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SIMPLE
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Risk-Adjusted Performance
Dividends
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Volatility
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SIMPLE

Last updated Sep 21, 2024

Asset Allocation

HEQT 16.67%PFIX 16.67%NUSI 16.67%NDJI 16.67%BST 16.67%SVOL 16.67%AlternativesAlternativesEquityEquityVolatilityVolatility
PositionCategory/SectorWeight
BST
BlackRock Science and Technology Trust		Financial Services
16.67%
HEQT
Simplify Hedged Equity ETF		Options Trading
16.67%
NDJI
Nationwide Dow Jones Risk-Managed Income ETF		Actively Managed, Hedge Fund
16.67%
NUSI
Nationwide Risk-Managed Income ETF		Large Cap Growth Equities, Actively Managed
16.67%
PFIX
Simplify Interest Rate Hedge ETF		Hedge Fund, Actively Managed
16.67%
SVOL
Simplify Volatility Premium ETF		Volatility, Actively Managed
16.67%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in SIMPLE, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
2.13%
8.94%
SIMPLE
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 17, 2021, corresponding to the inception date of NDJI

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
SIMPLE10.07%0.72%2.13%15.96%N/AN/A
Portfolio components:
SVOL
Simplify Volatility Premium ETF		9.46%1.80%6.06%14.80%N/AN/A
HEQT
Simplify Hedged Equity ETF		14.70%2.26%9.46%21.94%N/AN/A
PFIX
Simplify Interest Rate Hedge ETF		2.74%-3.38%-11.79%-15.33%N/AN/A
NUSI
Nationwide Risk-Managed Income ETF		20.08%2.61%11.81%35.72%N/AN/A
NDJI
Nationwide Dow Jones Risk-Managed Income ETF		2.68%0.00%0.00%10.20%N/AN/A
BST
BlackRock Science and Technology Trust		9.97%0.64%-1.83%22.13%10.41%N/A

Monthly Returns

The table below presents the monthly returns of SIMPLE, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.43%3.51%0.20%1.82%1.06%1.84%-1.54%-0.21%10.07%
20232.26%0.22%0.70%1.14%3.00%3.09%2.78%1.64%1.92%0.86%3.27%-1.21%21.42%
2022-3.07%-1.86%4.56%-2.74%-0.57%-4.97%3.87%-0.54%-2.65%5.37%-0.01%-1.87%-4.96%
20211.56%1.56%

Expense Ratio

SIMPLE features an expense ratio of 0.48%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

NUSI
Nationwide Risk-Managed Income ETF
Expense ratio chart for NUSI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
NDJI
Nationwide Dow Jones Risk-Managed Income ETF
Expense ratio chart for NDJI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
HEQT
Simplify Hedged Equity ETF
Expense ratio chart for HEQT: current value at 0.53% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.53%
SVOL
Simplify Volatility Premium ETF
Expense ratio chart for SVOL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
PFIX
Simplify Interest Rate Hedge ETF
Expense ratio chart for PFIX: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of SIMPLE is 22, indicating that it is in the bottom 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of SIMPLE is 2222
SIMPLE
The Sharpe Ratio Rank of SIMPLE is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of SIMPLE is 1919Sortino Ratio Rank
The Omega Ratio Rank of SIMPLE is 2323Omega Ratio Rank
The Calmar Ratio Rank of SIMPLE is 3737Calmar Ratio Rank
The Martin Ratio Rank of SIMPLE is 1515Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

SIMPLE
Sharpe ratio
The chart of Sharpe ratio for SIMPLE, currently valued at 1.64, compared to the broader market-1.000.001.002.003.004.005.001.64
Sortino ratio
The chart of Sortino ratio for SIMPLE, currently valued at 2.28, compared to the broader market-2.000.002.004.006.002.28
Omega ratio
The chart of Omega ratio for SIMPLE, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for SIMPLE, currently valued at 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for SIMPLE, currently valued at 6.98, compared to the broader market0.0010.0020.0030.0040.006.98
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.005.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SVOL
Simplify Volatility Premium ETF		1.181.571.291.289.24
HEQT
Simplify Hedged Equity ETF		2.653.821.523.5118.33
PFIX
Simplify Interest Rate Hedge ETF		-0.27-0.110.99-0.29-0.45
NUSI
Nationwide Risk-Managed Income ETF		2.583.681.491.6914.20
NDJI
Nationwide Dow Jones Risk-Managed Income ETF		1.432.181.440.5510.09
BST
BlackRock Science and Technology Trust		1.091.531.200.654.00

Sharpe Ratio

The current SIMPLE Sharpe ratio is 1.64. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.91 to 2.59, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of SIMPLE with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50AprilMayJuneJulyAugustSeptember
1.64
2.32
SIMPLE
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

SIMPLE granted a 19.84% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
SIMPLE19.84%20.71%8.35%3.62%1.87%1.81%1.03%0.77%1.08%1.12%0.09%
Portfolio components:
SVOL
Simplify Volatility Premium ETF		16.09%16.36%18.21%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HEQT
Simplify Hedged Equity ETF		3.74%4.10%3.94%0.27%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PFIX
Simplify Interest Rate Hedge ETF		81.84%80.99%0.63%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NUSI
Nationwide Risk-Managed Income ETF		6.54%7.18%9.05%7.77%7.48%0.65%0.00%0.00%0.00%0.00%0.00%
NDJI
Nationwide Dow Jones Risk-Managed Income ETF		2.23%6.74%7.69%0.57%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BST
BlackRock Science and Technology Trust		8.63%8.91%10.57%8.45%3.72%10.19%6.20%4.64%6.47%6.71%0.55%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-3.81%
-0.19%
SIMPLE
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the SIMPLE. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the SIMPLE was 9.97%, occurring on Jun 16, 2022. Recovery took 231 trading sessions.

The current SIMPLE drawdown is 3.81%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.97%Jan 4, 2022114Jun 16, 2022231May 18, 2023345
-9.26%Jul 11, 202418Aug 5, 2024———
-3.25%Oct 11, 202313Oct 27, 20235Nov 3, 202318
-2.61%Apr 12, 20246Apr 19, 20245Apr 26, 202411
-2.02%Jan 25, 20246Feb 1, 20242Feb 5, 20248

Volatility

Volatility Chart

The current SIMPLE volatility is 3.02%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

1.00%2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
3.02%
4.31%
SIMPLE
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
PFIXNDJISVOLBSTNUSIHEQT
PFIX1.00-0.09-0.15-0.10-0.14-0.12
NDJI-0.091.000.450.490.520.59
SVOL-0.150.451.000.570.580.64
BST-0.100.490.571.000.760.75
NUSI-0.140.520.580.761.000.80
HEQT-0.120.590.640.750.801.00
The correlation results are calculated based on daily price changes starting from Dec 20, 2021