leveraged, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for Leveraged, currently valued at 0.66, compared to the broader market0.002.004.006.008.0010.000.66
Martin ratio
The chart of Martin ratio for Leveraged, currently valued at 3.57, compared to the broader market0.0010.0020.0030.0040.0050.003.57
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UPRO
ProShares UltraPro S&P 500
1.732.341.281.136.52
EDV
Vanguard Extended Duration Treasury ETF
-0.80-1.050.88-0.32-1.33
TQQQ
ProShares UltraPro QQQ
2.182.671.331.479.88
IEF
iShares 7-10 Year Treasury Bond ETF
-0.57-0.760.92-0.20-0.99
VT
Vanguard Total World Stock ETF
1.452.121.251.124.92

Sharpe Ratio

The current Leveraged Sharpe ratio is 1.22. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.22

The Sharpe ratio of Leveraged lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.22
1.89
Leveraged
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Leveraged granted a 2.28% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Leveraged2.28%2.04%1.67%0.87%1.97%1.66%1.56%1.27%2.05%1.81%1.46%1.91%
UPRO
ProShares UltraPro S&P 500
0.71%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%
EDV
Vanguard Extended Duration Treasury ETF
4.26%3.55%3.28%1.95%5.54%3.51%2.90%2.92%5.32%4.24%3.12%5.03%
TQQQ
ProShares UltraPro QQQ
1.26%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
IEF
iShares 7-10 Year Treasury Bond ETF
3.23%2.91%1.96%0.83%1.08%2.08%2.24%1.82%1.81%1.90%2.05%1.77%
VT
Vanguard Total World Stock ETF
2.14%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%

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
-22.06%
-3.66%
Leveraged
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Leveraged. 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 was 54.17%, occurring on Oct 14, 2022. The portfolio has not yet recovered.

The current Leveraged drawdown is 22.06%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-54.17%Dec 28, 2021202Oct 14, 2022
-39.22%Feb 20, 202020Mar 18, 202058Jun 10, 202078
-27.36%Aug 30, 201880Dec 24, 201859Mar 21, 2019139
-19.8%Sep 3, 202014Sep 23, 202060Dec 17, 202074
-18.45%Apr 27, 201585Aug 25, 201548Nov 2, 2015133

Volatility

Volatility Chart

The current Leveraged volatility is 6.43%, 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%NovemberDecember2024FebruaryMarchApril
6.43%
3.44%
Leveraged
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.

IEFEDVTQQQVTUPRO
IEF1.000.89-0.22-0.27-0.28
EDV0.891.00-0.23-0.29-0.30
TQQQ-0.22-0.231.000.840.90
VT-0.27-0.290.841.000.95
UPRO-0.28-0.300.900.951.00