All-Weather Public
Asset Allocation
Performance
Performance Chart
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 11, 2021, corresponding to the inception date of PFIX
Returns By Period
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 22.29% | 1.65% | 15.83% | 39.98% | 13.99% | 11.23% |
All-Weather Public | 15.68% | 1.34% | 9.84% | 23.15% | N/A | N/A |
Portfolio components: | ||||||
Simplify Interest Rate Hedge ETF | 26.83% | 18.30% | -7.21% | -17.75% | N/A | N/A |
ProShares Ultra S&P 500 | 42.49% | 3.03% | 30.52% | 85.37% | 23.08% | 20.26% |
Global X S&P 500 Covered Call ETF | 14.05% | 1.05% | 9.16% | 20.20% | 6.57% | 6.74% |
SPDR S&P Global Natural Resources ETF | 0.01% | -3.70% | -1.69% | 7.34% | 8.75% | 5.07% |
SPDR Gold Trust | 33.96% | 4.52% | 20.87% | 38.35% | 12.49% | 8.58% |
Vanguard Emerging Markets Government Bond ETF | 6.43% | -1.59% | 7.53% | 18.63% | 0.61% | 2.78% |
Vanguard Intermediate-Term Treasury ETF | 2.04% | -2.45% | 4.95% | 7.88% | -0.18% | 1.21% |
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 5.37% | 0.51% | 2.96% | 6.65% | 2.95% | 2.34% |
Vanguard Short-Term Inflation-Protected Securities ETF | 4.37% | -0.55% | 3.64% | 7.05% | 3.53% | 2.39% |
Monthly Returns
The table below presents the monthly returns of All-Weather Public, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 0.46% | 2.18% | 3.14% | -0.53% | 2.07% | 0.85% | 1.63% | 1.54% | 1.98% | 15.68% | |||
2023 | 3.90% | -2.36% | 2.65% | 1.01% | -0.63% | 2.33% | 2.68% | -0.80% | -1.64% | 0.15% | 3.90% | 2.38% | 14.15% |
2022 | -2.06% | -0.18% | 2.62% | -4.18% | -0.79% | -4.91% | 3.84% | -2.87% | -5.36% | 4.54% | 4.62% | -2.11% | -7.32% |
2021 | 1.04% | -0.71% | 1.27% | 1.15% | -2.56% | 3.26% | -1.18% | 2.92% | 5.15% |
Expense Ratio
All-Weather Public features an expense ratio of 0.38%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of All-Weather Public is 90, placing it in the top 10% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
Simplify Interest Rate Hedge ETF | -0.43 | -0.40 | 0.96 | -0.44 | -0.70 |
ProShares Ultra S&P 500 | 3.73 | 4.28 | 1.60 | 2.81 | 23.00 |
Global X S&P 500 Covered Call ETF | 3.21 | 4.37 | 1.88 | 2.46 | 27.65 |
SPDR S&P Global Natural Resources ETF | 0.50 | 0.77 | 1.10 | 0.56 | 1.54 |
SPDR Gold Trust | 2.66 | 3.58 | 1.46 | 6.00 | 17.22 |
Vanguard Emerging Markets Government Bond ETF | 2.50 | 3.72 | 1.47 | 0.95 | 14.71 |
Vanguard Intermediate-Term Treasury ETF | 1.48 | 2.21 | 1.27 | 0.55 | 5.18 |
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 7.43 | 13.82 | 4.12 | 14.34 | 178.91 |
Vanguard Short-Term Inflation-Protected Securities ETF | 3.17 | 5.66 | 1.73 | 3.68 | 29.56 |
Dividends
Dividend yield
All-Weather Public provided a 7.26% dividend yield over the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
All-Weather Public | 7.26% | 7.90% | 4.11% | 2.78% | 2.47% | 2.57% | 2.75% | 2.04% | 1.70% | 2.03% | 1.74% | 1.18% |
Portfolio components: | ||||||||||||
Simplify Interest Rate Hedge ETF | 67.23% | 80.99% | 0.63% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ProShares Ultra S&P 500 | 0.72% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.50% | 0.63% | 0.33% | 0.26% |
Global X S&P 500 Covered Call ETF | 9.24% | 10.51% | 13.44% | 9.08% | 7.93% | 5.76% | 7.12% | 4.67% | 3.23% | 4.65% | 4.14% | 2.49% |
SPDR S&P Global Natural Resources ETF | 3.53% | 3.37% | 4.37% | 3.44% | 2.78% | 3.84% | 3.51% | 2.40% | 2.06% | 4.59% | 2.59% | 2.46% |
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% |
Vanguard Emerging Markets Government Bond ETF | 5.73% | 5.50% | 5.30% | 4.04% | 4.18% | 4.58% | 4.52% | 4.61% | 4.71% | 4.93% | 4.49% | 2.39% |
Vanguard Intermediate-Term Treasury ETF | 3.48% | 2.73% | 1.74% | 1.69% | 2.23% | 2.24% | 2.05% | 1.67% | 1.69% | 1.69% | 1.54% | 1.63% |
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF | 5.89% | 5.68% | 1.95% | 0.39% | 1.22% | 2.76% | 2.39% | 1.64% | 1.06% | 0.63% | 0.53% | 0.72% |
Vanguard Short-Term Inflation-Protected Securities ETF | 3.39% | 3.36% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% | 0.82% | 0.05% |
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.
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.
The current All-Weather Public drawdown is 0.04%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-14.25% | Mar 30, 2022 | 128 | Sep 30, 2022 | 203 | Jul 25, 2023 | 331 |
-4.53% | Jul 17, 2024 | 14 | Aug 5, 2024 | 12 | Aug 21, 2024 | 26 |
-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 |
Volatility
Volatility Chart
The current All-Weather Public volatility is 1.20%, 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.
Diversification
Asset Correlations Table
FLRN | GLD | PFIX | XYLD | GNR | VGIT | SSO | VTIP | VWOB | |
---|---|---|---|---|---|---|---|---|---|
FLRN | 1.00 | 0.04 | 0.04 | 0.15 | 0.14 | -0.04 | 0.16 | 0.02 | 0.10 |
GLD | 0.04 | 1.00 | -0.26 | 0.08 | 0.37 | 0.42 | 0.14 | 0.46 | 0.37 |
PFIX | 0.04 | -0.26 | 1.00 | -0.06 | -0.03 | -0.72 | -0.08 | -0.40 | -0.56 |
XYLD | 0.15 | 0.08 | -0.06 | 1.00 | 0.49 | 0.04 | 0.85 | 0.14 | 0.41 |
GNR | 0.14 | 0.37 | -0.03 | 0.49 | 1.00 | 0.00 | 0.59 | 0.25 | 0.36 |
VGIT | -0.04 | 0.42 | -0.72 | 0.04 | 0.00 | 1.00 | 0.09 | 0.65 | 0.64 |
SSO | 0.16 | 0.14 | -0.08 | 0.85 | 0.59 | 0.09 | 1.00 | 0.20 | 0.50 |
VTIP | 0.02 | 0.46 | -0.40 | 0.14 | 0.25 | 0.65 | 0.20 | 1.00 | 0.49 |
VWOB | 0.10 | 0.37 | -0.56 | 0.41 | 0.36 | 0.64 | 0.50 | 0.49 | 1.00 |