How much does an uneven market path cost a 3× holding? Each point compares daily 3× compounding with a hypothetical steady path that reaches the same S&P 500 endpoint over the same holding period. Higher readings mean more wealth lost to daily ups and downs.
Most damaging holding windows
| Holding start | Holding end ↗ | Volatility drag | S&P 500 return | 3× model return |
|---|
Highest drag first, selecting non-overlapping holding windows to avoid listing the same episode repeatedly. Click an end date to inspect it. Percentiles in the reading cards use only earlier completed windows; overlapping windows are not independent observations.
What this measures & how to read it
A 20% reading means the observed daily-reset path ended with 20% less wealth than the matched smooth path. It is a relative wealth gap, not a 20-percentage-point subtraction from the ETF’s return. Both paths start at the same value and share the same S&P 500 endpoint and number of observed returns.
For example, an index that rises 10% and then falls 9.09% returns to its starting value. A 3× daily-reset holding follows 1.30 × 0.72727 = 0.94545, losing 5.45%. Its matched smooth path is flat, so the volatility-drag reading is 5.45%.
We calculate the exact observed-close product, rather than estimating decay from an annualized volatility shortcut. Let rᵢ be each index price return, n the number of observed returns and G = ∏(1 + rᵢ). The daily-reset path is A = ∏(1 + 3rᵢ). The matched steady daily return is g = G^(1/n) − 1, giving smooth-path wealth B = (1 + 3g)^n. Drag = 100 × (1 − A/B). Constant daily growth has zero volatility-only drag; variation around that growth creates the gap. The smooth path is a comparison device, not an investable strategy.
The holding-period control uses calendar months. Each start is the last available close on or before the anniversary of the reading date; a holiday can make the realized interval slightly longer. Only complete backward-looking windows are plotted. A daily index fall of at least one-third wipes out the idealized 3× holding for windows containing that return; it is not allowed to become negative or revive within the same holding window.
A positive drag reading can coexist with a strongly positive leveraged return. Daily compounding can also beat simply multiplying the index’s whole-period return by three during a sustained trend. This measure isolates the penalty from uneven daily moves relative to a constant-growth path; it does not label every difference from three times the period return as decay.
Data history, real-ETF check & daily updates
The price source is Yahoo Finance’s S&P 500 daily-close history, beginning 30 December 1927. The 500-stock index launched in March 1957; earlier observations represent its predecessor/back-calculated history. No synthetic daily prices are created from monthly data. The source has no Saturday closes, although the NYSE traded on Saturdays before 1952, so the early section cannot capture every historical daily reset.
The full history is a mathematical 3× price-index model, including the modern period. It excludes dividends, distributions, financing costs, fund fees, taxes, transaction costs and tracking differences. It is not a historical UPRO or SPXL wealth series. Actual fund outcomes can differ materially.
Validation sources: ProShares UPRO historical NAV file and UPRO distribution dates. UPRO’s issuer describes its daily 3× objective and compounding effects. Avellaneda & Zhang’s research provides the related variance-and-financing framework; this chart uses the explicitly defined, exact discrete smooth-path comparison above.
Automatic server refreshes run three times daily and use completed prior-day observations. Invalid, stale or truncated core price history leaves the last valid snapshot in place. If only the optional UPRO diagnostic is unavailable, the price model still updates and the last successful diagnostic is retained with its date. The embedded saved chart data are refreshed too.