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All-Weather 4 ETF V2.0
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


GLD 16%QQQ 47%IAK 21%VDC 16%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
GLD
SPDR Gold Trust
Precious Metals, Gold

16%

IAK
iShares U.S. Insurance ETF
Financials Equities

21%

QQQ
Invesco QQQ
Large Cap Blend Equities

47%

VDC
Vanguard Consumer Staples ETF
Consumer Staples Equities

16%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in All-Weather 4 ETF V2.0, 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


200.00%300.00%400.00%500.00%600.00%NovemberDecember2024FebruaryMarchApril
610.07%
274.67%
All-Weather 4 ETF V2.0
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 5, 2006, corresponding to the inception date of IAK

Returns By Period

As of Apr 20, 2024, the All-Weather 4 ETF V2.0 returned 6.65% Year-To-Date and 13.76% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
All-Weather 4 ETF V2.06.65%-2.38%18.57%25.44%15.55%13.74%
QQQ
Invesco QQQ
1.39%-7.11%17.38%31.84%17.69%17.84%
GLD
SPDR Gold Trust
15.62%10.32%20.39%19.96%13.00%5.92%
VDC
Vanguard Consumer Staples ETF
4.23%-2.05%12.91%2.60%8.95%8.57%
IAK
iShares U.S. Insurance ETF
13.15%-1.66%23.03%31.43%13.51%11.53%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20242.21%3.92%3.69%
2023-3.61%0.47%7.26%3.60%

Expense Ratio

The All-Weather 4 ETF V2.0 has a high expense ratio of 0.26%, 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.


0.50%1.00%1.50%2.00%0.43%
0.50%1.00%1.50%2.00%0.40%
0.50%1.00%1.50%2.00%0.20%
0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

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 4 ETF V2.0
Sharpe ratio
The chart of Sharpe ratio for All-Weather 4 ETF V2.0, currently valued at 2.51, compared to the broader market-1.000.001.002.003.004.002.51
Sortino ratio
The chart of Sortino ratio for All-Weather 4 ETF V2.0, currently valued at 3.68, compared to the broader market-2.000.002.004.006.003.68
Omega ratio
The chart of Omega ratio for All-Weather 4 ETF V2.0, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.801.44
Calmar ratio
The chart of Calmar ratio for All-Weather 4 ETF V2.0, currently valued at 3.51, compared to the broader market0.002.004.006.008.003.51
Martin ratio
The chart of Martin ratio for All-Weather 4 ETF V2.0, currently valued at 12.87, compared to the broader market0.0010.0020.0030.0040.0012.87
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QQQ
Invesco QQQ
1.902.671.321.389.67
GLD
SPDR Gold Trust
1.602.441.291.494.26
VDC
Vanguard Consumer Staples ETF
0.340.551.060.280.76
IAK
iShares U.S. Insurance ETF
2.102.921.362.2814.01

Sharpe Ratio

The current All-Weather 4 ETF V2.0 Sharpe ratio is 2.51. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.004.002.51

The Sharpe ratio of All-Weather 4 ETF V2.0 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.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00NovemberDecember2024FebruaryMarchApril
2.51
1.66
All-Weather 4 ETF V2.0
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All-Weather 4 ETF V2.0 granted a 1.00% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
All-Weather 4 ETF V2.01.00%1.02%1.11%1.02%1.09%1.13%1.36%1.13%1.23%1.21%1.30%1.07%
QQQ
Invesco QQQ
0.64%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
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%
VDC
Vanguard Consumer Staples ETF
2.56%2.65%2.37%2.14%2.50%2.44%2.78%2.52%2.39%2.55%1.93%2.21%
IAK
iShares U.S. Insurance ETF
1.39%1.44%1.69%2.26%2.07%1.84%2.33%1.62%1.68%1.62%1.57%1.13%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.20%
-5.46%
All-Weather 4 ETF V2.0
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All-Weather 4 ETF V2.0. 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 4 ETF V2.0 was 47.69%, occurring on Mar 9, 2009. Recovery took 406 trading sessions.

The current All-Weather 4 ETF V2.0 drawdown is 3.20%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.69%Nov 1, 2007339Mar 9, 2009406Oct 15, 2010745
-27.01%Feb 20, 202023Mar 23, 202076Jul 10, 202099
-20.34%Dec 28, 2021202Oct 14, 2022167Jun 15, 2023369
-15.2%Sep 21, 201865Dec 24, 201859Mar 21, 2019124
-12.36%May 2, 2011108Oct 3, 201118Oct 27, 2011126

Volatility

Volatility Chart

The current All-Weather 4 ETF V2.0 volatility is 2.53%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.53%
3.15%
All-Weather 4 ETF V2.0
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.

GLDIAKQQQVDC
GLD1.00-0.010.040.04
IAK-0.011.000.570.61
QQQ0.040.571.000.60
VDC0.040.610.601.00