Entering text into the input field will update the search result below

SPXU And Leveraged ETFs Dashboard


  • Leveraged ETFs may be unpredictable.
  • An illustration with 22 of them.
  • A closer look at SPXU.
  • Looking for a helping hand in the market? Members of Quantitative Risk & Value get exclusive ideas and guidance to navigate any climate. Get started today »

The ProShares UltraPro Short S&P 500 ETF (NYSEARCA:SPXU) is one of the most popular instruments to short the broad market for trading or hedging purposes. However, its daily -3X leverage factor is a source of drift. It must be closely monitored to detect changes in the drift regime. This article explains what "drift" means, quantifies it in more than 20 leveraged ETFs, shows historical data, and finally concludes about the current market conditions. The analysis is also valid for the Direxion Daily S&P 500 Bear 3X Shares ETF (SPXS), which tracks the same index with the same factor and has almost identical behavior.

Why do leveraged ETFs drift?

Leveraged ETFs often underperform their underlying index leveraged by the same factor. The decay has essentially four reasons: beta-slippage, roll yield, tracking errors, management costs. Beta-slippage is the main reason in equity leveraged ETFs. However, when an asset is in a steady trend, leveraged ETFs can bring an excess return instead of a decay. You can follow this link to learn more about beta-slippage.

Monthly and yearly drift watchlist

A few definitions are necessary before going to the point. “Return” is the return of a leveraged ETF in a given time interval, including dividends. “IndexReturn” is the return of a non-leveraged ETF on the same underlying asset in the same time interval, including dividends. “Lv” is the leveraging factor. “Abs” is the absolute value operator. “Drift” is the drift of a leveraged ETF normalized to the underlying index exposure in a time interval. It is calculated as follows:

Drift = (Return - (IndexReturn x Lv))/ Abs(Lv)

“Decay” means negative drift. “Month” stands for 21 trading days, “year” for 252 trading days.




1-month Return

1-month Drift

1-year Return

1-year Drift

S&P 500






Quantitative Risk & Value (QRV) provides you with data-driven strategies and updates of my portfolio. QRV covers most areas of interest for individual investors: market risk evaluation, growth with stocks, income with closed-end funds, safety with bond rotation. Get started with a two-week free trial and improve your investing decisions from day one. 

This article was written by

Fred Piard profile picture

Fred Piard, PhD. is a quantitative analyst and IT professional with over 30 years of experience working in technology. He is the author of three books and has been investing in data-driven systematic strategies since 2010.

Fred runs the investing group Quantitative Risk & Value where he shares a portfolio invested in quality dividend stocks, and companies at the forefront of tech innovation. Fred also supplies market risk indicators, a real estate strategy, a bond strategy, and an income strategy in closed-end funds. Learn more.

Analyst’s Disclosure: I/we have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article.

Long in stocks, bonds, precious metals.

Seeking Alpha's Disclosure: Past performance is no guarantee of future results. No recommendation or advice is being given as to whether any investment is suitable for a particular investor. Any views or opinions expressed above may not reflect those of Seeking Alpha as a whole. Seeking Alpha is not a licensed securities dealer, broker or US investment adviser or investment bank. Our analysts are third party authors that include both professional investors and individual investors who may not be licensed or certified by any institute or regulatory body.

Recommended For You

Comments (2)

Lynn Sebastian Purcell profile picture
Thanks for this Fred!

Have you done an analysis of the drift of these ETFs relative to the VIX or VVIX to determine whether there is a significant correlation?

It might be interesting to see if there are thresholds above or below which (relative to the volatility indexes) it becomes safer to use leveraged ETFs.
Fred Piard profile picture
@Lynn Sebastian Purcell It is a second-rank clue. Implied volatility may be a clue of forward realized volatility and realized volatility may be a clue of leveraged ETF drift. Anyway, drift is path-dependent.
Disagree with this article? Submit your own. To report a factual error in this article, . Your feedback matters to us!

About SPXU

SymbolLast Price% Chg
Expense Ratio
Div Frequency
Div Rate (TTM)
Yield (TTM)
Assets (AUM)
Compare to Peers

More on SPXU

Related Stocks

SymbolLast Price% Chg
To ensure this doesn’t happen in the future, please enable Javascript and cookies in your browser.
Is this happening to you frequently? Please report it on our feedback forum.
If you have an ad-blocker enabled you may be blocked from proceeding. Please disable your ad-blocker and refresh.