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re: Can we have a “Leveraged ETF’s: explained” thread?
Posted on 5/1/20 at 10:33 am to RoyalWe
Posted on 5/1/20 at 10:33 am to RoyalWe
The S&P500 has probably had more "up" days, but I would have to research to confirm.
I think it would be interesting to do a daily analysis of the S&P 500, apply the leveraged returns, and compare the results to the underlying index to determine the long-term impact of leveraged funds. Sounds like a weekend project for me- will post results.
I think it would be interesting to do a daily analysis of the S&P 500, apply the leveraged returns, and compare the results to the underlying index to determine the long-term impact of leveraged funds. Sounds like a weekend project for me- will post results.
Posted on 5/1/20 at 1:37 pm to blackoutdore
Pulled S&P500 daily data from 1/3/1978 forward. Applied all the maths and considered if you invested $100 on any given day what the value would grow to for 1x, 2x, and 3x levered fund.
$100 invest in 1978 would now be worth $3,104.27 in 1x, $24,650.67 in 2x, and $46,159.79 in 3x. Over the past 22 years, 53.3% of the days have been up, 46.5% have been down, and 0.2% have been flat.
The 3x doesn't always win... here's a quick table since 2000 showing which fund would have been best to be in. The 3x does dominates in every date up to August of 1986. As expected,once you get into major downward volatilty the levered funds start to lose.
Buy Date | 1x Value | 2x Value | 3x Value | Winner
1-Jan-00 | $198.23 | $174.40 | $66.85 | 1x
1-Jan-01 | $220.59 | $226.91 | $106.87 | 2x
1-Jan-02 | $253.68 | $314.13 | $186.52 | 2x
1-Jan-03 | $331.03 | $572.08 | $506.96 | 2x
1-Jan-04 | $261.93 | $368.74 | $274.01 | 2x
1-Jan-05 | $240.32 | $314.24 | $219.57 | 2x
1-Jan-06 | $233.31 | $299.33 | $207.38 | 2x
1-Jan-07 | $205.35 | $234.20 | $145.70 | 2x
1-Jan-08 | $198.35 | $224.17 | $141.82 | 2x
1-Jan-09 | $322.44 | $702.97 | $1,025.04 | 3x
1-Jan-10 | $261.18 | $496.78 | $680.94 | 3x
1-Jan-11 | $231.58 | $403.49 | $523.53 | 3x
1-Jan-12 | $231.59 | $426.26 | $617.95 | 3x
1-Jan-13 | $204.21 | $336.82 | $444.67 | 3x
1-Jan-14 | $157.57 | $203.05 | $212.06 | 3x
1-Jan-15 | $141.46 | $165.78 | $159.53 | 2x
1-Jan-16 | $142.49 | $172.31 | $175.28 | 3x
1-Jan-17 | $130.09 | $146.11 | $140.45 | 2x
1-Jan-18 | $108.93 | $102.92 | $83.61 | 1x
1-Jan-19 | $116.18 | $120.54 | $110.77 | 2x
$100 invest in 1978 would now be worth $3,104.27 in 1x, $24,650.67 in 2x, and $46,159.79 in 3x. Over the past 22 years, 53.3% of the days have been up, 46.5% have been down, and 0.2% have been flat.
The 3x doesn't always win... here's a quick table since 2000 showing which fund would have been best to be in. The 3x does dominates in every date up to August of 1986. As expected,once you get into major downward volatilty the levered funds start to lose.
Buy Date | 1x Value | 2x Value | 3x Value | Winner
1-Jan-00 | $198.23 | $174.40 | $66.85 | 1x
1-Jan-01 | $220.59 | $226.91 | $106.87 | 2x
1-Jan-02 | $253.68 | $314.13 | $186.52 | 2x
1-Jan-03 | $331.03 | $572.08 | $506.96 | 2x
1-Jan-04 | $261.93 | $368.74 | $274.01 | 2x
1-Jan-05 | $240.32 | $314.24 | $219.57 | 2x
1-Jan-06 | $233.31 | $299.33 | $207.38 | 2x
1-Jan-07 | $205.35 | $234.20 | $145.70 | 2x
1-Jan-08 | $198.35 | $224.17 | $141.82 | 2x
1-Jan-09 | $322.44 | $702.97 | $1,025.04 | 3x
1-Jan-10 | $261.18 | $496.78 | $680.94 | 3x
1-Jan-11 | $231.58 | $403.49 | $523.53 | 3x
1-Jan-12 | $231.59 | $426.26 | $617.95 | 3x
1-Jan-13 | $204.21 | $336.82 | $444.67 | 3x
1-Jan-14 | $157.57 | $203.05 | $212.06 | 3x
1-Jan-15 | $141.46 | $165.78 | $159.53 | 2x
1-Jan-16 | $142.49 | $172.31 | $175.28 | 3x
1-Jan-17 | $130.09 | $146.11 | $140.45 | 2x
1-Jan-18 | $108.93 | $102.92 | $83.61 | 1x
1-Jan-19 | $116.18 | $120.54 | $110.77 | 2x
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