PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
All-Weather Public
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

All-Weather Public

Last updated Nov 13, 2024

Asset Allocation

PFIX 10%VWOB 10%FLRN 10%VGIT 9%VTIP 9%GLD 12%UPRO 15%GNR 5%XYLD 15%SVOL 5%AlternativesAlternativesBondBondCommodityCommodityEquityEquityMulti-AssetMulti-AssetVolatilityVolatility
PositionCategory/SectorWeight
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		Corporate Bonds
10%
GLD
SPDR Gold Trust		Precious Metals, Gold
12%
GNR
SPDR S&P Global Natural Resources ETF		Commodity Producers Equities
5%
PFIX
Simplify Interest Rate Hedge ETF		Hedge Fund, Actively Managed
10%
SSO
ProShares Ultra S&P 500		Leveraged Equities, Leveraged
0%
SVOL
Simplify Volatility Premium ETF		Volatility, Actively Managed
5%
UPRO
ProShares UltraPro S&P 500		Leveraged Equities, Leveraged
15%
VGIT
Vanguard Intermediate-Term Treasury ETF		Government Bonds
9%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		Inflation-Protected Bonds
9%
VWOB
Vanguard Emerging Markets Government Bond ETF		Emerging Markets Bonds
10%
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%JuneJulyAugustSeptemberOctoberNovember
9.53%
14.05%
All-Weather Public
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 13, 2021, corresponding to the inception date of SVOL

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
All-Weather Public20.27%1.69%9.53%25.60%N/AN/A
Portfolio components:
PFIX
Simplify Interest Rate Hedge ETF		27.09%8.31%3.19%-8.04%N/AN/A
SSO
ProShares Ultra S&P 500		49.45%5.39%26.36%73.91%23.28%20.53%
XYLD
Global X S&P 500 Covered Call ETF		15.95%1.82%9.66%19.15%6.65%6.85%
GNR
SPDR S&P Global Natural Resources ETF		-3.40%-6.87%-8.41%3.76%7.58%4.77%
GLD
SPDR Gold Trust		25.57%-2.21%10.07%32.98%11.66%7.71%
VWOB
Vanguard Emerging Markets Government Bond ETF		6.14%-0.72%4.79%15.92%0.64%2.86%
VGIT
Vanguard Intermediate-Term Treasury ETF		1.15%-1.66%2.57%5.81%-0.25%1.10%
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		5.61%0.50%2.94%6.64%2.97%2.35%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		4.31%-0.45%2.95%6.78%3.50%2.38%
UPRO
ProShares UltraPro S&P 500		74.91%7.74%38.29%118.47%25.87%24.93%
SVOL
Simplify Volatility Premium ETF		9.71%2.78%4.05%13.02%N/AN/A

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
20241.27%3.41%3.13%-0.08%2.05%1.30%1.24%1.40%1.89%0.72%20.27%
20233.79%-2.34%2.65%1.34%0.02%3.17%3.32%-0.33%-0.83%0.44%3.96%2.08%18.45%
2022-2.60%-0.54%3.89%-4.40%-1.31%-4.99%4.81%-3.24%-5.68%6.20%4.24%-2.85%-7.18%
20212.08%-0.86%1.40%1.76%-3.30%4.45%-1.50%3.46%7.48%

Expense Ratio

All-Weather Public features an expense ratio of 0.41%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

UPRO
ProShares UltraPro S&P 500
Expense ratio chart for UPRO: current value at 0.92% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.92%
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%
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%
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 rank of All-Weather Public is 74, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of All-Weather Public is 7474
Combined Rank
The Sharpe Ratio Rank of All-Weather Public is 7373Sharpe Ratio Rank
The Sortino Ratio Rank of All-Weather Public is 7171Sortino Ratio Rank
The Omega Ratio Rank of All-Weather Public is 8383Omega Ratio Rank
The Calmar Ratio Rank of All-Weather Public is 6262Calmar Ratio Rank
The Martin Ratio Rank of All-Weather Public is 8383Martin 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 2.96, compared to the broader market0.002.004.006.002.96
Sortino ratio
The chart of Sortino ratio for All-Weather Public, currently valued at 3.96, compared to the broader market-2.000.002.004.006.003.96
Omega ratio
The chart of Omega ratio for All-Weather Public, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.802.001.58
Calmar ratio
The chart of Calmar ratio for All-Weather Public, currently valued at 3.76, compared to the broader market0.005.0010.0015.003.76
Martin ratio
The chart of Martin ratio for All-Weather Public, currently valued at 20.81, compared to the broader market0.0010.0020.0030.0040.0050.0060.0020.81
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PFIX
Simplify Interest Rate Hedge ETF		-0.190.011.00-0.20-0.45
SSO
ProShares Ultra S&P 500		3.023.611.503.0618.60
XYLD
Global X S&P 500 Covered Call ETF		2.783.781.743.0124.27
GNR
SPDR S&P Global Natural Resources ETF		0.270.461.060.300.80
GLD
SPDR Gold Trust		2.293.031.404.9814.85
VWOB
Vanguard Emerging Markets Government Bond ETF		2.093.111.380.8511.43
VGIT
Vanguard Intermediate-Term Treasury ETF		1.141.711.200.463.64
FLRN
SPDR Bloomberg Barclays Investment Grade Floating Rate ETF		7.5714.304.2614.56181.37
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		3.165.621.734.1226.07
UPRO
ProShares UltraPro S&P 500		3.233.501.492.7519.52
SVOL
Simplify Volatility Premium ETF		1.111.491.281.217.91

Sharpe Ratio

The current All-Weather Public Sharpe ratio is 2.96. 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 2.07 to 2.97, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.96
2.90
All-Weather Public
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All-Weather Public provided a 10.98% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio10.98%12.44%4.79%2.79%2.19%2.25%2.43%1.73%1.40%1.69%1.50%0.97%
Portfolio components:
PFIX
Simplify Interest Rate Hedge ETF		67.10%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		0.68%0.18%0.50%0.18%0.20%0.50%0.75%0.39%0.51%0.63%0.32%0.26%
XYLD
Global X S&P 500 Covered Call ETF		9.09%10.51%13.44%9.08%7.93%5.76%7.12%4.67%3.24%4.65%4.15%2.49%
GNR
SPDR S&P Global Natural Resources ETF		3.66%3.37%4.37%3.44%2.78%3.84%3.51%2.40%2.06%4.60%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		5.85%5.50%5.31%4.04%4.18%4.58%4.53%4.61%4.71%4.93%4.49%2.39%
VGIT
Vanguard Intermediate-Term Treasury ETF		3.58%2.72%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		5.87%5.68%1.95%0.40%1.22%2.76%2.39%1.63%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%
UPRO
ProShares UltraPro S&P 500		0.72%0.74%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%
SVOL
Simplify Volatility Premium ETF		16.29%16.37%18.31%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

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%JuneJulyAugustSeptemberOctoberNovember
-0.64%
-0.29%
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 15.17%, occurring on Sep 30, 2022. Recovery took 193 trading sessions.

The current All-Weather Public drawdown is 0.64%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-15.17%Mar 30, 2022128Sep 30, 2022193Jul 11, 2023321
-6.83%Jul 17, 202414Aug 5, 202432Sep 19, 202446
-5.57%Jan 5, 202216Jan 27, 202240Mar 25, 202256
-4.02%Nov 17, 202110Dec 1, 202117Dec 27, 202127
-3.77%Sep 7, 202120Oct 4, 202112Oct 20, 202132

Volatility

Volatility Chart

The current All-Weather Public volatility is 2.98%, 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%JuneJulyAugustSeptemberOctoberNovember
2.98%
3.86%
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.
FLRNPFIXGLDVGITVTIPGNRSVOLXYLDUPROSSOVWOB
FLRN1.000.030.04-0.030.020.130.110.160.160.160.11
PFIX0.031.00-0.26-0.72-0.40-0.04-0.10-0.05-0.07-0.07-0.57
GLD0.04-0.261.000.420.470.380.110.080.130.130.37
VGIT-0.03-0.720.421.000.650.010.080.030.080.080.64
VTIP0.02-0.400.470.651.000.250.170.150.200.210.49
GNR0.13-0.040.380.010.251.000.470.490.580.580.36
SVOL0.11-0.100.110.080.170.471.000.650.680.680.39
XYLD0.16-0.050.080.030.150.490.651.000.850.850.40
UPRO0.16-0.070.130.080.200.580.680.851.001.000.50
SSO0.16-0.070.130.080.210.580.680.851.001.000.50
VWOB0.11-0.570.370.640.490.360.390.400.500.501.00
The correlation results are calculated based on daily price changes starting from May 14, 2021