This is an alternative, 2 times leveraged version of the US Market Strategy using:

- DDM ProShares Ultra Dow30
- QLD ProShares Ultra
- SSO ProShares Ultra S&P500

See more about the US Market Strategy.

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:- Looking at the total return, or increase in value of 251.4% in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark SPY (100.7%)
- During the last 3 years, the total return is 50%, which is higher, thus better than the value of 33.2% from the benchmark.

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of US Market Strategy 2x Leverage is 28.6%, which is greater, thus better compared to the benchmark SPY (15%) in the same period.
- Looking at annual performance (CAGR) in of 14.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (10%).

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Which means for our asset as example:- The volatility over 5 years of US Market Strategy 2x Leverage is 20%, which is smaller, thus better compared to the benchmark SPY (20.9%) in the same period.
- Looking at volatility in of 17.7% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17.3%).

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

Which means for our asset as example:- Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside volatility of 13.9% of US Market Strategy 2x Leverage is smaller, thus better.
- Compared with SPY (12%) in the period of the last 3 years, the downside deviation of 12.3% is higher, thus worse.

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

Applying this definition to our asset in some examples:- Looking at the Sharpe Ratio of 1.31 in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.6)
- During the last 3 years, the ratio of return and volatility (Sharpe) is 0.68, which is higher, thus better than the value of 0.44 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (0.83) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.87 of US Market Strategy 2x Leverage is greater, thus better.
- During the last 3 years, the downside risk / excess return profile is 0.97, which is higher, thus better than the value of 0.62 from the benchmark.

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

Using this definition on our asset we see for example:- The Ulcer Index over 5 years of US Market Strategy 2x Leverage is 8.78 , which is lower, thus better compared to the benchmark SPY (9.32 ) in the same period.
- Looking at Ulcer Ratio in of 10 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (10 ).

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

Applying this definition to our asset in some examples:- Looking at the maximum reduction from previous high of -27.8 days in the last 5 years of US Market Strategy 2x Leverage, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -27.8 days is lower, thus worse.

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

Applying this definition to our asset in some examples:- The maximum days under water over 5 years of US Market Strategy 2x Leverage is 392 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
- Looking at maximum days under water in of 392 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (488 days).

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Which means for our asset as example:- Compared with the benchmark SPY (123 days) in the period of the last 5 years, the average days below previous high of 88 days of US Market Strategy 2x Leverage is smaller, thus better.
- Compared with SPY (180 days) in the period of the last 3 years, the average days under water of 122 days is lower, thus better.

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of US Market Strategy 2x Leverage are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.