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All-Weather Public
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

All-Weather Public

Last updated Oct 30, 2024

Asset Allocation

PFIX 5%VWOB 12.5%FLRN 12.5%VGIT 12%VTIP 8%GLD 12.5%SSO 15%GNR 7.5%XYLD 15%AlternativesAlternativesBondBondCommodityCommodityEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		Corporate Bonds
12.50%
GLD
SPDR Gold Trust		Precious Metals, Gold
12.50%
GNR
SPDR S&P Global Natural Resources ETF		Commodity Producers Equities
7.50%
PFIX
Simplify Interest Rate Hedge ETF		Hedge Fund, Actively Managed
5%
SSO
ProShares Ultra S&P 500		Leveraged Equities, Leveraged
15%
VGIT
Vanguard Intermediate-Term Treasury ETF		Government Bonds
12%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		Inflation-Protected Bonds
8%
VWOB
Vanguard Emerging Markets Government Bond ETF		Emerging Markets Bonds
12.50%
XYLD
Global X S&P 500 Covered Call ETF		Long-Short
15%

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

0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
9.83%
15.83%
All-Weather Public
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 11, 2021, corresponding to the inception date of PFIX

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
All-Weather Public15.68%1.34%9.84%23.15%N/AN/A
Portfolio components:
PFIX
Simplify Interest Rate Hedge ETF		26.83%18.30%-7.21%-17.75%N/AN/A
SSO
ProShares Ultra S&P 500		42.49%3.03%30.52%85.37%23.08%20.26%
XYLD
Global X S&P 500 Covered Call ETF		14.05%1.05%9.16%20.20%6.57%6.74%
GNR
SPDR S&P Global Natural Resources ETF		0.01%-3.70%-1.69%7.34%8.75%5.07%
GLD
SPDR Gold Trust		33.96%4.52%20.87%38.35%12.49%8.58%
VWOB
Vanguard Emerging Markets Government Bond ETF		6.43%-1.59%7.53%18.63%0.61%2.78%
VGIT
Vanguard Intermediate-Term Treasury ETF		2.04%-2.45%4.95%7.88%-0.18%1.21%
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		5.37%0.51%2.96%6.65%2.95%2.34%
VTIP
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.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.46%2.18%3.14%-0.53%2.07%0.85%1.63%1.54%1.98%15.68%
20233.90%-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%
20211.04%-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.

SSO
ProShares Ultra S&P 500
Expense ratio chart for SSO: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
XYLD
Global X S&P 500 Covered Call ETF
Expense ratio chart for XYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
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%
GNR
SPDR S&P Global Natural Resources ETF
Expense ratio chart for GNR: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
VWOB
Vanguard Emerging Markets Government Bond ETF
Expense ratio chart for VWOB: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF
Expense ratio chart for FLRN: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
VGIT
Vanguard Intermediate-Term Treasury ETF
Expense ratio chart for VGIT: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
Expense ratio chart for VTIP: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

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.

The Risk-Adjusted Performance Rank of All-Weather Public is 9090
Combined Rank
The Sharpe Ratio Rank of All-Weather Public is 8888Sharpe Ratio Rank
The Sortino Ratio Rank of All-Weather Public is 9191Sortino Ratio Rank
The Omega Ratio Rank of All-Weather Public is 9494Omega Ratio Rank
The Calmar Ratio Rank of All-Weather Public is 8989Calmar Ratio Rank
The Martin Ratio Rank of All-Weather Public is 9191Martin 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.

All-Weather Public
Sharpe ratio
The chart of Sharpe ratio for All-Weather Public, currently valued at 3.64, compared to the broader market0.002.004.006.003.64
Sortino ratio
The chart of Sortino ratio for All-Weather Public, currently valued at 5.10, compared to the broader market-2.000.002.004.006.005.10
Omega ratio
The chart of Omega ratio for All-Weather Public, currently valued at 1.74, compared to the broader market0.801.001.201.401.601.802.001.74
Calmar ratio
The chart of Calmar ratio for All-Weather Public, currently valued at 5.23, compared to the broader market0.005.0010.005.23
Martin ratio
The chart of Martin ratio for All-Weather Public, currently valued at 27.27, compared to the broader market0.0010.0020.0030.0040.0050.0060.0027.27
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PFIX
Simplify Interest Rate Hedge ETF		-0.43-0.400.96-0.44-0.70
SSO
ProShares Ultra S&P 500		3.734.281.602.8123.00
XYLD
Global X S&P 500 Covered Call ETF		3.214.371.882.4627.65
GNR
SPDR S&P Global Natural Resources ETF		0.500.771.100.561.54
GLD
SPDR Gold Trust		2.663.581.466.0017.22
VWOB
Vanguard Emerging Markets Government Bond ETF		2.503.721.470.9514.71
VGIT
Vanguard Intermediate-Term Treasury ETF		1.482.211.270.555.18
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		7.4313.824.1214.34178.91
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		3.175.661.733.6829.56

Sharpe Ratio

The current All-Weather Public Sharpe ratio is 3.64. 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 2.49 to 3.44, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of All-Weather Public 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.64
3.43
All-Weather Public
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All-Weather Public provided a 7.26% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
All-Weather Public7.26%7.90%4.11%2.78%2.47%2.57%2.75%2.04%1.70%2.03%1.74%1.18%
Portfolio components:
PFIX
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%
SSO
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%
XYLD
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%
GNR
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%
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		5.73%5.50%5.30%4.04%4.18%4.58%4.52%4.61%4.71%4.93%4.49%2.39%
VGIT
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%
FLRN
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%
VTIP
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.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.04%
-0.54%
All-Weather Public
Benchmark (^GSPC)
Portfolio components

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, 2022128Sep 30, 2022203Jul 25, 2023331
-4.53%Jul 17, 202414Aug 5, 202412Aug 21, 202426
-4.09%Jan 5, 202216Jan 27, 202240Mar 25, 202256
-3.29%Aug 1, 202345Oct 3, 202330Nov 14, 202375
-2.95%Sep 7, 202118Sep 30, 202114Oct 20, 202132

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.

1.00%2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
1.20%
2.71%
All-Weather Public
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.
FLRNGLDPFIXXYLDGNRVGITSSOVTIPVWOB
FLRN1.000.040.040.150.14-0.040.160.020.10
GLD0.041.00-0.260.080.370.420.140.460.37
PFIX0.04-0.261.00-0.06-0.03-0.72-0.08-0.40-0.56
XYLD0.150.08-0.061.000.490.040.850.140.41
GNR0.140.37-0.030.491.000.000.590.250.36
VGIT-0.040.42-0.720.040.001.000.090.650.64
SSO0.160.14-0.080.850.590.091.000.200.50
VTIP0.020.46-0.400.140.250.650.201.000.49
VWOB0.100.37-0.560.410.360.640.500.491.00
The correlation results are calculated based on daily price changes starting from May 12, 2021