Leverage ETFs: Historical Returns of a Leveraged S&P 500
The goal is to calculate historical returns for a leveraged S&P 500 ETF, since there is no historical data for e.g. the UPRO. The full analysis, including all code, is available as a Jupyter notebook: open the notebook (HTML). We try to hit the UPRO (3x S&P 500) as a benchmark and use the FED Funds Rate and SOFR as a proxy for the borrowing cost. Step 1: Derive S&P 500 returns with dividends included (benchmark: S&P 500 Total Return). Step 2: Calculate leveraged returns (benchmark: UPRO). Step 3: Analyze return and drawdown for single and recurring investments. Results: ...