More detailed information on U.S. leveraged ETFs with 2x leverage

I. Clarification of Data Scope (Important) 1. Leverage Classification Basis: Wind's field “ETF Leverage Multiple.” Products with a multiple of 2 or 3 are classified as leveraged; those with an empty value or a multiple of 1 are classified as unleveraged. 2. Calculation Period: January 4, 2019, to October 16, 2026. For products listed after January 4, 2019, performance is calculated only from their listing date through October 16, 2026; their total return does not represent a full 7.8-year cumulative period. 3. Trading Volume Unit: Uniformly converted to billion USD. Some original data entries were in “trillion USD”; these have been converted (1 trillion = 10,000 billion). 4. Special Note on the “Unleveraged” List: Wind classifies single-short ETFs (e.g., SH, PSQ, SARK) as having a leverage multiple of 1. If filtered strictly by multiple, such inverse products would dominate the list—and move in the opposite direction to long-only ETFs. To avoid mixing opposing strategies, I split the list into three distinct categories: (i) leveraged long ETFs (2x and 3x), (ii) unleveraged long-only ETFs (pure 1x long), and (iii) a separate reference list of single-short (inverse) ETFs. II. Leveraged Long ETF Ranking (2x & 3x): Sorted by Total Return Over the Period Key Observations: • Return amplification for leveraged long ETFs is non-linear. For example, SOXL has risen ~19.8-fold since 2012, yet suffered a maximum drawdown of −90.51%, with an annualized Sharpe ratio of only 0.612—lower than that of the unleveraged semiconductor ETF SMH (0.995). This illustrates the volatility drag and Sharpe erosion inherent in leveraged ETFs. • The highest Sharpe ratios belong to MULL.O (2.327) and MUU.O (1.709); however, both launched only in November 2024 and October 2024 respectively—providing just ~2 years of data, insufficient for meaningful comparison against longer-tenured products across the full 7.8-year horizon. • TQQQ recorded the highest trading volume over the period—$649.19 billion—making it the most liquid ETF overall; yet its Sharpe ratio (0.625) remains below that of its underlying index ETF QQQ (0.676).

Two Sigma’s investment strategy, as revealed by SEC disclosure data

Pursuant to U.S. Securities and Exchange Commission (SEC) requirements, investment companies must disclose their equity holdings quarterly in Form 13F filings. These reports provide insight into how hedge funds—including Two Sigma—allocate capital. Using Bloomberg’s “Holdings Library” to access 13F filings, we can track position changes disclosed by various funds and hedge funds. As shown in Figures 1–3: 1) Between June and September 2020, Two Sigma significantly increased positions in energy, technology, and financial stocks. 2) “Buy-low, sell-high” trading behavior: Positions in certain sectors (e.g., healthcare) were built up over several consecutive quarters, then reduced in subsequent quarters—indicating active, tactical trading. 3) Market-timing strategy: Across multiple quarters, Two Sigma simultaneously added to—or reduced—positions across diverse sectors, suggesting broad-based macro or market-level timing decisions. 4) Persistent accumulation in key names: Starting in June 2020, Two Sigma consistently increased its stake in Pfizer (PFE) and AbbVie (ABBV).

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