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2x performance etfs
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

2x performance etfs

Last updated Nov 9, 2024

Asset Allocation

YCS 11.11%FBGX 11.11%IWFL 11.11%LQQ.PA 11.11%QLD 11.11%QULL 11.11%ROM 11.11%SPUU 11.11%SSO 11.11%CurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
FBGX
UBS AG FI Enhanced Large Cap Growth ETN		Leveraged Equities, Leveraged
11.11%
IWFL
ETRACS 2x Leveraged US Growth Factor TR ETN		Leveraged Equities, Leveraged
11.11%
LQQ.PA
Lyxor UCITS NASDAQ-100 Daily Leverage		Leveraged Equities
11.11%
QLD
ProShares Ultra QQQ		Leveraged Equities, Leveraged
11.11%
QULL
ETRACS 2x Leveraged MSCI US Quality Factor TR ETN		Leveraged Equities, Leveraged
11.11%
ROM
ProShares Ultra Technology		Leveraged Equities, Leveraged
11.11%
SPUU
Direxion Daily S&P 500 Bull 2x Shares		Leveraged Equities, Leveraged
11.11%
SSO
ProShares Ultra S&P 500		Leveraged Equities, Leveraged
11.11%
YCS
ProShares UltraShort Yen		Leveraged Currency, Leveraged
11.11%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2x performance 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

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
23.30%
14.93%
2x performance etfs
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.82%3.20%14.94%35.92%14.22%11.43%
2x performance etfs45.25%5.33%23.30%63.15%N/AN/A
Portfolio components:
FBGX
UBS AG FI Enhanced Large Cap Growth ETN		35.73%0.00%13.30%54.20%N/AN/A
IWFL
ETRACS 2x Leveraged US Growth Factor TR ETN		60.41%8.94%33.90%83.17%N/AN/A
LQQ.PA
Lyxor UCITS NASDAQ-100 Daily Leverage		47.30%7.88%28.78%73.29%33.07%30.99%
QLD
ProShares Ultra QQQ		45.67%7.68%28.42%69.66%32.57%29.61%
QULL
ETRACS 2x Leveraged MSCI US Quality Factor TR ETN		48.20%2.55%24.40%68.05%N/AN/A
ROM
ProShares Ultra Technology		36.59%3.59%23.09%56.23%32.56%31.63%
SPUU
Direxion Daily S&P 500 Bull 2x Shares		51.06%6.05%28.64%75.51%24.00%21.05%
SSO
ProShares Ultra S&P 500		50.41%6.07%28.26%74.66%23.51%20.62%
YCS
ProShares UltraShort Yen		27.99%5.10%-0.01%12.52%18.20%7.79%

Monthly Returns

The table below presents the monthly returns of 2x performance etfs, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.50%9.78%3.49%-6.92%9.11%10.37%-3.62%1.71%2.90%-0.28%45.25%
202314.79%-1.63%11.80%1.82%8.15%11.87%5.20%-2.10%-8.98%-3.15%18.00%7.22%78.66%
2022-13.60%-7.36%8.62%-18.11%-3.68%-13.97%19.19%-7.74%-16.58%9.90%6.53%-13.44%-45.16%
2021-5.85%5.27%10.10%-0.88%9.40%4.87%6.68%-9.60%14.49%1.21%4.66%45.13%

Expense Ratio

2x performance etfs features an expense ratio of 0.91%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

FBGX
UBS AG FI Enhanced Large Cap Growth ETN
Expense ratio chart for FBGX: current value at 1.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.29%
YCS
ProShares UltraShort Yen
Expense ratio chart for YCS: current value at 1.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.00%
IWFL
ETRACS 2x Leveraged US Growth Factor TR ETN
Expense ratio chart for IWFL: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
QLD
ProShares Ultra QQQ
Expense ratio chart for QLD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
QULL
ETRACS 2x Leveraged MSCI US Quality Factor TR ETN
Expense ratio chart for QULL: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
ROM
ProShares Ultra Technology
Expense ratio chart for ROM: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
SSO
ProShares Ultra S&P 500
Expense ratio chart for SSO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
SPUU
Direxion Daily S&P 500 Bull 2x Shares
Expense ratio chart for SPUU: current value at 0.64% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.64%
LQQ.PA
Lyxor UCITS NASDAQ-100 Daily Leverage
Expense ratio chart for LQQ.PA: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 2x performance etfs is 32, 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.

The Risk-Adjusted Performance Rank of 2x performance etfs is 3232
Combined Rank
The Sharpe Ratio Rank of 2x performance etfs is 3434Sharpe Ratio Rank
The Sortino Ratio Rank of 2x performance etfs is 2626Sortino Ratio Rank
The Omega Ratio Rank of 2x performance etfs is 3232Omega Ratio Rank
The Calmar Ratio Rank of 2x performance etfs is 4444Calmar Ratio Rank
The Martin Ratio Rank of 2x performance etfs is 2424Martin 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.

2x performance etfs
Sharpe ratio
The chart of Sharpe ratio for 2x performance etfs, currently valued at 2.27, compared to the broader market0.002.004.006.002.27
Sortino ratio
The chart of Sortino ratio for 2x performance etfs, currently valued at 2.84, compared to the broader market-2.000.002.004.006.002.84
Omega ratio
The chart of Omega ratio for 2x performance etfs, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.802.001.40
Calmar ratio
The chart of Calmar ratio for 2x performance etfs, currently valued at 2.80, compared to the broader market0.005.0010.0015.002.80
Martin ratio
The chart of Martin ratio for 2x performance etfs, currently valued at 10.17, compared to the broader market0.0010.0020.0030.0040.0050.0060.0010.17
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.08, compared to the broader market0.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.802.001.58
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.48, compared to the broader market0.005.0010.0015.004.48
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 20.05, compared to the broader market0.0010.0020.0030.0040.0050.0060.0020.05
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FBGX
UBS AG FI Enhanced Large Cap Growth ETN		2.263.311.551.6716.48
IWFL
ETRACS 2x Leveraged US Growth Factor TR ETN		1.902.401.352.6810.18
LQQ.PA
Lyxor UCITS NASDAQ-100 Daily Leverage		1.892.421.332.278.01
QLD
ProShares Ultra QQQ		1.732.221.302.227.37
QULL
ETRACS 2x Leveraged MSCI US Quality Factor TR ETN		2.443.101.413.4614.95
ROM
ProShares Ultra Technology		1.071.561.211.444.36
SPUU
Direxion Daily S&P 500 Bull 2x Shares		2.753.351.473.4716.66
SSO
ProShares Ultra S&P 500		2.693.281.463.3016.35
YCS
ProShares UltraShort Yen		0.771.121.160.751.83

Sharpe Ratio

The current 2x performance etfs Sharpe ratio is 2.35. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.17 to 3.06, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of 2x performance etfs with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.27
3.08
2x performance etfs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2x performance etfs provided a 0.20% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.20%0.15%0.19%0.36%0.92%0.29%0.73%0.83%1.08%0.23%0.08%0.05%
Portfolio components:
FBGX
UBS AG FI Enhanced Large Cap Growth 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%
IWFL
ETRACS 2x Leveraged US Growth 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%
LQQ.PA
Lyxor UCITS NASDAQ-100 Daily Leverage		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QLD
ProShares Ultra QQQ		0.26%0.33%0.31%0.00%0.00%0.13%0.06%0.02%0.90%0.11%0.19%0.13%
QULL
ETRACS 2x Leveraged MSCI US Quality 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%
ROM
ProShares Ultra Technology		0.16%0.01%0.00%0.00%0.05%0.16%0.30%0.08%0.20%0.12%0.24%0.03%
SPUU
Direxion Daily S&P 500 Bull 2x Shares		0.65%0.83%0.88%3.04%8.03%1.80%5.50%6.96%8.08%1.26%0.00%0.00%
SSO
ProShares Ultra S&P 500		0.68%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.51%0.63%0.32%0.26%
YCS
ProShares UltraShort Yen		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.

-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
2x performance etfs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2x performance 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 2x performance etfs was 47.85%, occurring on Oct 12, 2022. Recovery took 328 trading sessions.

The current 2x performance etfs drawdown is 0.09%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.85%Dec 28, 2021206Oct 12, 2022328Jan 19, 2024534
-19.79%Jul 11, 202418Aug 5, 202467Nov 6, 202485
-12.28%Feb 16, 202113Mar 4, 202121Apr 5, 202134
-12.08%Sep 7, 202120Oct 4, 202116Oct 26, 202136
-11.22%Mar 22, 202420Apr 19, 202418May 15, 202438

Volatility

Volatility Chart

The current 2x performance etfs volatility is 7.33%, 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%JuneJulyAugustSeptemberOctoberNovember
7.33%
3.89%
2x performance 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.
YCSLQQ.PAFBGXQULLROMSSOSPUUIWFLQLD
YCS1.00-0.07-0.04-0.03-0.03-0.03-0.02-0.02-0.04
LQQ.PA-0.071.000.620.600.630.590.600.650.65
FBGX-0.040.621.000.870.890.870.880.920.91
QULL-0.030.600.871.000.900.960.970.920.91
ROM-0.030.630.890.901.000.900.900.960.98
SSO-0.030.590.870.960.901.001.000.930.93
SPUU-0.020.600.880.970.901.001.000.930.93
IWFL-0.020.650.920.920.960.930.931.000.97
QLD-0.040.650.910.910.980.930.930.971.00
The correlation results are calculated based on daily price changes starting from Feb 8, 2021