The Ultra S&P500 2X ETF (SSO) can be replicated using the GTR1 Basic Blender (gSSO). Recent annual results track closely:

Year   SSO   gSSO
2016  21.6   19.9
2017  44.4   43.7
2018  -14.6  -14.7
2019  63.5   62.6
2020  21.5   22.0
2021  60.6   58.3
2022  -39.0  -39.3
2023  46.7   46.1
2024  43.5   43.8
 
avg   27.6   26.9
 sd   34.6   34.3

gSSO uses 2.235% margin premium.

gtr1.net: GTR1 Basic Blender - gSSO

Leverage strategies are sensitive to the rebalancing frequency. The Ultra S&P500 2X ETF (SSO) rebalances daily. This avoids total wipeouts, as a 50% daily decline in the S&P 500 is very unlikely. The rebalance frequency can be changed in the GTR1 Basic Blender. The longest backtest shows gSSO_r63 sometimes going broke (SAWR is negative, GSD is nan). Results from 19251231 to 20251128:

  Screen   CAGR  SAWR  GSD  LDDD3    MDD   Sharpe
   S5T     10.3    5   21     13     -85    0.44
  gSSO     11.3    2   46     28     -99    0.38
gSSO_r21   10.9    2   48     29     -99    0.38
gSSO_r63   10.4   -4   nan    32     -99    0.36
gSSO_r254  nan   -94   nan    26   -80266   0.07

gSSO is daily rebalance.
gSSO_r21 is monthly rebalance.
gSSO_r63 is quarterly rebalance.
gSSO_r254 is annual rebalance

Recent results show the annual rebalance sometimes going broke. Results from 20060621 to 20251128:

  Screen   CAGR  SAWR  GSD  LDDD3  MDD  Sharpe
   S5T     11.3    8   18     11   -55   0.65
  gSSO     14.8    6   41     24   -84   0.55
gSSO_r21   15.6    7   42     24   -84   0.57
gSSO_r63   15.8    6   44     25   -86   0.57
gSSO_r254  12.8  -67   nan    14   -48   0.68

The risk metrics (GSD and LDDD3) are more than double for gSSO compared to S5T, but the CAGR does not double, because of margin costs and volatility drag. gSSO CAGR is lowered by about 3 from margin costs, and about 5 from extra volatility drag. Recent CAGR for gSSO is about:

2x base CAGR - 2.6 margin - 5.2 drag = 22.6 - 7.8 = 14.8

=== repost of an earlier message ===

Author: rgearyiii
Subject: Re: How to go with SSO
Date: 1/16/2014
You can actually create an approximation of a 2x leveraged S&P500 ETF back to 1974. ...

[Results from 20060621 to 20140114]:

              gSSO     SSO
   CAGR:      6.68    6.68
    TR:      62.74   62.74
  GSD(20):   55.06   55.33
  DD(20):    43.55    43.9
    MDD:     -84.08  -84.66
  UI(20):    41.49   41.99
Sharpe(20):   0.36    0.36
 Beta(20):    1.95    1.95
  TI(20):     7.35    7.37
    AT:       3.22     0

The match between gSSO and SSO looks impressive, but that`s mainly because I tuned the margin premium (the percentage points of interest above the Cash yield paid on short positions, including Cash itself) to get CAGRs to match, which happened at 2.235%. I doubt that State Street Global Advisors pays that much in margin premium, but since gSPY beat SSO by 0.4%, we`d expect gSSO to beat SSO by 0.8% without some sort of penalty. As for why gSSO does not have much of a higher CAGR than gSPY, that`s easily explained by high margin interest rates in the 1970s and 1980s...

gSSO with klouche`s timing (8) loses to gSPY with no timing (1) from 1974 to the present by both Sharpe ratio and maximum drawdown. It`s probably extremely difficult for any strategy involving leverage to look good in the 1970s and 1980s due to high interest rates. But it`s probably also a bit of a lesson in the dangers of curve-fitting and short backtests of timing strategies. ...
https://yorickm.com/Message.php?pid=31069253