Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

The optimization is based on the monthly return statistics of the selected portfolio assets for the given time period. The optimization result does not predict what allocation would perform best outside the given time period, and the actual performance of portfolios constructed using the optimized asset weights may vary from the given performance goal.

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional. You can also use the Black-Litterman model based portfolio optimization, which allows the benchmark portfolio asset weights to be optimized based on investor's views.

%
%
%
%
Browse…
1
%
%
%
%
%
2
%
%
%
%
%
3
%
%
%
%
%
4
%
%
%
%
%
5
%
%
%
%
%
6
%
%
%
%
%
7
%
%
%
%
%
8
%
%
%
%
%
9
%
%
%
%
%
10
%
%
%
%
%
Total
%

Asset Groups
Min. Weight
Max. Weight
A
%
%
B
%
%
C
%
%
D
%
%
E
%
%
F
%
%

Portfolio Optimization Results (Mar 2010 - Dec 2020)

Portfolio optimization results with goal to maximize return subject to 22.25% targeted annual volatility. The possible range of expected annual portfolio returns for the given period is 33.58% to 73.16%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Return at 22.25% Volatility
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 40.09%
TQQQ ProShares UltraPro QQQ 7.53%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 52.38%
Save portfolio »
Maximum Sharpe Ratio Weights
Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 52.35%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 47.65%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Return at 22.25% VolatilityMaximum Sharpe Ratio Weights
Start Balance$10,000$10,000
End Balance$212,084$493,695
CAGR32.57%43.32%
Expected Return 35.72% 48.06%
Stdev22.18%26.33%
Best Year76.65%98.80%
Worst Year-13.35%-10.27%
Max. Drawdown -20.03% -26.10%
Sharpe Ratio (ex-ante)1.591.80
Sharpe Ratio (ex-post)1.371.49
Sortino Ratio2.593.05
US Stock Market Correlation0.530.62
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Maximum Return at 22.25% Volatility12.23%52.27%32.59%31.93%31.26%32.57%29.36%25.07%
Maximum Sharpe Ratio Weights15.01%98.80%51.36%45.06%41.44%43.32%34.24%29.84%
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2010 are based on full calendar months from March to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetCAGRExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1ProShares UltraPro S&P500 (UPRO)31.52%45.19%44.23%1.0090.00%100.00%
2ProShares UltraPro QQQ (TQQQ)52.68%73.17%51.82%1.4010.00%100.00%
3Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)15.79%24.36%39.42%0.6040.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (0.56% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerUPROTQQQTMF
ProShares UltraPro S&P500UPRO1.000.93-0.45
ProShares UltraPro QQQTQQQ0.931.00-0.39
Direxion Daily 20+ Yr Trsy Bull 3X ETFTMF-0.45-0.391.00
Based on monthly returns from Mar 2010 to Dec 2020
Efficient Frontier Assets
#UPROTQQQTMFExpected Return*Standard Deviation*Sharpe Ratio*
146.04%0.00%53.96%33.58%21.83%1.513
247.08%0.31%52.61%33.94%21.86%1.527
345.68%1.76%52.56%34.29%21.92%1.539
444.28%3.20%52.52%34.65%21.98%1.551
542.88%4.64%52.47%35.01%22.04%1.563
641.48%6.09%52.43%35.36%22.11%1.574
740.09%7.53%52.38%35.72%22.18%1.586
838.69%8.97%52.34%36.08%22.25%1.597
937.29%10.42%52.29%36.44%22.33%1.607
1035.89%11.86%52.25%36.80%22.41%1.617
1134.49%13.30%52.20%37.17%22.49%1.628
1233.09%14.75%52.16%37.53%22.58%1.637
1331.70%16.19%52.11%37.89%22.67%1.647
1430.30%17.63%52.07%38.26%22.77%1.656
1528.90%19.08%52.02%38.62%22.86%1.665
1627.50%20.52%51.98%38.99%22.97%1.674
1726.10%21.96%51.93%39.36%23.07%1.682
1824.70%23.41%51.89%39.73%23.18%1.690
1923.31%24.85%51.84%40.10%23.29%1.698
2021.91%26.29%51.80%40.47%23.40%1.706
2120.51%27.74%51.75%40.84%23.52%1.713
2219.11%29.18%51.71%41.21%23.63%1.720
2317.71%30.62%51.66%41.58%23.76%1.727
2416.31%32.07%51.62%41.96%23.88%1.734
2514.92%33.51%51.57%42.33%24.01%1.740
2613.52%34.95%51.53%42.71%24.14%1.746
2712.12%36.40%51.48%43.08%24.27%1.752
2810.72%37.84%51.44%43.46%24.41%1.758
299.32%39.28%51.39%43.84%24.55%1.763
307.92%40.73%51.35%44.22%24.69%1.769
316.53%42.17%51.30%44.60%24.83%1.774
325.13%43.61%51.26%44.98%24.98%1.779
333.73%45.06%51.21%45.36%25.13%1.783
342.33%46.50%51.17%45.75%25.28%1.788
350.93%47.94%51.12%46.13%25.43%1.792
360.00%49.17%50.83%46.51%25.59%1.796
370.00%49.96%50.04%46.90%25.75%1.799
380.00%50.76%49.24%47.29%25.93%1.802
390.00%51.55%48.45%47.67%26.13%1.803
400.00%52.35%47.65%48.06%26.33%1.804
410.00%53.14%46.86%48.45%26.55%1.804
420.00%53.94%46.06%48.84%26.78%1.803
430.00%54.73%45.27%49.23%27.02%1.801
440.00%55.52%44.48%49.63%27.27%1.799
450.00%56.32%43.68%50.02%27.54%1.796
460.00%57.11%42.89%50.41%27.81%1.793
470.00%57.91%42.09%50.81%28.10%1.789
480.00%58.70%41.30%51.21%28.39%1.784
490.00%59.49%40.51%51.60%28.70%1.779
500.00%60.29%39.71%52.00%29.01%1.773
510.00%61.08%38.92%52.40%29.33%1.767
520.00%61.88%38.12%52.80%29.67%1.761
530.00%62.67%37.33%53.20%30.01%1.754
540.00%63.47%36.53%53.60%30.36%1.747
550.00%64.26%35.74%54.01%30.71%1.740
560.00%65.05%34.95%54.41%31.08%1.733
570.00%65.85%34.15%54.81%31.45%1.725
580.00%66.64%33.36%55.22%31.83%1.717
590.00%67.44%32.56%55.63%32.22%1.709
600.00%68.23%31.77%56.03%32.61%1.701
610.00%69.03%30.97%56.44%33.01%1.693
620.00%69.82%30.18%56.85%33.41%1.685
630.00%70.61%29.39%57.26%33.83%1.676
640.00%71.41%28.59%57.67%34.24%1.668
650.00%72.20%27.80%58.09%34.67%1.660
660.00%73.00%27.00%58.50%35.10%1.651
670.00%73.79%26.21%58.92%35.53%1.643
680.00%74.58%25.42%59.33%35.97%1.634
690.00%75.38%24.62%59.75%36.41%1.626
700.00%76.17%23.83%60.17%36.86%1.617
710.00%76.97%23.03%60.58%37.31%1.609
720.00%77.76%22.24%61.00%37.77%1.600
730.00%78.56%21.44%61.42%38.23%1.592
740.00%79.35%20.65%61.85%38.69%1.584
750.00%80.14%19.86%62.27%39.16%1.576
760.00%80.94%19.06%62.69%39.64%1.568
770.00%81.73%18.27%63.12%40.11%1.560
780.00%82.53%17.47%63.54%40.59%1.552
790.00%83.32%16.68%63.97%41.07%1.544
800.00%84.12%15.88%64.40%41.56%1.536
810.00%84.91%15.09%64.83%42.05%1.528
820.00%85.70%14.30%65.25%42.54%1.521
830.00%86.50%13.50%65.69%43.04%1.513
840.00%87.29%12.71%66.12%43.53%1.506
850.00%88.09%11.91%66.55%44.04%1.499
860.00%88.88%11.12%66.98%44.54%1.491
870.00%89.68%10.32%67.42%45.04%1.484
880.00%90.47%9.53%67.85%45.55%1.477
890.00%91.26%8.74%68.29%46.06%1.470
900.00%92.06%7.94%68.73%46.58%1.464
910.00%92.85%7.15%69.17%47.09%1.457
920.00%93.65%6.35%69.61%47.61%1.450
930.00%94.44%5.56%70.05%48.13%1.444
940.00%95.23%4.77%70.49%48.65%1.438
950.00%96.03%3.97%70.94%49.17%1.431
960.00%96.82%3.18%71.38%49.70%1.425
970.00%97.62%2.38%71.83%50.23%1.419
980.00%98.41%1.59%72.27%50.75%1.413
990.00%99.21%0.79%72.72%51.28%1.407
1000.00%100.00%0.00%73.17%51.82%1.401
*Ex-ante values shown for portfolio return and volatility. Ex ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate (0.56% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Return at 22.25% VolatilityMaximum Sharpe Ratio WeightsProShares UltraPro S&P500 (UPRO)ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
ReturnBalanceReturnBalance
20101.12%39.64%$13,96454.08%$15,40840.92%65.62%10.27%
20112.96%53.83%$21,48148.93%$22,946-11.88%-8.05%109.14%
20121.74%27.76%$27,44434.42%$30,84446.80%52.29%0.60%
20131.50%16.87%$32,07329.57%$39,963118.49%139.73%-39.01%
20140.76%70.74%$54,76278.15%$71,19338.00%57.09%97.34%
20150.73%-3.09%$53,0707.97%$76,871-5.24%17.23%-13.73%
20162.07%16.12%$61,62310.40%$84,86630.79%11.38%-2.52%
20172.11%47.66%$90,99167.75%$142,36471.37%118.06%22.73%
20181.91%-13.35%$78,844-10.27%$127,742-25.15%-19.80%-11.01%
20192.29%76.65%$139,27794.41%$248,343102.31%133.83%34.74%
20201.36%52.27%$212,08498.80%$493,69510.08%110.05%41.60%
Annual return for 2010 is from 03/01/2010 to 12/31/2010
Monthly returns for the configured portfolios
YearMonthMaximum Return at 22.25% Volatility ReturnMaximum Sharpe Ratio Weights ReturnProShares UltraPro S&P500 (UPRO)ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
201035.90%9.66%18.90%24.58%-6.73%
201047.31%7.94%4.08%6.09%9.96%
20105-2.74%-4.08%-24.15%-22.85%16.54%
201060.70%-1.91%-16.58%-18.88%16.73%
201078.09%9.55%21.17%21.80%-3.90%
201087.05%4.45%-13.46%-15.12%25.94%
201099.72%18.28%27.94%43.14%-9.02%
201010-1.05%3.77%11.44%19.55%-13.57%
201011-3.60%-3.62%-0.82%-1.43%-6.03%
2010123.59%2.21%21.36%14.81%-11.63%
20111-1.69%-0.29%6.56%8.01%-9.40%
201127.20%6.92%10.39%9.14%4.49%
20113-0.79%-1.49%-0.80%-2.35%-0.55%
201147.59%7.62%8.73%8.58%6.57%
201153.52%2.68%-3.93%-4.31%10.36%
20116-6.76%-7.19%-5.87%-7.01%-7.39%
201174.73%8.64%-6.39%4.43%13.28%
201184.40%2.80%-21.09%-19.54%27.34%
2011912.29%12.21%-20.69%-14.31%41.35%
2011108.70%10.38%32.61%31.54%-12.87%
2011110.45%-2.98%-3.35%-10.15%4.89%
2011125.66%3.03%2.30%-2.83%9.46%
201216.81%13.35%13.90%26.86%-1.50%
201222.66%6.75%13.24%20.14%-7.95%
20123-1.93%1.89%9.29%15.46%-13.02%
201246.25%4.60%-2.38%-4.30%14.37%
201256.65%3.07%-17.35%-20.45%28.90%
201262.31%2.37%11.47%9.79%-5.78%
201277.57%6.64%3.52%2.28%11.43%
201281.41%6.23%6.53%16.09%-4.61%
20129-0.95%-2.63%7.52%2.14%-7.87%
201210-4.68%-9.20%-5.96%-15.63%-2.13%
2012112.69%3.53%1.01%3.19%3.90%
201212-3.10%-4.73%2.82%-1.93%-7.80%
201311.73%-0.56%15.39%7.65%-9.58%
201323.25%1.92%3.56%0.59%3.39%
201334.16%3.73%11.03%8.74%-1.77%
2013410.17%10.42%5.45%6.94%14.25%
20135-6.76%-3.76%6.80%10.71%-19.65%
20136-8.11%-9.12%-5.23%-8.02%-10.33%
201374.21%7.01%16.41%20.14%-7.41%
20138-6.16%-3.02%-9.21%-1.69%-4.47%
201395.77%8.54%9.60%14.91%1.53%
2013108.78%9.66%13.76%14.70%4.12%
2013110.04%1.51%8.87%10.34%-8.19%
2013120.54%1.77%7.54%8.86%-6.01%
201415.43%5.95%-10.72%-6.36%19.47%
201427.49%8.84%13.65%15.40%1.63%
201431.15%-3.54%2.15%-8.37%1.76%
201443.63%1.77%1.65%-2.03%5.96%
201458.28%11.26%6.62%13.50%8.79%
201462.68%4.47%6.22%9.46%-1.00%
20147-0.71%2.36%-4.44%3.05%1.61%
2014813.51%14.97%11.95%15.47%14.42%
20149-5.47%-4.62%-4.44%-2.78%-6.65%
2014107.14%7.28%6.03%6.58%8.06%
2014119.18%11.81%8.34%14.30%9.08%
2014123.73%0.54%-1.54%-7.51%9.38%
2015111.92%11.14%-9.47%-6.95%31.01%
20152-0.64%3.39%17.48%22.74%-17.87%
20153-1.33%-2.68%-5.28%-7.46%2.57%
20154-3.97%-2.21%2.59%5.16%-10.30%
20155-2.29%-0.45%3.43%6.35%-7.91%
20156-9.61%-9.96%-6.21%-7.65%-12.49%
2015710.50%13.38%6.17%13.35%13.40%
20158-10.60%-12.45%-18.87%-21.28%-2.75%
20159-1.40%-1.83%-8.64%-8.13%5.10%
20151012.63%18.66%26.79%37.23%-1.73%
201511-1.00%-0.61%0.81%1.31%-2.71%
201512-4.12%-4.17%-6.06%-5.77%-2.41%
201611.54%-2.61%-15.38%-21.13%17.74%
201623.43%0.99%-1.68%-6.04%8.71%
201639.86%10.67%21.50%20.97%-0.64%
20164-1.65%-6.15%0.81%-9.56%-2.39%
201653.80%7.61%4.65%12.84%1.86%
2016610.45%6.02%-0.20%-7.83%21.23%
201679.34%14.68%11.13%22.52%6.07%
20168-1.61%-0.14%0.11%2.99%-3.58%
20169-2.28%0.76%-0.54%5.80%-4.78%
201610-9.58%-8.76%-5.62%-4.61%-13.32%
201611-8.01%-10.82%11.05%1.10%-23.91%
2016122.07%0.89%5.96%2.60%-0.99%
201714.03%8.96%5.14%15.76%1.49%
201728.09%9.11%11.91%13.39%4.41%
20173-0.89%1.83%-0.22%5.64%-2.35%
201744.04%6.34%2.77%8.07%4.43%
201755.05%8.45%3.70%11.43%5.17%
201761.04%-3.28%1.51%-8.07%1.98%
201772.02%5.42%5.87%12.56%-2.43%
201785.77%7.46%0.21%5.04%10.13%
20179-1.62%-4.02%5.69%-1.06%-7.29%
2017103.50%6.94%6.83%13.74%-0.53%
2017114.88%3.71%8.87%5.50%1.73%
2017124.11%3.02%3.45%1.18%5.04%
201814.27%9.85%18.22%27.70%-9.77%
20182-10.90%-7.79%-13.53%-6.16%-9.57%
20183-0.07%-3.00%-8.69%-13.42%8.44%
20184-3.60%-3.42%-0.14%-0.42%-6.71%
201856.63%11.41%6.46%17.00%5.27%
201861.46%1.85%1.29%2.18%1.49%
201872.41%1.72%10.73%7.56%-4.70%
201886.74%10.86%9.09%17.69%3.36%
20189-4.23%-5.02%1.20%-1.60%-8.77%
201810-15.11%-18.27%-20.78%-26.61%-9.11%
2018113.99%0.74%4.28%-2.91%4.76%
201812-3.15%-5.51%-26.25%-26.84%17.93%
2019111.82%14.29%23.89%26.92%0.41%
201922.00%2.33%9.28%8.57%-4.52%
2019311.68%13.88%4.85%11.05%17.00%
201942.55%5.59%11.81%16.64%-6.56%
201951.68%-2.51%-18.89%-24.01%21.11%
2019611.30%12.95%21.37%23.00%1.90%
201972.16%3.40%3.80%6.20%0.32%
2019815.15%12.65%-6.62%-7.79%35.11%
20199-2.49%-3.34%5.30%1.88%-9.07%
2019101.07%4.55%5.70%12.43%-4.11%
2019114.17%5.43%10.73%12.20%-2.01%
201912-1.05%1.17%8.38%11.37%-10.05%
2020112.72%15.63%-0.91%8.19%23.80%
20202-1.19%-0.77%-23.04%-17.77%17.91%
20203-15.93%-14.28%-48.13%-38.13%11.91%
2020419.80%25.60%37.17%46.45%2.68%
202053.37%6.67%13.38%18.63%-6.48%
202062.94%9.67%3.23%17.98%0.54%
2020715.65%17.91%17.70%22.25%13.13%
202083.68%11.31%22.05%35.17%-14.89%
20209-5.21%-8.86%-12.26%-18.88%2.15%
202010-9.60%-10.31%-8.48%-10.28%-10.35%
20201118.93%20.10%35.20%34.54%4.24%
2020124.38%6.77%11.14%15.05%-2.32%
Portfolio return and risk metrics
MetricMaximum Return at 22.25% VolatilityMaximum Sharpe Ratio Weights
Arithmetic Mean (monthly)2.58%3.32%
Arithmetic Mean (annualized)35.72%48.06%
Geometric Mean (monthly)2.38%3.04%
Geometric Mean (annualized)32.57%43.32%
Volatility (monthly)6.40%7.60%
Volatility (annualized)22.18%26.33%
Downside Deviation (monthly)3.37%3.70%
Max. Drawdown-20.03%-26.10%
US Market Correlation0.530.62
Beta(*)0.801.12
Alpha (annualized)19.41%23.77%
R227.88%38.73%
Sharpe Ratio1.371.49
Sortino Ratio2.593.05
Treynor Ratio (%)38.0735.22
Calmar Ratio1.741.97
Active Return18.35%29.10%
Tracking Error19.07%20.68%
Information Ratio0.961.41
Skewness-0.16-0.02
Excess Kurtosis0.490.13
Historical Value-at-Risk (5%)-8.92%-9.16%
Analytical Value-at-Risk (5%)-7.91%-9.13%
Conditional Value-at-Risk (5%)-11.62%-12.18%
Upside Capture Ratio (%)123.46177.44
Downside Capture Ratio (%)30.2556.81
Safe Withdrawal Rate34.15%41.83%
Perpetual Withdrawal Rate22.97%28.67%
Positive Periods87 out of 130 (66.92%)87 out of 130 (66.92%)
Gain/Loss Ratio1.381.48
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Maximum Return at 22.25% Volatility

Drawdowns for Maximum Return at 22.25% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Nov 20164 monthsJun 20177 months11 months-20.03%
2Feb 2015Sep 20158 monthsMay 20168 months1 year 4 months-19.01%
3Sep 2018Oct 20182 monthsMar 20195 months7 months-18.70%
4Feb 2020Mar 20202 monthsMay 20202 months4 months-16.93%
5May 2013Aug 20134 monthsJan 20145 months9 months-16.21%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-14.31%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-14.17%
8Jun 2011Jun 20111 monthAug 20112 months3 months-6.76%
9Sep 2012Dec 20124 monthsMar 20133 months7 months-6.05%
10Sep 2014Sep 20141 monthOct 20141 month2 months-5.47%
Worst 10 drawdowns included above

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsApr 20194 months8 months-26.10%
2Oct 2016Nov 20162 monthsApr 20175 months7 months-18.63%
3Sep 2020Oct 20202 monthsDec 20202 months4 months-18.26%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-16.87%
5Feb 2020Mar 20202 monthsApr 20201 month3 months-14.94%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-13.62%
7Sep 2012Jan 20135 monthsApr 20133 months8 months-13.29%
8May 2013Jun 20132 monthsOct 20134 months6 months-12.54%
9Jun 2011Jun 20111 monthJul 20111 month2 months-7.19%
10Apr 2016Apr 20161 monthMay 20161 month2 months-6.15%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50031.52%44.23%118.49%-25.15%-60.44%0.841.340.99
TQQQProShares UltraPro QQQ52.68%51.82%139.73%-19.80%-49.12%1.071.950.92
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF15.79%39.42%109.14%-39.01%-49.74%0.541.04-0.46

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTQQQTMFMaximum Return at 22.25% VolatilityMaximum Sharpe Ratio Weights
UPROProShares UltraPro S&P5001.000.93-0.450.540.64
TQQQProShares UltraPro QQQ0.931.00-0.390.560.75
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.45-0.391.000.500.31

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 22.25% VolatilityMaximum Sharpe Ratio Weights
UPROProShares UltraPro S&P50043.42%
TQQQProShares UltraPro QQQ9.81%77.61%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF46.78%22.39%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 22.25% VolatilityMaximum Sharpe Ratio Weights
AverageHighLowAverageHighLow
1 year32.63%81.38%-13.35%43.04%106.88%-10.27%
3 years27.41%42.77%11.55%35.70%53.66%18.45%
5 years26.73%43.52%16.76%34.94%52.25%25.13%
7 years27.13%32.56%20.41%35.65%46.51%27.18%
10 years30.53%31.94%28.44%40.18%43.47%36.39%