Leverage factor

A weighted blend of market leverage (debt relative to market value), debt to assets and net debt to EBITDA. Part of FactorPulse's FPUS1 model (Style).

The exposure shown is this measure standardized across stocks and taken net of the market and of International, Beta, Size, Long-Term Momentum, Residual Volatility, Liquidity, Growth and Value (position 9 of 18 style factors).

Oct 28, 2026
+0.26%
vs. 1-year daily volatility
z = +1.5
1M
-0.77%
3M
-3.76%
YTD
-4.02%
1Y
-5.16%

Last 12 months

simulated-6.0%-4.0%-2.0%0.0%2.0%Oct 25Dec 25Feb 26Apr 26Jun 26Aug 26Oct 26
Cumulative return (sum of daily returns) of the Leverage factor portfolio, through Oct 28, 2026.

Full history

simulated history-30%-20%-10%0%2020202120222023202420252026
Since Jan 02, 2020. The shaded period is simulated history.

History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.

Statistics

PeriodReturnVolatility (ann.)Return / riskMax drawdown
1M-0.77%3.2%-2.86-1.40%
3M-3.76%3.1%-4.86-4.40%
YTD-4.02%2.9%-1.66-6.30%
1Y-5.16%2.7%-1.89-6.30%
Since Jul 2026 (live)-4.01%3.1%-4.31-5.27%
Since 2020 (incl. simulated)-28.72%3.0%-1.41-29.36%

Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.

Large companies most and least exposed today

Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the factors ranked ahead of it. When the factor return is positive, high leverage outperforms; when it is negative, low leverage outperforms.

Highest exposure

  1. KKR & Co. Inc. KKR +4.10 · $84B
  2. CME Group Inc. CME +3.40 · $105B
  3. Brookfield Corporation BN +3.40 · $86B
  4. Ford Motor Company F +3.27 · $48B
  5. Venture Global, Inc. VG +2.80 · $36B
  6. TransDigm Group Incorporated TDG +2.68 · $63B
  7. Iron Mountain Inc. IRM +2.57 · $34B
  8. CoreWeave, Inc. CRWV +2.45 · $35B
  9. General Motors Company GM +2.34 · $70B
  10. UBS Group AG UBS +2.33 · $141B

Lowest exposure

  1. Copart Inc CPRT -2.04 · $27B
  2. Zoom Communications, Inc. ZM -1.96 · $29B
  3. Manulife Financial Corp. MFC -1.75 · $74B
  4. Veeva Systems Inc. VEEV -1.66 · $51B
  5. Cincinnati Financial Corp CINF -1.63 · $28B
  6. Cognizant Technology Solutions CTSH -1.54 · $30B
  7. Garmin Ltd GRMN -1.51 · $53B
  8. PDD Holdings Inc. PDD -1.50 · $110B
  9. Old Dominion Freight Line ODFL -1.49 · $36B
  10. Chipotle Mexican Grill, Inc. CMG -1.48 · $36B

What it moves with

Most positively correlated factors (1 year)

  1. Semiconductors +0.36
  2. Dividend Yield +0.32
  3. Value +0.28

Most negatively correlated factors

  1. Residual Volatility -0.38
  2. Growth -0.35
  3. Bitcoin / Crypto -0.27

Correlation with ETFs

ETF1 year3 months
SPY S&P 500+0.01-0.03
IWM Small caps+0.09+0.06
TLT Long Treasuries+0.18+0.16
USO Oil-0.08-0.22
SMH Semiconductors+0.15+0.25
GLD Gold-0.04-0.08
XLU Utilities+0.57+0.60
BITO Bitcoin futures-0.08-0.07
KWEB China internet-0.09-0.30

← All FPUS1 factors