All-Weather Public
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in All-Weather Public, 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
The earliest data available for this chart is May 10, 2021, corresponding to the inception date of PFIX
Returns
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| All-Weather Public | 11.25% | 2.00% | 5.32% | 10.96% | N/A | N/A |
| Portfolio components: | ||||||
PFIX Simplify Interest Rate Hedge ETF | 15.75% | -17.35% | 27.20% | 28.70% | N/A | N/A |
SSO ProShares Ultra S&P 500 | 34.96% | 9.65% | 10.85% | 23.85% | 17.74% | 17.80% |
XYLD Global X S&P 500 Covered Call ETF | 9.15% | 1.29% | -0.28% | 7.86% | 4.77% | 5.97% |
GNR SPDR S&P Global Natural Resources ETF | -2.17% | -0.22% | 2.53% | -3.59% | 8.52% | 4.37% |
GLD SPDR Gold Trust | 10.32% | 1.28% | 2.64% | 13.85% | 9.85% | 4.68% |
VWOB Vanguard Emerging Markets Government Bond ETF | 6.96% | 4.39% | 3.67% | 5.70% | 1.16% | 2.65% |
VGIT Vanguard Intermediate-Term Treasury ETF | 2.40% | 2.18% | 0.22% | 1.57% | 0.71% | 1.11% |
FLRN SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 5.96% | 0.49% | 2.99% | 6.55% | 2.54% | 1.78% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.71% | 0.63% | 1.88% | 3.40% | 3.20% | 1.83% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -0.63% | 2.33% | 2.68% | -0.80% | -1.64% | 0.15% | 3.91% |
Dividend yield
All-Weather Public granted a 4.10% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| All-Weather Public | 4.10% | 4.11% | 2.78% | 2.41% | 2.47% | 2.75% | 2.12% | 1.70% | 2.03% | 1.74% | 1.18% | 0.76% |
| Portfolio components: | ||||||||||||
PFIX Simplify Interest Rate Hedge ETF | 1.32% | 0.63% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SSO ProShares Ultra S&P 500 | 0.30% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.50% | 0.63% | 0.33% | 0.26% | 0.70% |
XYLD Global X S&P 500 Covered Call ETF | 10.86% | 13.44% | 9.08% | 7.54% | 5.08% | 7.12% | 5.18% | 3.23% | 4.65% | 4.14% | 2.49% | 0.00% |
GNR SPDR S&P Global Natural Resources ETF | 4.12% | 4.37% | 3.44% | 2.78% | 3.84% | 3.51% | 2.40% | 2.06% | 4.59% | 2.59% | 2.46% | 1.89% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VWOB Vanguard Emerging Markets Government Bond ETF | 5.63% | 5.30% | 4.04% | 4.18% | 4.58% | 4.52% | 4.61% | 4.71% | 4.93% | 4.49% | 2.39% | 0.00% |
VGIT Vanguard Intermediate-Term Treasury ETF | 2.68% | 1.74% | 1.69% | 2.23% | 2.24% | 2.05% | 1.67% | 1.69% | 1.69% | 1.54% | 1.63% | 2.57% |
FLRN SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 5.46% | 1.95% | 0.39% | 1.22% | 2.76% | 2.39% | 1.64% | 1.06% | 0.63% | 0.53% | 0.72% | 1.59% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 4.34% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% | 0.82% | 0.05% | 0.10% |
Expense Ratio
The All-Weather Public has a high expense ratio of 0.38%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
PFIX Simplify Interest Rate Hedge ETF | 0.86 | ||||
SSO ProShares Ultra S&P 500 | 0.70 | ||||
XYLD Global X S&P 500 Covered Call ETF | 0.93 | ||||
GNR SPDR S&P Global Natural Resources ETF | -0.31 | ||||
GLD SPDR Gold Trust | 0.88 | ||||
VWOB Vanguard Emerging Markets Government Bond ETF | 0.45 | ||||
VGIT Vanguard Intermediate-Term Treasury ETF | 0.12 | ||||
FLRN SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 2.46 | ||||
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 0.94 |
Asset Correlations Table
| FLRN | PFIX | GLD | GNR | XYLD | VGIT | VTIP | SSO | VWOB | |
|---|---|---|---|---|---|---|---|---|---|
| FLRN | 1.00 | 0.03 | 0.03 | 0.13 | 0.16 | -0.02 | 0.04 | 0.18 | 0.13 |
| PFIX | 0.03 | 1.00 | -0.29 | -0.01 | -0.06 | -0.68 | -0.35 | -0.07 | -0.52 |
| GLD | 0.03 | -0.29 | 1.00 | 0.33 | 0.07 | 0.46 | 0.50 | 0.09 | 0.36 |
| GNR | 0.13 | -0.01 | 0.33 | 1.00 | 0.52 | -0.03 | 0.24 | 0.61 | 0.35 |
| XYLD | 0.16 | -0.06 | 0.07 | 0.52 | 1.00 | 0.04 | 0.17 | 0.87 | 0.43 |
| VGIT | -0.02 | -0.68 | 0.46 | -0.03 | 0.04 | 1.00 | 0.61 | 0.07 | 0.61 |
| VTIP | 0.04 | -0.35 | 0.50 | 0.24 | 0.17 | 0.61 | 1.00 | 0.21 | 0.46 |
| SSO | 0.18 | -0.07 | 0.09 | 0.61 | 0.87 | 0.07 | 0.21 | 1.00 | 0.51 |
| VWOB | 0.13 | -0.52 | 0.36 | 0.35 | 0.43 | 0.61 | 0.46 | 0.51 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the All-Weather Public. 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 All-Weather Public was 14.25%, occurring on Sep 30, 2022. Recovery took 203 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -14.25% | Mar 30, 2022 | 128 | Sep 30, 2022 | 203 | Jul 25, 2023 | 331 |
| -4.09% | Jan 5, 2022 | 16 | Jan 27, 2022 | 40 | Mar 25, 2022 | 56 |
| -3.29% | Aug 1, 2023 | 45 | Oct 3, 2023 | 30 | Nov 14, 2023 | 75 |
| -2.95% | Sep 7, 2021 | 18 | Sep 30, 2021 | 14 | Oct 20, 2021 | 32 |
| -2.95% | Nov 16, 2021 | 11 | Dec 1, 2021 | 17 | Dec 27, 2021 | 28 |
Volatility Chart
The current All-Weather Public volatility is 1.72%, 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.