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.

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Asset Groups
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Portfolio Optimization Results (Mar 2010 - Mar 2021) Save

Portfolio optimization results with goal to maximize kelly criterion. The possible range of expected annual portfolio returns for the given period is 18.61% to 46.60%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Kelly Criterion
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 85.61%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 14.39%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Kelly Criterion
Start Balance$10,000
End Balance$245,044
CAGR33.46%
Expected Return 41.98%
Stdev35.39%
Best Year97.23%
Worst Year-21.32%
Max. Drawdown -49.86%
Sharpe Ratio (ex-ante)1.17
Sharpe Ratio (ex-post)0.99
Sortino Ratio1.63
US Stock Market Correlation0.98
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Maximum Kelly Criterion8.41%8.41%160.45%30.68%32.84%31.17%33.46%48.19%39.20%
Trailing annualized return and volatility are for full months ending in March 2021 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
  • The annual results for 2021 are based on full calendar months from January to March
  • 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.
  • The results from the evolutionary algorithm for non-convex optimization may vary slightly between optimization runs depending on convergence to the global optimum.
Efficient Frontier Assets
#AssetCAGRExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1ProShares UltraPro S&P500 (UPRO)32.64%46.19%43.91%1.0400.00%100.00%
2ProShares UltraPro MidCap400 (UMDD)25.53%45.35%52.38%0.8550.00%100.00%
3ProShares UltraPro Russell2000 (URTY)22.07%46.60%58.84%0.7830.00%100.00%
4Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)10.65%19.12%39.88%0.4660.00%100.00%
5Direxion Daily 7-10 Yr Trs Bull 3X ETF (TYD)9.52%11.30%18.30%0.5880.00%100.00%
6ProShares Ultra Gold (UGL)1.46%6.83%32.39%0.1940.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (0.55% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerUPROUMDDURTYTMFTYDUGL
ProShares UltraPro S&P500UPRO1.000.940.90-0.45-0.470.03
ProShares UltraPro MidCap400UMDD0.941.000.97-0.46-0.460.04
ProShares UltraPro Russell2000URTY0.900.971.00-0.49-0.480.00
Direxion Daily 20+ Yr Trsy Bull 3X ETFTMF-0.45-0.46-0.491.000.860.25
Direxion Daily 7-10 Yr Trs Bull 3X ETFTYD-0.47-0.46-0.480.861.000.34
ProShares Ultra GoldUGL0.030.040.000.250.341.00
Based on monthly returns from Mar 2010 to Mar 2021
Efficient Frontier Assets
#UPROUMDDURTYTMFTYDUGLExpected Return*Standard Deviation*Sharpe Ratio*
120.71%0.00%2.41%0.00%76.74%0.14%18.61%12.94%1.397
221.97%0.00%1.92%0.00%76.11%0.00%18.87%12.94%1.416
323.28%0.00%1.40%0.00%75.32%0.00%19.13%12.96%1.434
424.60%0.00%0.88%0.00%74.53%0.00%19.38%12.99%1.450
525.91%0.00%0.36%0.00%73.74%0.00%19.64%13.04%1.465
627.06%0.00%0.00%0.00%72.94%0.00%19.90%13.09%1.478
727.84%0.00%0.00%0.00%72.16%0.00%20.16%13.16%1.490
828.63%0.00%0.00%0.00%71.37%0.00%20.42%13.25%1.500
929.42%0.00%0.00%0.00%70.58%0.00%20.68%13.34%1.509
1030.20%0.00%0.00%0.00%69.80%0.00%20.94%13.45%1.516
1130.99%0.00%0.00%0.00%69.01%0.00%21.20%13.58%1.521
1231.78%0.00%0.00%0.00%68.22%0.00%21.46%13.71%1.525
1332.52%0.00%0.00%0.17%67.30%0.00%21.72%13.86%1.528
1433.08%0.00%0.00%1.12%65.80%0.00%21.98%14.02%1.530
1533.63%0.00%0.00%2.07%64.30%0.00%22.25%14.17%1.531
1634.18%0.00%0.00%3.02%62.80%0.00%22.51%14.34%1.532
1734.73%0.00%0.00%3.97%61.29%0.00%22.78%14.50%1.533
1835.29%0.00%0.00%4.92%59.79%0.00%23.04%14.67%1.533
1935.84%0.00%0.00%5.87%58.29%0.00%23.31%14.84%1.533
2036.39%0.00%0.00%6.82%56.78%0.00%23.57%15.02%1.533
2136.94%0.00%0.00%7.77%55.28%0.00%23.84%15.20%1.532
2237.50%0.00%0.00%8.72%53.78%0.00%24.10%15.38%1.532
2338.05%0.00%0.00%9.67%52.28%0.00%24.37%15.57%1.531
2438.60%0.00%0.00%10.63%50.77%0.00%24.64%15.75%1.529
2539.15%0.00%0.00%11.58%49.27%0.00%24.91%15.94%1.528
2639.71%0.00%0.00%12.53%47.77%0.00%25.18%16.14%1.526
2740.26%0.00%0.00%13.48%46.26%0.00%25.44%16.33%1.525
2840.81%0.00%0.00%14.43%44.76%0.00%25.71%16.53%1.523
2941.36%0.00%0.00%15.38%43.26%0.00%25.99%16.73%1.521
3041.92%0.00%0.00%16.33%41.76%0.00%26.26%16.93%1.518
3142.47%0.00%0.00%17.28%40.25%0.00%26.53%17.14%1.516
3243.02%0.00%0.00%18.23%38.75%0.00%26.80%17.34%1.514
3343.58%0.00%0.00%19.18%37.25%0.00%27.07%17.55%1.511
3444.13%0.00%0.00%20.13%35.74%0.00%27.35%17.76%1.509
3544.68%0.00%0.00%21.08%34.24%0.00%27.62%17.98%1.506
3645.23%0.00%0.00%22.03%32.74%0.00%27.89%18.19%1.503
3745.79%0.00%0.00%22.98%31.24%0.00%28.17%18.41%1.501
3846.34%0.00%0.00%23.93%29.73%0.00%28.44%18.63%1.498
3946.89%0.00%0.00%24.88%28.23%0.00%28.72%18.85%1.495
4047.44%0.00%0.00%25.83%26.73%0.00%28.99%19.07%1.492
4148.00%0.00%0.00%26.78%25.23%0.00%29.27%19.29%1.489
4248.55%0.00%0.00%27.73%23.72%0.00%29.55%19.51%1.486
4349.10%0.00%0.00%28.68%22.22%0.00%29.83%19.74%1.483
4449.65%0.00%0.00%29.63%20.72%0.00%30.11%19.97%1.480
4550.21%0.00%0.00%30.58%19.21%0.00%30.38%20.19%1.478
4650.76%0.00%0.00%31.53%17.71%0.00%30.66%20.42%1.475
4751.31%0.00%0.00%32.48%16.21%0.00%30.94%20.66%1.472
4851.87%0.00%0.00%33.43%14.71%0.00%31.22%20.89%1.469
4952.42%0.00%0.00%34.38%13.20%0.00%31.51%21.12%1.466
5052.97%0.00%0.00%35.33%11.70%0.00%31.79%21.36%1.463
5153.52%0.00%0.00%36.28%10.20%0.00%32.07%21.59%1.460
5254.08%0.00%0.00%37.23%8.69%0.00%32.35%21.83%1.457
5354.63%0.00%0.00%38.18%7.19%0.00%32.64%22.07%1.454
5455.18%0.00%0.00%39.13%5.69%0.00%32.92%22.30%1.452
5555.73%0.00%0.00%40.08%4.19%0.00%33.21%22.54%1.449
5656.29%0.00%0.00%41.03%2.68%0.00%33.49%22.78%1.446
5756.84%0.00%0.00%41.98%1.18%0.00%33.78%23.02%1.443
5857.50%0.00%0.00%42.50%0.00%0.00%34.06%23.27%1.440
5958.54%0.00%0.00%41.46%0.00%0.00%34.35%23.53%1.437
6059.59%0.00%0.00%40.41%0.00%0.00%34.64%23.80%1.432
6160.63%0.00%0.00%39.37%0.00%0.00%34.92%24.10%1.426
6261.68%0.00%0.00%38.32%0.00%0.00%35.21%24.42%1.420
6362.72%0.00%0.00%37.28%0.00%0.00%35.50%24.75%1.412
6463.77%0.00%0.00%36.23%0.00%0.00%35.79%25.11%1.404
6564.81%0.00%0.00%35.19%0.00%0.00%36.08%25.48%1.395
6665.86%0.00%0.00%34.14%0.00%0.00%36.37%25.86%1.385
6766.90%0.00%0.00%33.10%0.00%0.00%36.66%26.26%1.375
6867.95%0.00%0.00%32.05%0.00%0.00%36.96%26.68%1.365
6968.99%0.00%0.00%31.01%0.00%0.00%37.25%27.11%1.354
7070.04%0.00%0.00%29.96%0.00%0.00%37.54%27.56%1.343
7171.08%0.00%0.00%28.92%0.00%0.00%37.83%28.01%1.331
7272.13%0.00%0.00%27.87%0.00%0.00%38.13%28.48%1.320
7373.17%0.00%0.00%26.83%0.00%0.00%38.42%28.96%1.308
7474.22%0.00%0.00%25.78%0.00%0.00%38.72%29.45%1.296
7575.26%0.00%0.00%24.74%0.00%0.00%39.01%29.95%1.284
7676.31%0.00%0.00%23.69%0.00%0.00%39.31%30.47%1.272
7777.35%0.00%0.00%22.65%0.00%0.00%39.61%30.99%1.261
7878.40%0.00%0.00%21.60%0.00%0.00%39.91%31.52%1.249
7979.44%0.00%0.00%20.56%0.00%0.00%40.20%32.06%1.237
8080.48%0.00%0.00%19.52%0.00%0.00%40.50%32.60%1.226
8181.53%0.00%0.00%18.47%0.00%0.00%40.80%33.16%1.214
8282.57%0.00%0.00%17.43%0.00%0.00%41.10%33.72%1.203
8383.62%0.00%0.00%16.38%0.00%0.00%41.40%34.29%1.191
8484.66%0.00%0.00%15.34%0.00%0.00%41.70%34.87%1.180
8585.71%0.00%0.00%14.29%0.00%0.00%42.01%35.45%1.170
8686.75%0.00%0.00%13.25%0.00%0.00%42.31%36.04%1.159
8787.80%0.00%0.00%12.20%0.00%0.00%42.61%36.63%1.148
8888.84%0.00%0.00%11.16%0.00%0.00%42.91%37.23%1.138
8989.89%0.00%0.00%10.11%0.00%0.00%43.22%37.83%1.128
9090.93%0.00%0.00%9.07%0.00%0.00%43.52%38.44%1.118
9191.98%0.00%0.00%8.02%0.00%0.00%43.83%39.06%1.108
9293.02%0.00%0.00%6.98%0.00%0.00%44.13%39.68%1.099
9394.07%0.00%0.00%5.93%0.00%0.00%44.44%40.30%1.089
9495.11%0.00%0.00%4.89%0.00%0.00%44.75%40.93%1.080
9596.16%0.00%0.00%3.84%0.00%0.00%45.06%41.56%1.071
9697.20%0.00%0.00%2.80%0.00%0.00%45.36%42.19%1.062
9798.25%0.00%0.00%1.75%0.00%0.00%45.67%42.83%1.054
9899.29%0.00%0.00%0.71%0.00%0.00%45.98%43.47%1.045
9975.60%0.00%24.40%0.00%0.00%0.00%46.29%46.50%0.984
1000.00%0.00%100.00%0.00%0.00%0.00%46.60%58.84%0.783
*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 (0.55% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Kelly Criterion ReturnMaximum Kelly Criterion BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
20101.12%43.38%$14,33840.92%10.27%
20112.96%5.45%$15,120-11.88%109.14%
20121.74%42.82%$21,59446.80%0.60%
20131.50%84.86%$39,919118.49%-39.01%
20140.76%46.43%$58,45238.00%97.34%
20150.73%-4.00%$56,115-5.24%-13.73%
20162.07%28.15%$71,91030.79%-2.52%
20172.11%63.83%$117,81071.37%22.73%
20181.91%-21.32%$92,698-25.15%-11.01%
20192.29%97.23%$182,827102.31%34.74%
20201.36%23.63%$226,03710.08%41.60%
20210.98%8.41%$245,04417.58%-37.24%
Annual return for 2010 is from 03/01/2010 to 12/31/2010 and annual return for 2021 is from 01/01/2021 to 03/31/2021
Monthly returns for the configured portfolios
YearMonthMaximum Kelly Criterion ReturnMaximum Kelly Criterion BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
2010315.21%$11,52118.90%-6.73%
201044.93%$12,0894.08%9.96%
20105-18.30%$9,877-24.15%16.54%
20106-11.79%$8,713-16.58%16.73%
2010717.57%$10,24421.17%-3.90%
20108-7.79%$9,446-13.46%25.94%
2010922.62%$11,58327.94%-9.02%
2010107.84%$12,49111.44%-13.57%
201011-1.57%$12,295-0.82%-6.03%
20101216.62%$14,33821.36%-11.63%
201114.27%$14,9496.56%-9.40%
201129.54%$16,37610.39%4.49%
20113-0.76%$16,251-0.80%-0.55%
201148.42%$17,6208.73%6.57%
20115-1.88%$17,289-3.93%10.36%
20116-6.09%$16,236-5.87%-7.39%
20117-3.56%$15,657-6.39%13.28%
20118-14.12%$13,447-21.09%27.34%
20119-11.76%$11,865-20.69%41.35%
20111026.06%$14,95732.61%-12.87%
201111-2.17%$14,633-3.35%4.89%
2011123.33%$15,1202.30%9.46%
2012111.68%$16,88613.90%-1.50%
2012210.19%$18,60713.24%-7.95%
201236.08%$19,7399.29%-13.02%
201240.03%$19,744-2.38%14.37%
20125-10.69%$17,633-17.35%28.90%
201268.99%$19,21811.47%-5.78%
201274.65%$20,1123.52%11.43%
201284.92%$21,1036.53%-4.61%
201295.30%$22,2227.52%-7.87%
201210-5.41%$21,019-5.96%-2.13%
2012111.43%$21,3191.01%3.90%
2012121.29%$21,5942.82%-7.80%
2013111.80%$24,14115.39%-9.58%
201323.54%$24,9963.56%3.39%
201339.19%$27,29311.03%-1.77%
201346.72%$29,1265.45%14.25%
201353.00%$29,9996.80%-19.65%
20136-5.96%$28,211-5.23%-10.33%
2013712.98%$31,87416.41%-7.41%
20138-8.53%$29,154-9.21%-4.47%
201398.44%$31,6149.60%1.53%
20131012.37%$35,52613.76%4.12%
2013116.42%$37,8068.87%-8.19%
2013125.59%$39,9197.54%-6.01%
20141-6.37%$37,375-10.72%19.47%
2014211.92%$41,83113.65%1.63%
201432.09%$42,7072.15%1.76%
201442.27%$43,6771.65%5.96%
201456.93%$46,7066.62%8.79%
201465.19%$49,1286.22%-1.00%
20147-3.57%$47,374-4.44%1.61%
2014812.31%$53,20511.95%14.42%
20149-4.75%$50,676-4.44%-6.65%
2014106.32%$53,8816.03%8.06%
2014118.45%$58,4338.34%9.08%
2014120.03%$58,452-1.54%9.38%
20151-3.65%$56,321-9.47%31.01%
2015212.40%$63,30317.48%-17.87%
20153-4.15%$60,676-5.28%2.57%
201540.74%$61,1232.59%-10.30%
201551.80%$62,2243.43%-7.91%
20156-7.11%$57,798-6.21%-12.49%
201577.21%$61,9686.17%13.40%
20158-16.55%$51,715-18.87%-2.75%
20159-6.66%$48,271-8.64%5.10%
20151022.68%$59,22126.79%-1.73%
2015110.31%$59,4030.81%-2.71%
201512-5.53%$56,115-6.06%-2.41%
20161-10.61%$50,160-15.38%17.74%
20162-0.19%$50,067-1.68%8.71%
2016318.31%$59,23521.50%-0.64%
201640.35%$59,4390.81%-2.39%
201654.25%$61,9674.65%1.86%
201662.88%$63,751-0.20%21.23%
2016710.40%$70,38411.13%6.07%
20168-0.42%$70,0870.11%-3.58%
20169-1.15%$69,283-0.54%-4.78%
201610-6.73%$64,621-5.62%-13.32%
2016116.02%$68,51111.05%-23.91%
2016124.96%$71,9105.96%-0.99%
201714.61%$75,2265.14%1.49%
2017210.83%$83,37311.91%4.41%
20173-0.52%$82,936-0.22%-2.35%
201743.01%$85,4322.77%4.43%
201753.91%$88,7733.70%5.17%
201761.58%$90,1771.51%1.98%
201774.68%$94,3955.87%-2.43%
201781.64%$95,9400.21%10.13%
201793.82%$99,6075.69%-7.29%
2017105.78%$105,3596.83%-0.53%
2017117.85%$113,6258.87%1.73%
2017123.68%$117,8103.45%5.04%
2018114.19%$134,52618.22%-9.77%
20182-12.96%$117,088-13.53%-9.57%
20183-6.22%$109,802-8.69%8.44%
20184-1.08%$108,612-0.14%-6.71%
201856.29%$115,4476.46%5.27%
201861.31%$116,9651.29%1.49%
201878.51%$126,91810.73%-4.70%
201888.27%$137,4119.09%3.36%
20189-0.24%$137,0861.20%-8.77%
201810-19.10%$110,903-20.78%-9.11%
2018114.35%$115,7224.28%4.76%
201812-19.90%$92,698-26.25%17.93%
2019120.51%$111,71423.89%0.41%
201927.30%$119,8659.28%-4.52%
201936.60%$127,7764.85%17.00%
201949.17%$139,48911.81%-6.56%
20195-13.14%$121,164-18.89%21.11%
2019618.57%$143,66421.37%1.90%
201973.30%$148,4103.80%0.32%
20198-0.61%$147,498-6.62%35.11%
201993.23%$152,2615.30%-9.07%
2019104.29%$158,7895.70%-4.11%
2019118.90%$172,92010.73%-2.01%
2019125.73%$182,8278.38%-10.05%
202012.64%$187,657-0.91%23.80%
20202-17.14%$155,486-23.04%17.91%
20203-39.49%$94,084-48.13%11.91%
2020432.21%$124,38637.17%2.68%
2020510.52%$137,47213.38%-6.48%
202062.85%$141,3873.23%0.54%
2020717.04%$165,47817.70%13.13%
2020816.73%$193,16422.05%-14.89%
20209-10.18%$173,492-12.26%2.15%
202010-8.75%$158,315-8.48%-10.35%
20201130.74%$206,98435.20%4.24%
2020129.20%$226,03711.14%-2.32%
20211-4.73%$215,335-3.71%-10.84%
202124.21%$224,4057.74%-16.79%
202139.20%$245,04413.33%-15.40%
Portfolio return and risk metrics
MetricMaximum Kelly Criterion
Arithmetic Mean (monthly)2.96%
Arithmetic Mean (annualized)41.98%
Geometric Mean (monthly)2.43%
Geometric Mean (annualized)33.46%
Volatility (monthly)10.22%
Volatility (annualized)35.39%
Downside Deviation (monthly)6.16%
Max. Drawdown-49.86%
US Market Correlation0.98
Beta(*)2.39
Alpha (annualized)0.49%
R296.31%
Sharpe Ratio0.99
Sortino Ratio1.63
Treynor Ratio (%)14.66
Calmar Ratio0.62
Active Return18.94%
Tracking Error21.31%
Information Ratio0.89
Skewness-0.39
Excess Kurtosis2.18
Historical Value-at-Risk (5%)-13.53%
Analytical Value-at-Risk (5%)-13.78%
Conditional Value-at-Risk (5%)-20.66%
Upside Capture Ratio (%)278.59
Downside Capture Ratio (%)227.03
Safe Withdrawal Rate33.02%
Perpetual Withdrawal Rate23.90%
Positive Periods90 out of 133 (67.67%)
Gain/Loss Ratio1.03
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Maximum Kelly Criterion

Drawdowns for Maximum Kelly Criterion (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsAug 20205 months7 months-49.86%
2May 2011Sep 20115 monthsFeb 20125 months10 months-32.66%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-32.54%
4May 2010Jun 20102 monthsOct 20104 months6 months-27.92%
5Mar 2015Sep 20157 monthsJun 20169 months1 year 4 months-23.75%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-19.26%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-18.04%
8May 2019May 20191 monthJun 20191 month2 months-13.14%
9May 2012May 20121 monthJul 20122 months3 months-10.69%
10Aug 2013Aug 20131 monthOct 20132 months3 months-8.53%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50032.64%43.91%118.49%-25.15%-60.44%0.871.380.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF10.65%39.88%109.14%-39.01%-50.20%0.430.78-0.46

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFMaximum Kelly Criterion
UPROProShares UltraPro S&P5001.00-0.450.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.451.00-0.31

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Kelly Criterion
UPROProShares UltraPro S&P500105.08%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-5.08%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year34.25%160.45%-26.37%
3 years32.33%62.25%4.29%
5 years31.11%46.00%9.17%
7 years31.99%41.85%19.34%
10 years30.49%35.23%23.37%