Which Has The Highest Sharpe Ratio, SPY, SSO or SPXL

The Sharpe Ratio is a metric that could represent the perfomance of a investment portfolio better than just its mean return, because the Sharpe ratio takes into account the risk of the portifolio. 

I found that the higher the risk free rate is, the higher the Sharpe ratio is to the leveraged ETF compare to tis non-leveraged peer.

But I want to in reality if it's the case. Then I build this app to compare.

Why SPY, SSO or SPXL

SPY represents the 1x bull SP500 index, SSO represents the 2x bull and the SPXL represents the 3x bull.

The only reason I chose them because they are older than their peers.

• SPY was founded on Jan 22 1993.
• SSO was founded on Jun 19 2006 (2x bull).
• SPUU was founded on May 28 2014 (2x bull).
• UPRO was founded on Jun 23 2009 (3x bull).
• SPXL was founded on Nov 5 2008 (3x bull).

I chose SPY, SSO or SPXL for the following project and I can pick the earlist date possible for comparison. The date is Nov 6 2008, the inception date of SPXL.

Suggested Readings:

• What is the Sharpe Ratio?
• What Are the Mean, Standard Deviation and the Sharpe Ratio of A Leveraged EFT and Comparison to the Non-Leveraged One

Comparison App

Starting Date:
End Date:

SPY

• Mean Daily Return: %
• Daily Return Standard Deviation: %
• Mean Daily Return Divided By Daily Return Standard Deviation:

SSO

• Mean Daily Return: %
• Daily Return Standard Deviation: %
• Mean Daily Return Divided By Daily Return Standard Deviation:

SPXL

• Mean Daily Return: %
• Daily Return Standard Deviation: %
• Mean Daily Return Divided By Daily Return Standard Deviation:

Did Leveraged ETFs Have A Better Sharper Ratio During 2015 Rate Hikes?

No the leveraged ETFs SSO and SPXL did not have a better Sharpe raio during the 2015 rate hikes. The previous rate hikes started on 2015/12/14 and end on 2019/7/22.

Did Leveraged ETFs Have A Better Sharper Ratio from 2008 to 2015 When the Fed Funds Rates are Almost 0%?

Yes the leveraged ETFs SSO and SPXL had a better Sharpe raio from 2008/12/1 to 2015/11/30 when the Fed funds rates were almost 0%.

Did Leveraged ETFs Have A Better Sharper Ratio During US-China Trade War in 2018?

No the leveraged ETFs SSO and SPXL did not have a better Sharpe raio during the US-China trade war when stock market downturned from the date 2018/9/21 to 2018/12/21.

Did Leveraged ETFs Have A Better Sharper Ratio During Covide-19 Crisis?

The SSO had the highest Sharpe raio, while SPXL had the worst Sharpe ratio during the Covid-19 crisis when stock market downturned from the date 2020/2/19 to 2020/3/23.

Did Leveraged ETFs Have A Better Sharper Ratio During Russia-Ukrain Crisis?

The leveraged ETFs SSO and SPXL had a better Sharpe raio during during the Russia-Ukrain crisis when stock market downturned at lower rates from the date 2022/1/4 until toady (2022/3/4).