This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:
You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.
Market timing results from 2010 to 2019 are based on adaptive allocation model holding the top 2 best performing assets. The model uses a single performance window of 1 calendar month(s). Volatility based risk adjustments are done based on daily volatility over the past 20 trading days. Inverse volatility weights based on the volatility window are used to set approximated risk parity asset weights for each timing period. Timing model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for ProShares UltraPro S&P500 (UPRO) [Jul 2009 - Nov 2019].
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Timing Portfolio | $10,000 | $178,820 | 33.75% | 19.40% | 65.31% | -3.23% | -19.14% | 1.59 | 2.90 | 0.40 |
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Year | Inflation | Timing Portfolio Return | Timing Portfolio Balance | ProShares UltraPro S&P500 (UPRO) | Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) |
---|---|---|---|---|---|
2010 | 1.50% | 51.40% | $15,140 | 36.34% | 16.20% |
2011 | 2.96% | 65.31% | $25,028 | -11.88% | 109.14% |
2012 | 1.74% | 35.61% | $33,940 | 46.80% | 0.60% |
2013 | 1.50% | 18.85% | $40,336 | 118.49% | -39.01% |
2014 | 0.76% | 63.26% | $65,853 | 38.00% | 97.34% |
2015 | 0.73% | -3.23% | $63,724 | -5.24% | -13.73% |
2016 | 2.07% | 26.06% | $80,331 | 30.79% | -2.52% |
2017 | 2.11% | 48.64% | $119,402 | 71.37% | 22.73% |
2018 | 1.91% | -0.14% | $119,231 | -25.15% | -11.01% |
2019 | 2.43% | 49.98% | $178,820 | 86.67% | 49.79% |
Annual returns for 2019 are based on partial year data |
Year | Month | Timing Portfolio Return | Timing Portfolio Balance | ProShares UltraPro S&P500 (UPRO) | Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) |
---|---|---|---|---|---|
2010 | 1 | -3.35% | $9,665 | -11.19% | 7.34% |
2010 | 2 | 2.91% | $9,946 | 8.94% | -1.82% |
2010 | 3 | 4.47% | $10,391 | 18.90% | -6.73% |
2010 | 4 | 6.53% | $11,069 | 4.08% | 9.96% |
2010 | 5 | -2.17% | $10,829 | -24.15% | 16.54% |
2010 | 6 | 2.53% | $11,103 | -16.58% | 16.73% |
2010 | 7 | 6.36% | $11,810 | 21.17% | -3.90% |
2010 | 8 | 9.06% | $12,880 | -13.46% | 25.94% |
2010 | 9 | 11.57% | $14,370 | 27.94% | -9.02% |
2010 | 10 | 1.23% | $14,547 | 11.44% | -13.57% |
2010 | 11 | -2.97% | $14,115 | -0.82% | -6.03% |
2010 | 12 | 7.26% | $15,140 | 21.36% | -11.63% |
2011 | 1 | 3.46% | $15,664 | 6.56% | -9.40% |
2011 | 2 | 7.85% | $16,893 | 10.39% | 4.49% |
2011 | 3 | -0.68% | $16,779 | -0.80% | -0.55% |
2011 | 4 | 7.55% | $18,045 | 8.73% | 6.57% |
2011 | 5 | 2.32% | $18,463 | -3.93% | 10.36% |
2011 | 6 | -6.68% | $17,230 | -5.87% | -7.39% |
2011 | 7 | 4.30% | $17,972 | -6.39% | 13.28% |
2011 | 8 | 2.74% | $18,465 | -21.09% | 27.34% |
2011 | 9 | 15.09% | $21,250 | -20.69% | 41.35% |
2011 | 10 | 9.41% | $23,249 | 32.61% | -12.87% |
2011 | 11 | 0.82% | $23,440 | -3.35% | 4.89% |
2011 | 12 | 6.78% | $25,028 | 2.30% | 9.46% |
2012 | 1 | 6.33% | $26,612 | 13.90% | -1.50% |
2012 | 2 | 5.53% | $28,083 | 13.24% | -7.95% |
2012 | 3 | 1.09% | $28,389 | 9.29% | -13.02% |
2012 | 4 | 4.77% | $29,743 | -2.38% | 14.37% |
2012 | 5 | 5.49% | $31,376 | -17.35% | 28.90% |
2012 | 6 | 2.84% | $32,266 | 11.47% | -5.78% |
2012 | 7 | 7.97% | $34,837 | 3.52% | 11.43% |
2012 | 8 | 0.41% | $34,981 | 6.53% | -4.61% |
2012 | 9 | 2.70% | $35,926 | 7.52% | -7.87% |
2012 | 10 | -4.36% | $34,359 | -5.96% | -2.13% |
2012 | 11 | 2.26% | $35,137 | 1.01% | 3.90% |
2012 | 12 | -3.41% | $33,940 | 2.82% | -7.80% |
2013 | 1 | 3.14% | $35,006 | 15.39% | -9.58% |
2013 | 2 | 3.50% | $36,232 | 3.56% | 3.39% |
2013 | 3 | 4.39% | $37,824 | 11.03% | -1.77% |
2013 | 4 | 9.16% | $41,289 | 5.45% | 14.25% |
2013 | 5 | -7.08% | $38,367 | 6.80% | -19.65% |
2013 | 6 | -7.17% | $35,618 | -5.23% | -10.33% |
2013 | 7 | 4.24% | $37,129 | 16.41% | -7.41% |
2013 | 8 | -7.77% | $34,242 | -9.21% | -4.47% |
2013 | 9 | 6.14% | $36,345 | 9.60% | 1.53% |
2013 | 10 | 9.62% | $39,843 | 13.76% | 4.12% |
2013 | 11 | -1.01% | $39,440 | 8.87% | -8.19% |
2013 | 12 | 2.27% | $40,336 | 7.54% | -6.01% |
2014 | 1 | 4.38% | $42,103 | -10.72% | 19.47% |
2014 | 2 | 6.41% | $44,800 | 13.65% | 1.63% |
2014 | 3 | 1.93% | $45,663 | 2.15% | 1.76% |
2014 | 4 | 3.63% | $47,322 | 1.65% | 5.96% |
2014 | 5 | 7.97% | $51,092 | 6.62% | 8.79% |
2014 | 6 | 2.91% | $52,576 | 6.22% | -1.00% |
2014 | 7 | -2.18% | $51,431 | -4.44% | 1.61% |
2014 | 8 | 13.19% | $58,215 | 11.95% | 14.42% |
2014 | 9 | -5.47% | $55,030 | -4.44% | -6.65% |
2014 | 10 | 7.01% | $58,887 | 6.03% | 8.06% |
2014 | 11 | 8.83% | $64,086 | 8.34% | 9.08% |
2014 | 12 | 2.76% | $65,853 | -1.54% | 9.38% |
2015 | 1 | 11.70% | $73,560 | -9.47% | 31.01% |
2015 | 2 | -0.12% | $73,475 | 17.48% | -17.87% |
2015 | 3 | -2.21% | $71,850 | -5.28% | 2.57% |
2015 | 4 | -3.60% | $69,261 | 2.59% | -10.30% |
2015 | 5 | -1.16% | $68,460 | 3.43% | -7.91% |
2015 | 6 | -8.50% | $62,642 | -6.21% | -12.49% |
2015 | 7 | 8.94% | $68,244 | 6.17% | 13.40% |
2015 | 8 | -11.70% | $60,259 | -18.87% | -2.75% |
2015 | 9 | 0.19% | $60,371 | -8.64% | 5.10% |
2015 | 10 | 10.95% | $66,984 | 26.79% | -1.73% |
2015 | 11 | -1.05% | $66,279 | 0.81% | -2.71% |
2015 | 12 | -3.85% | $63,724 | -6.06% | -2.41% |
2016 | 1 | 2.42% | $65,266 | -15.38% | 17.74% |
2016 | 2 | 5.13% | $68,612 | -1.68% | 8.71% |
2016 | 3 | 9.11% | $74,863 | 21.50% | -0.64% |
2016 | 4 | -0.69% | $74,347 | 0.81% | -2.39% |
2016 | 5 | 3.28% | $76,786 | 4.65% | 1.86% |
2016 | 6 | 11.06% | $85,278 | -0.20% | 21.23% |
2016 | 7 | 8.33% | $92,383 | 11.13% | 6.07% |
2016 | 8 | -1.19% | $91,284 | 0.11% | -3.58% |
2016 | 9 | -1.91% | $89,540 | -0.54% | -4.78% |
2016 | 10 | -9.83% | $80,740 | -5.62% | -13.32% |
2016 | 11 | -3.85% | $77,628 | 11.05% | -23.91% |
2016 | 12 | 3.48% | $80,331 | 5.96% | -0.99% |
2017 | 1 | 3.57% | $83,200 | 5.14% | 1.49% |
2017 | 2 | 9.40% | $91,025 | 11.91% | 4.41% |
2017 | 3 | -0.85% | $90,250 | -0.22% | -2.35% |
2017 | 4 | 3.46% | $93,372 | 2.77% | 4.43% |
2017 | 5 | 4.32% | $97,402 | 3.70% | 5.17% |
2017 | 6 | 1.75% | $99,109 | 1.51% | 1.98% |
2017 | 7 | 2.27% | $101,354 | 5.87% | -2.43% |
2017 | 8 | 4.02% | $105,431 | 0.21% | 10.13% |
2017 | 9 | -1.77% | $103,569 | 5.69% | -7.29% |
2017 | 10 | 4.40% | $108,127 | 6.83% | -0.53% |
2017 | 11 | 6.09% | $114,715 | 8.87% | 1.73% |
2017 | 12 | 4.09% | $119,402 | 3.45% | 5.04% |
2018 | 1 | 9.04% | $130,194 | 18.22% | -9.77% |
2018 | 2 | -11.58% | $115,122 | -13.53% | -9.57% |
2018 | 3 | 3.17% | $118,766 | -8.69% | 8.44% |
2018 | 4 | -4.74% | $113,140 | -0.14% | -6.71% |
2018 | 5 | 5.71% | $119,606 | 6.46% | 5.27% |
2018 | 6 | 1.38% | $121,258 | 1.29% | 1.49% |
2018 | 7 | 3.23% | $125,171 | 10.73% | -4.70% |
2018 | 8 | 6.16% | $132,879 | 9.09% | 3.36% |
2018 | 9 | -3.96% | $127,620 | 1.20% | -8.77% |
2018 | 10 | -15.81% | $107,448 | -20.78% | -9.11% |
2018 | 11 | 4.63% | $112,418 | 4.28% | 4.76% |
2018 | 12 | 6.06% | $119,231 | -26.25% | 17.93% |
2019 | 1 | 6.34% | $126,790 | 23.89% | 0.41% |
2019 | 2 | -0.20% | $126,541 | 9.28% | -4.52% |
2019 | 3 | 10.88% | $140,315 | 4.85% | 17.00% |
2019 | 4 | 1.03% | $141,756 | 11.81% | -6.56% |
2019 | 5 | -2.75% | $137,852 | -18.89% | 21.11% |
2019 | 6 | 8.69% | $149,836 | 21.37% | 1.90% |
2019 | 7 | 1.99% | $152,811 | 3.80% | 0.32% |
2019 | 8 | 12.28% | $171,580 | -6.62% | 35.11% |
2019 | 9 | -3.13% | $166,211 | 5.30% | -9.07% |
2019 | 10 | 2.43% | $170,243 | 5.70% | -4.11% |
2019 | 11 | 5.04% | $178,820 | 10.73% | -2.01% |
Metric | Timing Portfolio |
---|---|
Arithmetic Mean (monthly) | 2.61% |
Arithmetic Mean (annualized) | 36.20% |
Geometric Mean (monthly) | 2.45% |
Geometric Mean (annualized) | 33.75% |
Volatility (monthly) | 5.60% |
Volatility (annualized) | 19.40% |
Downside Deviation (monthly) | 3.04% |
Max. Drawdown | -19.14% |
US Market Correlation | 0.40 |
Beta(*) | 0.60 |
Alpha (annualized) | 23.35% |
R2 | 16.06% |
Sharpe Ratio | 1.59 |
Sortino Ratio | 2.90 |
Treynor Ratio (%) | 51.11 |
Calmar Ratio | 1.68 |
Active Return | 20.66% |
Tracking Error | 18.50% |
Information Ratio | 1.12 |
Skewness | -0.57 |
Excess Kurtosis | 0.53 |
Historical Value-at-Risk (5%) | -7.77% |
Analytical Value-at-Risk (5%) | -6.60% |
Conditional Value-at-Risk (5%) | -11.48% |
Upside Capture Ratio (%) | 131.66 |
Downside Capture Ratio (%) | 16.67 |
Safe Withdrawal Rate | 42.77% |
Perpetual Withdrawal Rate | 25.99% |
Positive Periods | 84 out of 119 (70.59%) |
Gain/Loss Ratio | 1.29 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Sep 2018 | Oct 2018 | 2 months | Mar 2019 | 5 months | 7 months | -19.14% |
2 | Feb 2015 | Aug 2015 | 7 months | Mar 2016 | 7 months | 1 year 2 months | -18.08% |
3 | May 2013 | Aug 2013 | 4 months | Jan 2014 | 5 months | 9 months | -17.07% |
4 | Aug 2016 | Nov 2016 | 4 months | Apr 2017 | 5 months | 9 months | -15.97% |
5 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -13.10% |
6 | Jun 2011 | Jun 2011 | 1 month | Aug 2011 | 2 months | 3 months | -6.68% |
7 | Oct 2012 | Dec 2012 | 3 months | Feb 2013 | 2 months | 5 months | -5.53% |
8 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 1 month | 2 months | -5.47% |
9 | Jan 2010 | Jan 2010 | 1 month | Mar 2010 | 2 months | 3 months | -3.35% |
10 | Sep 2019 | Sep 2019 | 1 month | Nov 2019 | 2 months | 3 months | -3.13% |
Worst 10 drawdowns included above |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 33.97% | 65.31% | -3.23% |
3 years | 31.62% | 50.28% | 21.94% |
5 years | 31.63% | 45.79% | 24.20% |
7 years | 31.32% | 34.67% | 24.98% |
Result statistics are based on annualized rolling returns over full calendar year periods |
# | Start | End | Months | Assets | Asset Performance | Timing Portfolio |
---|---|---|---|---|---|---|
1 | Jan 2010 | Jan 2010 | 1 | 42.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.70% ProShares UltraPro S&P500 (UPRO) | TMF: 7.34% UPRO: -11.19% | -3.35% |
2 | Feb 2010 | Feb 2010 | 1 | 56.04% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 43.96% ProShares UltraPro S&P500 (UPRO) | TMF: -1.82% UPRO: 8.94% | 2.91% |
3 | Mar 2010 | Mar 2010 | 1 | 56.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 43.69% ProShares UltraPro S&P500 (UPRO) | TMF: -6.73% UPRO: 18.90% | 4.47% |
4 | Apr 2010 | Apr 2010 | 1 | 41.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 58.31% ProShares UltraPro S&P500 (UPRO) | TMF: 9.96% UPRO: 4.08% | 6.53% |
5 | May 2010 | May 2010 | 1 | 54.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.97% ProShares UltraPro S&P500 (UPRO) | TMF: 16.54% UPRO: -24.15% | -2.17% |
6 | Jun 2010 | Jun 2010 | 1 | 57.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.63% ProShares UltraPro S&P500 (UPRO) | TMF: 16.73% UPRO: -16.58% | 2.53% |
7 | Jul 2010 | Jul 2010 | 1 | 59.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 40.92% ProShares UltraPro S&P500 (UPRO) | TMF: -3.90% UPRO: 21.17% | 6.36% |
8 | Aug 2010 | Aug 2010 | 1 | 57.16% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.84% ProShares UltraPro S&P500 (UPRO) | TMF: 25.94% UPRO: -13.46% | 9.06% |
9 | Sep 2010 | Sep 2010 | 1 | 44.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 55.71% ProShares UltraPro S&P500 (UPRO) | TMF: -9.02% UPRO: 27.94% | 11.57% |
10 | Oct 2010 | Oct 2010 | 1 | 40.82% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 59.18% ProShares UltraPro S&P500 (UPRO) | TMF: -13.57% UPRO: 11.44% | 1.23% |
11 | Nov 2010 | Nov 2010 | 1 | 41.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 58.80% ProShares UltraPro S&P500 (UPRO) | TMF: -6.03% UPRO: -0.82% | -2.97% |
12 | Dec 2010 | Dec 2010 | 1 | 42.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.25% ProShares UltraPro S&P500 (UPRO) | TMF: -11.63% UPRO: 21.36% | 7.26% |
13 | Jan 2011 | Jan 2011 | 1 | 19.44% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 80.56% ProShares UltraPro S&P500 (UPRO) | TMF: -9.40% UPRO: 6.56% | 3.46% |
14 | Feb 2011 | Feb 2011 | 1 | 43.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.92% ProShares UltraPro S&P500 (UPRO) | TMF: 4.49% UPRO: 10.39% | 7.85% |
15 | Mar 2011 | Mar 2011 | 1 | 48.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 51.21% ProShares UltraPro S&P500 (UPRO) | TMF: -0.55% UPRO: -0.80% | -0.68% |
16 | Apr 2011 | Apr 2011 | 1 | 54.70% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.30% ProShares UltraPro S&P500 (UPRO) | TMF: 6.57% UPRO: 8.73% | 7.55% |
17 | May 2011 | May 2011 | 1 | 43.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.27% ProShares UltraPro S&P500 (UPRO) | TMF: 10.36% UPRO: -3.93% | 2.32% |
18 | Jun 2011 | Jun 2011 | 1 | 52.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.21% ProShares UltraPro S&P500 (UPRO) | TMF: -7.39% UPRO: -5.87% | -6.68% |
19 | Jul 2011 | Jul 2011 | 1 | 54.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.63% ProShares UltraPro S&P500 (UPRO) | TMF: 13.28% UPRO: -6.39% | 4.30% |
20 | Aug 2011 | Aug 2011 | 1 | 49.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.80% ProShares UltraPro S&P500 (UPRO) | TMF: 27.34% UPRO: -21.09% | 2.74% |
21 | Sep 2011 | Sep 2011 | 1 | 57.66% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.34% ProShares UltraPro S&P500 (UPRO) | TMF: 41.35% UPRO: -20.69% | 15.09% |
22 | Oct 2011 | Oct 2011 | 1 | 51.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.99% ProShares UltraPro S&P500 (UPRO) | TMF: -12.87% UPRO: 32.61% | 9.41% |
23 | Nov 2011 | Nov 2011 | 1 | 50.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 49.38% ProShares UltraPro S&P500 (UPRO) | TMF: 4.89% UPRO: -3.35% | 0.82% |
24 | Dec 2011 | Dec 2011 | 1 | 62.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 37.47% ProShares UltraPro S&P500 (UPRO) | TMF: 9.46% UPRO: 2.30% | 6.78% |
25 | Jan 2012 | Jan 2012 | 1 | 49.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.82% ProShares UltraPro S&P500 (UPRO) | TMF: -1.50% UPRO: 13.90% | 6.33% |
26 | Feb 2012 | Feb 2012 | 1 | 36.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 63.61% ProShares UltraPro S&P500 (UPRO) | TMF: -7.95% UPRO: 13.24% | 5.53% |
27 | Mar 2012 | Mar 2012 | 1 | 36.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 63.24% ProShares UltraPro S&P500 (UPRO) | TMF: -13.02% UPRO: 9.29% | 1.09% |
28 | Apr 2012 | Apr 2012 | 1 | 42.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.31% ProShares UltraPro S&P500 (UPRO) | TMF: 14.37% UPRO: -2.38% | 4.77% |
29 | May 2012 | May 2012 | 1 | 49.38% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.62% ProShares UltraPro S&P500 (UPRO) | TMF: 28.90% UPRO: -17.35% | 5.49% |
30 | Jun 2012 | Jun 2012 | 1 | 50.05% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 49.95% ProShares UltraPro S&P500 (UPRO) | TMF: -5.78% UPRO: 11.47% | 2.84% |
31 | Jul 2012 | Jul 2012 | 1 | 56.25% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 43.75% ProShares UltraPro S&P500 (UPRO) | TMF: 11.43% UPRO: 3.52% | 7.97% |
32 | Aug 2012 | Aug 2012 | 1 | 54.92% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.08% ProShares UltraPro S&P500 (UPRO) | TMF: -4.61% UPRO: 6.53% | 0.41% |
33 | Sep 2012 | Sep 2012 | 1 | 31.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 68.70% ProShares UltraPro S&P500 (UPRO) | TMF: -7.87% UPRO: 7.52% | 2.70% |
34 | Oct 2012 | Oct 2012 | 1 | 41.78% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 58.22% ProShares UltraPro S&P500 (UPRO) | TMF: -2.13% UPRO: -5.96% | -4.36% |
35 | Nov 2012 | Nov 2012 | 1 | 43.27% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.73% ProShares UltraPro S&P500 (UPRO) | TMF: 3.90% UPRO: 1.01% | 2.26% |
36 | Dec 2012 | Dec 2012 | 1 | 58.60% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 41.40% ProShares UltraPro S&P500 (UPRO) | TMF: -7.80% UPRO: 2.82% | -3.41% |
37 | Jan 2013 | Jan 2013 | 1 | 49.05% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.95% ProShares UltraPro S&P500 (UPRO) | TMF: -9.58% UPRO: 15.39% | 3.14% |
38 | Feb 2013 | Feb 2013 | 1 | 35.55% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 64.45% ProShares UltraPro S&P500 (UPRO) | TMF: 3.39% UPRO: 3.56% | 3.50% |
39 | Mar 2013 | Mar 2013 | 1 | 51.86% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.14% ProShares UltraPro S&P500 (UPRO) | TMF: -1.77% UPRO: 11.03% | 4.39% |
40 | Apr 2013 | Apr 2013 | 1 | 42.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.81% ProShares UltraPro S&P500 (UPRO) | TMF: 14.25% UPRO: 5.45% | 9.16% |
41 | May 2013 | May 2013 | 1 | 52.48% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.52% ProShares UltraPro S&P500 (UPRO) | TMF: -19.65% UPRO: 6.80% | -7.08% |
42 | Jun 2013 | Jun 2013 | 1 | 37.97% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 62.03% ProShares UltraPro S&P500 (UPRO) | TMF: -10.33% UPRO: -5.23% | -7.17% |
43 | Jul 2013 | Jul 2013 | 1 | 51.09% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.91% ProShares UltraPro S&P500 (UPRO) | TMF: -7.41% UPRO: 16.41% | 4.24% |
44 | Aug 2013 | Aug 2013 | 1 | 30.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 69.65% ProShares UltraPro S&P500 (UPRO) | TMF: -4.47% UPRO: -9.21% | -7.77% |
45 | Sep 2013 | Sep 2013 | 1 | 42.86% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.14% ProShares UltraPro S&P500 (UPRO) | TMF: 1.53% UPRO: 9.60% | 6.14% |
46 | Oct 2013 | Oct 2013 | 1 | 42.91% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.09% ProShares UltraPro S&P500 (UPRO) | TMF: 4.12% UPRO: 13.76% | 9.62% |
47 | Nov 2013 | Nov 2013 | 1 | 57.93% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.07% ProShares UltraPro S&P500 (UPRO) | TMF: -8.19% UPRO: 8.87% | -1.01% |
48 | Dec 2013 | Dec 2013 | 1 | 38.84% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 61.16% ProShares UltraPro S&P500 (UPRO) | TMF: -6.01% UPRO: 7.54% | 2.27% |
49 | Jan 2014 | Jan 2014 | 1 | 50.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 49.99% ProShares UltraPro S&P500 (UPRO) | TMF: 19.47% UPRO: -10.72% | 4.38% |
50 | Feb 2014 | Feb 2014 | 1 | 60.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 39.71% ProShares UltraPro S&P500 (UPRO) | TMF: 1.63% UPRO: 13.65% | 6.41% |
51 | Mar 2014 | Mar 2014 | 1 | 57.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 43.00% ProShares UltraPro S&P500 (UPRO) | TMF: 1.76% UPRO: 2.15% | 1.93% |
52 | Apr 2014 | Apr 2014 | 1 | 46.02% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 53.98% ProShares UltraPro S&P500 (UPRO) | TMF: 5.96% UPRO: 1.65% | 3.63% |
53 | May 2014 | May 2014 | 1 | 61.81% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 38.19% ProShares UltraPro S&P500 (UPRO) | TMF: 8.79% UPRO: 6.62% | 7.97% |
54 | Jun 2014 | Jun 2014 | 1 | 45.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 54.06% ProShares UltraPro S&P500 (UPRO) | TMF: -1.00% UPRO: 6.22% | 2.91% |
55 | Jul 2014 | Jul 2014 | 1 | 37.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 62.61% ProShares UltraPro S&P500 (UPRO) | TMF: 1.61% UPRO: -4.44% | -2.18% |
56 | Aug 2014 | Aug 2014 | 1 | 50.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 49.97% ProShares UltraPro S&P500 (UPRO) | TMF: 14.42% UPRO: 11.95% | 13.19% |
57 | Sep 2014 | Sep 2014 | 1 | 46.85% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 53.15% ProShares UltraPro S&P500 (UPRO) | TMF: -6.65% UPRO: -4.44% | -5.47% |
58 | Oct 2014 | Oct 2014 | 1 | 48.11% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 51.89% ProShares UltraPro S&P500 (UPRO) | TMF: 8.06% UPRO: 6.03% | 7.01% |
59 | Nov 2014 | Nov 2014 | 1 | 65.87% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 34.13% ProShares UltraPro S&P500 (UPRO) | TMF: 9.08% UPRO: 8.34% | 8.83% |
60 | Dec 2014 | Dec 2014 | 1 | 39.32% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 60.68% ProShares UltraPro S&P500 (UPRO) | TMF: 9.38% UPRO: -1.54% | 2.76% |
61 | Jan 2015 | Jan 2015 | 1 | 52.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.69% ProShares UltraPro S&P500 (UPRO) | TMF: 31.01% UPRO: -9.47% | 11.70% |
62 | Feb 2015 | Feb 2015 | 1 | 49.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.21% ProShares UltraPro S&P500 (UPRO) | TMF: -17.87% UPRO: 17.48% | -0.12% |
63 | Mar 2015 | Mar 2015 | 1 | 39.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 60.92% ProShares UltraPro S&P500 (UPRO) | TMF: 2.57% UPRO: -5.28% | -2.21% |
64 | Apr 2015 | Apr 2015 | 1 | 48.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 51.94% ProShares UltraPro S&P500 (UPRO) | TMF: -10.30% UPRO: 2.59% | -3.60% |
65 | May 2015 | May 2015 | 1 | 40.45% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 59.55% ProShares UltraPro S&P500 (UPRO) | TMF: -7.91% UPRO: 3.43% | -1.16% |
66 | Jun 2015 | Jun 2015 | 1 | 36.44% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 63.56% ProShares UltraPro S&P500 (UPRO) | TMF: -12.49% UPRO: -6.21% | -8.50% |
67 | Jul 2015 | Jul 2015 | 1 | 38.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 61.70% ProShares UltraPro S&P500 (UPRO) | TMF: 13.40% UPRO: 6.17% | 8.94% |
68 | Aug 2015 | Aug 2015 | 1 | 44.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 55.54% ProShares UltraPro S&P500 (UPRO) | TMF: -2.75% UPRO: -18.87% | -11.70% |
69 | Sep 2015 | Sep 2015 | 1 | 64.23% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 35.77% ProShares UltraPro S&P500 (UPRO) | TMF: 5.10% UPRO: -8.64% | 0.19% |
70 | Oct 2015 | Oct 2015 | 1 | 55.52% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 44.48% ProShares UltraPro S&P500 (UPRO) | TMF: -1.73% UPRO: 26.79% | 10.95% |
71 | Nov 2015 | Nov 2015 | 1 | 52.98% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.02% ProShares UltraPro S&P500 (UPRO) | TMF: -2.71% UPRO: 0.81% | -1.05% |
72 | Dec 2015 | Dec 2015 | 1 | 60.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 39.65% ProShares UltraPro S&P500 (UPRO) | TMF: -2.41% UPRO: -6.06% | -3.85% |
73 | Jan 2016 | Jan 2016 | 1 | 53.74% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 46.26% ProShares UltraPro S&P500 (UPRO) | TMF: 17.74% UPRO: -15.38% | 2.42% |
74 | Feb 2016 | Feb 2016 | 1 | 65.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 34.47% ProShares UltraPro S&P500 (UPRO) | TMF: 8.71% UPRO: -1.68% | 5.13% |
75 | Mar 2016 | Mar 2016 | 1 | 55.95% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 44.05% ProShares UltraPro S&P500 (UPRO) | TMF: -0.64% UPRO: 21.50% | 9.11% |
76 | Apr 2016 | Apr 2016 | 1 | 46.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 53.25% ProShares UltraPro S&P500 (UPRO) | TMF: -2.39% UPRO: 0.81% | -0.69% |
77 | May 2016 | May 2016 | 1 | 49.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.93% ProShares UltraPro S&P500 (UPRO) | TMF: 1.86% UPRO: 4.65% | 3.28% |
78 | Jun 2016 | Jun 2016 | 1 | 52.56% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.44% ProShares UltraPro S&P500 (UPRO) | TMF: 21.23% UPRO: -0.20% | 11.06% |
79 | Jul 2016 | Jul 2016 | 1 | 55.38% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 44.62% ProShares UltraPro S&P500 (UPRO) | TMF: 6.07% UPRO: 11.13% | 8.33% |
80 | Aug 2016 | Aug 2016 | 1 | 35.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 64.82% ProShares UltraPro S&P500 (UPRO) | TMF: -3.58% UPRO: 0.11% | -1.19% |
81 | Sep 2016 | Sep 2016 | 1 | 32.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 67.59% ProShares UltraPro S&P500 (UPRO) | TMF: -4.78% UPRO: -0.54% | -1.91% |
82 | Oct 2016 | Oct 2016 | 1 | 54.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 45.37% ProShares UltraPro S&P500 (UPRO) | TMF: -13.32% UPRO: -5.62% | -9.83% |
83 | Nov 2016 | Nov 2016 | 1 | 42.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.36% ProShares UltraPro S&P500 (UPRO) | TMF: -23.91% UPRO: 11.05% | -3.85% |
84 | Dec 2016 | Dec 2016 | 1 | 35.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 64.33% ProShares UltraPro S&P500 (UPRO) | TMF: -0.99% UPRO: 5.96% | 3.48% |
85 | Jan 2017 | Jan 2017 | 1 | 42.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.06% ProShares UltraPro S&P500 (UPRO) | TMF: 1.49% UPRO: 5.14% | 3.57% |
86 | Feb 2017 | Feb 2017 | 1 | 33.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 66.59% ProShares UltraPro S&P500 (UPRO) | TMF: 4.41% UPRO: 11.91% | 9.40% |
87 | Mar 2017 | Mar 2017 | 1 | 29.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 70.27% ProShares UltraPro S&P500 (UPRO) | TMF: -2.35% UPRO: -0.22% | -0.85% |
88 | Apr 2017 | Apr 2017 | 1 | 41.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 58.60% ProShares UltraPro S&P500 (UPRO) | TMF: 4.43% UPRO: 2.77% | 3.46% |
89 | May 2017 | May 2017 | 1 | 42.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.93% ProShares UltraPro S&P500 (UPRO) | TMF: 5.17% UPRO: 3.70% | 4.32% |
90 | Jun 2017 | Jun 2017 | 1 | 51.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.99% ProShares UltraPro S&P500 (UPRO) | TMF: 1.98% UPRO: 1.51% | 1.75% |
91 | Jul 2017 | Jul 2017 | 1 | 43.43% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 56.57% ProShares UltraPro S&P500 (UPRO) | TMF: -2.43% UPRO: 5.87% | 2.27% |
92 | Aug 2017 | Aug 2017 | 1 | 38.45% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 61.55% ProShares UltraPro S&P500 (UPRO) | TMF: 10.13% UPRO: 0.21% | 4.02% |
93 | Sep 2017 | Sep 2017 | 1 | 57.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 42.54% ProShares UltraPro S&P500 (UPRO) | TMF: -7.29% UPRO: 5.69% | -1.77% |
94 | Oct 2017 | Oct 2017 | 1 | 33.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 66.94% ProShares UltraPro S&P500 (UPRO) | TMF: -0.53% UPRO: 6.83% | 4.40% |
95 | Nov 2017 | Nov 2017 | 1 | 38.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 61.06% ProShares UltraPro S&P500 (UPRO) | TMF: 1.73% UPRO: 8.87% | 6.09% |
96 | Dec 2017 | Dec 2017 | 1 | 39.80% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 60.20% ProShares UltraPro S&P500 (UPRO) | TMF: 5.04% UPRO: 3.45% | 4.09% |
97 | Jan 2018 | Jan 2018 | 1 | 32.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 67.21% ProShares UltraPro S&P500 (UPRO) | TMF: -9.77% UPRO: 18.22% | 9.04% |
98 | Feb 2018 | Feb 2018 | 1 | 49.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.60% ProShares UltraPro S&P500 (UPRO) | TMF: -9.57% UPRO: -13.53% | -11.58% |
99 | Mar 2018 | Mar 2018 | 1 | 69.21% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 30.79% ProShares UltraPro S&P500 (UPRO) | TMF: 8.44% UPRO: -8.69% | 3.17% |
100 | Apr 2018 | Apr 2018 | 1 | 70.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 30.00% ProShares UltraPro S&P500 (UPRO) | TMF: -6.71% UPRO: -0.14% | -4.74% |
101 | May 2018 | May 2018 | 1 | 62.72% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 37.28% ProShares UltraPro S&P500 (UPRO) | TMF: 5.27% UPRO: 6.46% | 5.71% |
102 | Jun 2018 | Jun 2018 | 1 | 47.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 52.81% ProShares UltraPro S&P500 (UPRO) | TMF: 1.49% UPRO: 1.29% | 1.38% |
103 | Jul 2018 | Jul 2018 | 1 | 48.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 51.37% ProShares UltraPro S&P500 (UPRO) | TMF: -4.70% UPRO: 10.73% | 3.23% |
104 | Aug 2018 | Aug 2018 | 1 | 51.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.81% ProShares UltraPro S&P500 (UPRO) | TMF: 3.36% UPRO: 9.09% | 6.16% |
105 | Sep 2018 | Sep 2018 | 1 | 51.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 48.27% ProShares UltraPro S&P500 (UPRO) | TMF: -8.77% UPRO: 1.20% | -3.96% |
106 | Oct 2018 | Oct 2018 | 1 | 42.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 57.38% ProShares UltraPro S&P500 (UPRO) | TMF: -9.11% UPRO: -20.78% | -15.81% |
107 | Nov 2018 | Nov 2018 | 1 | 72.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 27.60% ProShares UltraPro S&P500 (UPRO) | TMF: 4.76% UPRO: 4.28% | 4.63% |
108 | Dec 2018 | Dec 2018 | 1 | 73.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 26.87% ProShares UltraPro S&P500 (UPRO) | TMF: 17.93% UPRO: -26.25% | 6.06% |
109 | Jan 2019 | Jan 2019 | 1 | 74.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 25.24% ProShares UltraPro S&P500 (UPRO) | TMF: 0.41% UPRO: 23.89% | 6.34% |
110 | Feb 2019 | Feb 2019 | 1 | 68.65% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 31.35% ProShares UltraPro S&P500 (UPRO) | TMF: -4.52% UPRO: 9.28% | -0.20% |
111 | Mar 2019 | Mar 2019 | 1 | 49.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 50.33% ProShares UltraPro S&P500 (UPRO) | TMF: 17.00% UPRO: 4.85% | 10.88% |
112 | Apr 2019 | Apr 2019 | 1 | 58.70% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 41.30% ProShares UltraPro S&P500 (UPRO) | TMF: -6.56% UPRO: 11.81% | 1.03% |
113 | May 2019 | May 2019 | 1 | 40.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 59.65% ProShares UltraPro S&P500 (UPRO) | TMF: 21.11% UPRO: -18.89% | -2.75% |
114 | Jun 2019 | Jun 2019 | 1 | 65.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 34.87% ProShares UltraPro S&P500 (UPRO) | TMF: 1.90% UPRO: 21.37% | 8.69% |
115 | Jul 2019 | Jul 2019 | 1 | 52.22% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 47.78% ProShares UltraPro S&P500 (UPRO) | TMF: 0.32% UPRO: 3.80% | 1.99% |
116 | Aug 2019 | Aug 2019 | 1 | 45.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 54.70% ProShares UltraPro S&P500 (UPRO) | TMF: 35.11% UPRO: -6.62% | 12.28% |
117 | Sep 2019 | Sep 2019 | 1 | 58.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 41.36% ProShares UltraPro S&P500 (UPRO) | TMF: -9.07% UPRO: 5.30% | -3.13% |
118 | Oct 2019 | Oct 2019 | 1 | 33.36% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 66.64% ProShares UltraPro S&P500 (UPRO) | TMF: -4.11% UPRO: 5.70% | 2.43% |
119 | Nov 2019 | Nov 2019 | 1 | 44.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 55.31% ProShares UltraPro S&P500 (UPRO) | TMF: -2.01% UPRO: 10.73% | 5.04% |
120 | Dec 2019 | Dec 2019 | 1 | 31.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 68.61% ProShares UltraPro S&P500 (UPRO) | - | - |
Signal Date | Assets | Details |
---|---|---|
12/05/2019 | 32.58% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) 67.42% ProShares UltraPro S&P500 (UPRO) | Next period predicted allocation based on market data as of 12/05/2019. UPRO performance over 1-month window is 4.41%. UPRO annualized volatility over 20-day volatility window is 20.08%. TMF performance over 1-month window is 4.03%. TMF annualized volatility over 20-day volatility window is 41.55%. |