Dashboard · Regenerated from source
Leveraged ETF regime monitor
Given where realized volatility actually sits today, is leverage additive or destructive in each of these pairs right now?
Data as of 2026-09-25 · 6 of 6 pairs clear their breakeven
The research note showed that the sign of the
compounding effect is set by realized volatility, not by holding period. That turns into a
standing question rather than a one-time answer, so this page tracks it. Every figure below
is computed by levetf_monitor.R and rendered straight from its output. There
is no hand-maintained spreadsheet behind it.
- Underlying, trailing 1y
- 25.5%
- Breakeven required
- 8.8%
- Margin
- +16.7 pp
- Realized vol, 21d
- 16.1%
- Vol percentile
- 49%
- Drawdown from high
- -8.3%
- Underlying, trailing 1y
- 17.9%
- Breakeven required
- 5.7%
- Margin
- +12.2 pp
- Realized vol, 21d
- 10.8%
- Vol percentile
- 37%
- Drawdown from high
- -3.3%
- Underlying, trailing 1y
- 113.5%
- Breakeven required
- 34.9%
- Margin
- +78.6 pp
- Realized vol, 21d
- 39.4%
- Vol percentile
- 86%
- Drawdown from high
- -49.6%
- Underlying, trailing 1y
- 17.9%
- Breakeven required
- 6.1%
- Margin
- +11.8 pp
- Realized vol, 21d
- 12.5%
- Vol percentile
- 13%
- Drawdown from high
- -43.8%
- Underlying, trailing 1y
- 17.9%
- Breakeven required
- 5.3%
- Margin
- +12.7 pp
- Realized vol, 21d
- 10.8%
- Vol percentile
- 37%
- Drawdown from high
- -2.0%
- Underlying, trailing 1y
- 25.5%
- Breakeven required
- 7.7%
- Margin
- +17.8 pp
- Realized vol, 21d
- 16.1%
- Vol percentile
- 49%
- Drawdown from high
- -3.5%
Each sparkline is two years of 21-day realized volatility. The dashed rule is that pair's flip-point: the volatility at which today's trailing underlying return would exactly equal the breakeven, computed from the same observables with no forecast. A dot below the rule is a pair whose current volatility still clears; the gap between them is how much room is left.
Margin over breakeven · percentage points of annual return
The full picture
| Fund | Base | L | Vol 21d | Pctl | Drag | Financing | Breakeven | Base 1y | Margin |
|---|---|---|---|---|---|---|---|---|---|
| TQQQ | QQQ | 3× | 16.1% | 49% | 7.8% | 7.2% | 8.8% | 25.5% | +16.7 |
| UPRO | SPY | 3× | 10.8% | 37% | 3.5% | 6.8% | 5.7% | 17.9% | +12.2 |
| SOXL | SOXX | 3× | 39.4% | 86% | 46.5% | 7.7% | 34.9% | 113.5% | +78.6 |
| TNA | IWM | 3× | 12.5% | 13% | 4.7% | 5.9% | 6.1% | 17.9% | +11.8 |
| SSO | SPY | 2× | 10.8% | 37% | 1.2% | 3.5% | 5.3% | 17.9% | +12.7 |
| QLD | QQQ | 2× | 16.1% | 49% | 2.6% | 3.8% | 7.7% | 25.5% | +17.8 |
How to read this
Holding a leveraged fund costs two separate things. The first is the compounding penalty, which is a function of realized volatility and scales with its square:
drag = ½ · L · (L−1) · σ²The second is financing. The fund borrows to hold its notional and pays the going rate. The research note measured this at roughly 6 to 8% a year for the 3× funds and 3.5 to 4% for the 2×, an order of magnitude larger than the stated expense ratio. Those two together are the carry: the annual headwind before the underlying does anything at all.
Breakeven is the annual return the underlying must deliver for the leveraged fund to beat simply holding the underlying:
breakeven = ½ · σ² · (L+1) + financing / (L−1)The useful property is that it needs no return forecast. It depends only on volatility and financing, both of which are observable today. That makes it a hurdle you can actually check, rather than a prediction you have to believe.
The comparison on this page puts a trailing 1-year underlying return against a forward hurdle. That describes the regime just passed, not the one ahead, and the two differ most exactly when it matters, at turning points. A pair clearing its breakeven today has been in a regime that rewarded leverage; it says nothing about whether tomorrow's will.
SOXL sits at the 86th percentile of its own realized-volatility history, with a 39.4% 21-day reading driving a 46.5% annual compounding penalty on its own. It clears its breakeven on trailing return, but it is doing so from precisely the volatility regime the study found most destructive to leveraged compounding, and it is -49.6% off its high while doing it. Clearing the hurdle and being safe are not the same statement.
Reproducing this
levetf_monitor.R is 106 lines of R and pulls free daily bars. It needs no
paid data or API key. It writes two CSVs, and this page is built from them, including every
chart, which is inline SVG emitted by the generator with no JavaScript. Refreshing the
dashboard is two commands and no manual editing. That pattern, a script that produces the
numbers and a page that renders itself from them, is what I build for clients who are
rebuilding the same view by hand every week.
Source available on request: james@adjustedclose.com.