In theory we'd expect to see a 2x or 3x multiple whether up or down. In practice, it's a matter of correlation. UPRO claims a 0.99 correlation...we'll assume that holds for down markets too.

No. The question is not correlation, it's volatility. Leveraged ETFs are rebalanced daily. Let's take a look at some examples:

Example 1: Underlying index up 5 days in a row, 2.0% each day.

Index after 5 days: (1.02 ^ 5) = 1.104, so up 10.4%.

3X Leverage: (1.06 ^ 5) = 33.8%.

33.8 / 10.4 = 3.25

When the market has multiple up days in a row, the leveraged investment returns

*more* than 3x the underlying investment.

Example 2: Underlying index down 5 days in a row, 2.0% each day.

Index after 5 days: (0.98 ^ 5) = 0.904, so down 9.6%.

3X Leverage: (0.94 ^ 5) = 0.734, so down 26.6 %.

26.6/ 9.6 = 2.77

When the market has multiple down days in a row, the leveraged investment returns

*less* than 3x the underlying investment.

Example 3: Index day 1 up 2.0%, day 2 down 2.0% day 3 up 2.0%, day 4 down 2.0%, day 5 up 2.0%, day 6 down 2.0%.

Index after 6 days: (1.02) ^3 * (.98) ^3 = .9988, so down 0.12%.

3X Leverage: (1.06) ^3 * (.94) ^3 = .9892, so down 1.08%.

1.08 / 0.12 = 9

When the market has volatility, the leveraged investment has MUCH greater losses than the index (in this case, 9x).

And these examples are over 5-6 days. Over months or years, the results are much less predictable, but depend on the amount of volatility. Leveraged ETF returns are path-dependent - that is, they can't be predicted from just the starting and ending points of the underlying index.