Data Source: from July 2006 to March 2023 (~17 years)
Consolidated Returns as of 31 March 2023
Category: Stocks
ETF: ProShares Ultra S&P 500 (SSO)

In the last 15 Years, the ProShares Ultra S&P 500 (SSO) ETF obtained a 13.45% compound annual return, with a 33.10% standard deviation.

In 2022, the ETF granted a 0.30% dividend yield. If you are interested in getting periodic income, please refer to the ProShares Ultra S&P 500 (SSO) ETF: Dividend Yield page.

The ETF is related to the following investment themes:

  • Leveraged: 2x
  • Asset Class: Equity
  • Size: Large Cap
  • Style: Blend
  • Region: North America
  • Country: U.S.

The ProShares Ultra S&P 500 (SSO) ETF is part of the following Lazy Portfolios:

Portfolio Name Author SSO Weight
All Weather Portfolio 2x Leveraged Ray Dalio 30.00%
Simplified Permanent Portfolio 2x Leveraged 25.00%
Stocks/Bonds 60/40 2x Leveraged 60.00%
Stocks/Bonds 40/60 2x Leveraged 40.00%
Talmud Portfolio 2x Leveraged Roger Gibson 33.34%
Golden Butterfly 2x Leveraged 20.00%
Desert Portfolio 2x Leveraged Gyroscopic Investing 30.00%

Historical Returns as of Mar 31, 2023

Historical returns and Metrics of ProShares Ultra S&P 500 (SSO) ETF.

Returns and metrics are calculated based on monthly returns, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends
PROSHARES ULTRA S&P 500 (SSO) ETF
Portfolio Metrics
Data Source: 1 July 2006 - 31 March 2023 (~17 years)
Swipe left to see all data
Metrics as of Mar 31, 2023
1M 3M 6M 1Y 3Y 5Y 10Y MAX
(~17Y)
Portfolio
Return (%)		 6.65 12.94 26.90 -23.17 31.51 14.21 19.12 11.89
US Inflation (%) 0.00 1.36 1.36 4.64 5.24 3.81 2.60 2.38
Infl. Adjusted
Return (%)		 6.65 11.42 25.20 -26.58 24.96 10.02 16.10 9.29
Waiting for updates, inflation of Mar 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 45.16 38.09 37.65 30.18 31.96
Sharpe Ratio -0.57 0.81 0.34 0.61 0.25
Sortino Ratio -0.82 1.10 0.45 0.81 0.32
MAXIMUM DRAWDOWN
Drawdown Depth (%) -39.46 -45.69 -45.69 -45.69 -81.35
Start (yyyy mm) 2022 04 2022 01 2022 01 2022 01 2007 06
Bottom (yyyy mm) 2022 09 2022 09 2022 09 2022 09 2009 02
Start to Bottom (# months) 6 9 9 9 21
Start to Recovery (# months) in progress
> 12
> 15
> 15
> 15
77
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 130.52 48.15 44.13 30.24
Worst Return (%) -74.37 -28.40 -11.68 6.51
% Positive Periods 74% 83% 86% 100%
MONTHS
Positive 1 2 4 5 22 39 80 128
Negative 0 1 2 7 14 21 40 73
% Positive 100% 67% 67% 42% 61% 65% 67% 64%
WITHDRAWAL RATES (WR)
Safe WR (%) 72.66 28.50 25.18 6.97
Perpetual WR (%) 19.98 9.10 13.87 8.50
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the ETF
  • Standard Deviation: it's a measure of the dispersion of returns around the mean
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the ETF. It's calculated by dividing the excess return of the ETF over the risk-free rate by the ETF standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the ETF. It's a modification of the Sharpe Ratio (same formula but the denominator is the ETF downside standard deviation).
  • Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
  • Rolling Returns: returns over a time frame (best, worst, % of positive returns).
  • Pos./Neg. Months: number of months with positive/negative return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).

Correlations as of Mar 31, 2023

Monthly correlations of ProShares Ultra S&P 500 (SSO) ETF vs the main Asset Classes, over different timeframes.

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1.

If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.

Asset correlations are calculated based on monthly returns.

Columns are sortable (click on table header to sort).

PROSHARES ULTRA S&P 500 (SSO) ETF
Monthly correlations as of 31 March 2023
Swipe left to see all data
Correlation vs SSO
 
Asset Class 1 Year 5 Years 10 Years Since
Jul 2006
US Total Stock Market
VTI
1.00
1.00
1.00
1.00
US Large Cap
SPY
1.00
1.00
1.00
1.00
US Small Cap
IJR
0.91
0.90
0.86
0.89
US REITs
VNQ
0.88
0.86
0.72
0.75
US Technology
QQQ
0.94
0.93
0.91
0.91
Preferred Stocks
PFF
0.71
0.79
0.71
0.58
EAFE Stocks
EFA
0.90
0.89
0.86
0.88
World All Countries
VT
0.98
0.98
0.97
0.96
Emerging Markets
EEM
0.66
0.72
0.68
0.76
Europe
VGK
0.89
0.89
0.86
0.88
Pacific
VPL
0.87
0.84
0.79
0.82
Latin America
FLLA
0.78
0.60
0.56
0.67
US Total Bond Market
BND
0.79
0.45
0.33
0.20
Long Term Treasuries
TLT
0.65
0.06
-0.02
-0.18
US Cash
BIL
0.13
-0.19
-0.14
-0.12
TIPS
TIP
0.90
0.60
0.44
0.31
Invest. Grade Bonds
LQD
0.84
0.63
0.54
0.42
High Yield Bonds
HYG
0.95
0.86
0.81
0.74
International Bonds
BNDX
0.90
0.50
0.39
0.29
Emerg. Market Bonds
EMB
0.82
0.73
0.65
0.58
Gold
GLD
0.38
0.19
0.08
0.08
Commodities
DBC
0.43
0.53
0.44
0.51

Capital Growth as of Mar 31, 2023

Capital growth, returns, stats are calculated assuming a reinvestment of dividends.

If you are interested in getting periodic income, please refer to the ProShares Ultra S&P 500 (SSO) ETF: Dividend Yield page.

An investment of 1000$, since April 2008, now would be worth 6634.49$, with a total return of 563.45% (13.45% annualized).

The Inflation Adjusted Capital now would be 4708.98$, with a net total return of 370.90% (10.88% annualized).
An investment of 1000$, since July 2006, now would be worth 6566.80$, with a total return of 556.68% (11.89% annualized).

The Inflation Adjusted Capital now would be 4428.94$, with a net total return of 342.89% (9.29% annualized).
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Drawdowns

Worst drawdowns since April 2008.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-76.37% Jun 2008 Feb 2009 9 Mar 2013 49 58
-45.69% Jan 2022 Sep 2022 9 in progress 6 15
-40.91% Jan 2020 Mar 2020 3 Aug 2020 5 8
-27.03% Oct 2018 Dec 2018 3 Jul 2019 7 10
-17.36% Jun 2015 Sep 2015 4 Jul 2016 10 14
-13.17% Feb 2018 Mar 2018 2 Aug 2018 5 7
-12.91% Sep 2020 Oct 2020 2 Nov 2020 1 3
-9.41% Sep 2021 Sep 2021 1 Oct 2021 1 2
-7.23% Jan 2014 Jan 2014 1 Feb 2014 1 2
-6.94% Dec 2014 Jan 2015 2 Feb 2015 1 3
-6.08% Aug 2013 Aug 2013 1 Sep 2013 1 2
-4.04% Aug 2019 Aug 2019 1 Oct 2019 2 3
-3.95% Sep 2016 Oct 2016 2 Nov 2016 1 3
-3.43% Mar 2015 Mar 2015 1 May 2015 2 3
-3.11% Jun 2013 Jun 2013 1 Jul 2013 1 2
-2.93% Sep 2014 Sep 2014 1 Oct 2014 1 2
-2.88% Jul 2014 Jul 2014 1 Aug 2014 1 2
-2.30% Jan 2021 Jan 2021 1 Feb 2021 1 2
-1.72% Nov 2021 Nov 2021 1 Dec 2021 1 2
-0.02% Mar 2017 Mar 2017 1 Apr 2017 1 2

Worst drawdowns since July 2006.

Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months
-81.35% Jun 2007 Feb 2009 21 Oct 2013 56 77
-45.69% Jan 2022 Sep 2022 9 in progress 6 15
-40.91% Jan 2020 Mar 2020 3 Aug 2020 5 8
-27.03% Oct 2018 Dec 2018 3 Jul 2019 7 10
-17.36% Jun 2015 Sep 2015 4 Jul 2016 10 14
-13.17% Feb 2018 Mar 2018 2 Aug 2018 5 7
-12.91% Sep 2020 Oct 2020 2 Nov 2020 1 3
-9.41% Sep 2021 Sep 2021 1 Oct 2021 1 2
-7.23% Jan 2014 Jan 2014 1 Feb 2014 1 2
-6.94% Dec 2014 Jan 2015 2 Feb 2015 1 3
-4.57% Feb 2007 Feb 2007 1 Apr 2007 2 3
-4.04% Aug 2019 Aug 2019 1 Oct 2019 2 3
-3.95% Sep 2016 Oct 2016 2 Nov 2016 1 3
-3.43% Mar 2015 Mar 2015 1 May 2015 2 3
-2.93% Sep 2014 Sep 2014 1 Oct 2014 1 2
-2.88% Jul 2014 Jul 2014 1 Aug 2014 1 2
-2.30% Jan 2021 Jan 2021 1 Feb 2021 1 2
-1.72% Nov 2021 Nov 2021 1 Dec 2021 1 2
-0.02% Mar 2017 Mar 2017 1 Apr 2017 1 2

Rolling Returns ( more details)

ProShares Ultra S&P 500 (SSO) ETF: annualized rolling and average returns

Swipe left to see all data
Rolling
Period		 Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
 18.10 130.52
Apr 2020 - Mar 2021 		-74.37
Mar 2008 - Feb 2009 		26.32%
2 Years
 16.39 77.84
Mar 2009 - Feb 2011 		-53.20
Mar 2007 - Feb 2009 		17.42%
3 Years
 16.97 48.15
Mar 2009 - Feb 2012 		-28.40
Jul 2007 - Jun 2010 		16.87%
5 Years
 18.47 44.13
Mar 2009 - Feb 2014 		-11.68
Oct 2006 - Sep 2011 		14.08%
7 Years
 19.17 31.91
Oct 2011 - Sep 2018 		2.51
Sep 2006 - Aug 2013 		0.00%
10 Years
 19.11 30.24
Mar 2009 - Feb 2019 		6.51
Nov 2006 - Oct 2016 		0.00%
15 Years
 12.76 15.08
Sep 2006 - Aug 2021 		9.27
Oct 2007 - Sep 2022 		0.00%
(*) Annualized rolling and average returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the ProShares Ultra S&P 500 (SSO) ETF: Rolling Returns page.

Seasonality

ProShares Ultra S&P 500 (SSO) ETF: in which months is it better to invest?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.

For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
2.92
40%
-3.18
40%
-0.74
80%
5.26
80%
0.27
60%
1.14
80%
8.93
100%
2.73
60%
-6.25
40%
2.93
60%
8.22
80%
-1.56
60%
 Capital Growth on monthly avg returns
100
102.92
99.65
98.92
104.12
104.41
105.60
115.03
118.16
110.78
114.02
123.40
121.48
Best 15.7
2019 		6.2
2019 		9.0
2021 		25.2
2020 		9.2
2020 		14.1
2019 		18.7
2022 		14.3
2020 		3.6
2019 		15.7
2022 		22.5
2020 		8.8
2021
Worst -10.6
2022 		-15.5
2020 		-29.8
2020 		-17.4
2022 		-12.8
2019 		-16.7
2022 		2.5
2019 		-8.7
2022 		-18.4
2022 		-14.0
2018 		-1.7
2021 		-17.7
2018
Monthly Seasonality over the period Apr 2018 - Mar 2023
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.55
40%
0.37
50%
0.28
60%
3.57
90%
1.84
80%
0.38
70%
6.77
90%
0.34
60%
-2.97
40%
4.64
70%
6.61
90%
-0.09
60%
 Capital Growth on monthly avg returns
100
100.55
100.92
101.21
104.82
106.75
107.15
114.41
114.79
111.39
116.55
124.26
124.14
Best 15.7
2019 		11.4
2015 		14.0
2016 		25.2
2020 		9.2
2020 		14.1
2019 		18.7
2022 		14.3
2020 		6.5
2013 		17.4
2015 		22.5
2020 		8.8
2021
Worst -10.6
2022 		-15.5
2020 		-29.8
2020 		-17.4
2022 		-12.8
2019 		-16.7
2022 		-2.9
2014 		-12.5
2015 		-18.4
2022 		-14.0
2018 		-1.7
2021 		-17.7
2018
Monthly Seasonality over the period Apr 2013 - Mar 2023
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
-0.33
47%
-0.22
53%
2.49
65%
5.05
88%
0.51
69%
-1.52
50%
5.03
76%
0.05
65%
-1.19
53%
2.35
65%
3.25
71%
1.12
65%
 Capital Growth on monthly avg returns
100
99.67
99.45
101.92
107.08
107.63
105.99
111.32
111.38
110.05
112.64
116.31
117.62
Best 15.7
2019 		11.4
2015 		14.6
2009 		25.2
2020 		11.2
2009 		14.1
2019 		18.7
2022 		14.3
2020 		18.4
2010 		21.8
2011 		22.5
2020 		13.9
2010
Worst -16.5
2009 		-21.1
2009 		-29.8
2020 		-17.4
2022 		-16.1
2010 		-16.7
2022 		-7.0
2007 		-12.8
2011 		-19.6
2008 		-34.9
2008 		-17.0
2008 		-17.7
2018
Monthly Seasonality over the period Jul 2006 - Mar 2023

Monthly/Yearly Returns

ProShares Ultra S&P 500 (SSO) ETF data source starts from July 2006: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jul 2006 - Mar 2023
128 Positive Months (64%) - 73 Negative Months (36%)
MONTHLY RETURNS TABLE
Jul 2006 - Mar 2023
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2023
 +12.94 +11.42 12.2 -5.6 6.6
2022
 -38.98 -42.68 -10.6 -6.3 7.1 -17.4 -0.5 -16.7 18.7 -8.7 -18.4 15.7 10.1 -11.8
2021
 +60.45 +49.90 -2.3 5.3 9.0 10.6 1.1 4.4 4.7 5.9 -9.4 14.3 -1.7 8.8
2020
 +21.53 +19.90 -0.4 -15.5 -29.8 25.2 9.2 3.0 11.7 14.3 -8.0 -5.4 22.5 7.4
2019
 +63.45 +59.80 15.7 6.2 3.4 7.7 -12.8 14.1 2.5 -4.0 3.6 4.0 7.1 5.6
2018
 -14.62 -16.22 11.2 -8.1 -5.5 0.2 4.4 1.0 7.1 6.2 0.9 -14.0 3.1 -17.7
2017
 +44.35 +41.37 3.5 7.8 0.0 1.9 2.5 1.0 3.9 0.3 3.8 4.5 5.9 2.4
2016
 +21.55 +19.08 -10.4 -0.6 14.0 0.6 3.2 0.2 7.4 0.1 -0.3 -3.7 7.2 4.0
2015
 -1.19 -1.91 -6.1 11.4 -3.4 1.8 2.3 -4.1 4.2 -12.5 -5.5 17.4 0.6 -3.8
2014
 +25.53 +24.59 -7.2 9.1 1.5 1.2 4.4 4.1 -2.9 7.9 -2.9 4.4 5.5 -0.8
2013
 +70.46 +67.94 10.3 2.2 7.4 3.9 4.6 -3.1 10.4 -6.1 6.5 9.1 5.8 5.1
2012
 +31.04 +28.79 9.0 8.4 6.7 -1.6 -11.4 7.3 2.5 4.6 4.9 -4.1 0.9 2.1
2011
 -2.92 -5.71 4.3 6.9 -0.4 5.7 -2.4 -3.7 -4.2 -12.8 -13.9 21.8 -1.6 1.9
2010
 +26.83 +24.97 -7.5 6.1 12.4 2.8 -16.1 -10.9 14.1 -9.3 18.4 7.6 -0.4 13.9
2009
 +47.26 +43.36 -16.5 -21.1 14.6 20.3 11.2 -0.6 14.5 7.4 7.1 -4.3 12.3 3.7
2008
 -67.94 -67.97 -12.9 -5.4 -3.1 9.3 2.4 -16.3 -2.5 2.2 -19.6 -34.9 -17.0 -1.0
2007
 +1.04 -2.93 2.1 -4.6 1.9 8.6 6.2 -3.8 -7.0 1.1 7.8 2.1 -8.5 -3.1
2006
 - - 0.5 4.3 4.7 5.5 3.4 2.5
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