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Hedged Beta

Last updated Dec 2, 2023

Asset Allocation


PFIX 25%VGIT 25%UPRO 25%SVOL 25%AlternativesAlternativesBondBondEquityEquityVolatilityVolatility
PositionCategory/SectorWeight
PFIX
Simplify Interest Rate Hedge ETF
Hedge Fund, Actively Managed25%
VGIT
Vanguard Intermediate-Term Treasury ETF
Government Bonds25%
UPRO
ProShares UltraPro S&P 500
Leveraged Equities, Leveraged25%
SVOL
Simplify Volatility Premium ETF
Volatility, Actively Managed25%

Performance

The chart shows the growth of an initial investment of $10,000 in Hedged Beta, 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%20.00%25.00%30.00%35.00%JulyAugustSeptemberOctoberNovemberDecember
33.69%
11.72%
Hedged Beta
Benchmark (^GSPC)
Portfolio components

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

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Hedged Beta26.46%2.42%16.01%23.73%N/AN/A
UPRO
ProShares UltraPro S&P 500
51.76%26.25%15.96%25.05%16.47%21.48%
SVOL
Simplify Volatility Premium ETF
21.18%3.74%9.63%22.67%N/AN/A
PFIX
Simplify Interest Rate Hedge ETF
20.29%-17.63%28.58%38.49%N/AN/A
VGIT
Vanguard Intermediate-Term Treasury ETF
2.28%3.01%0.10%0.80%0.79%1.05%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20231.86%4.59%4.47%1.88%2.84%0.76%3.10%

Sharpe Ratio

The current Hedged Beta Sharpe ratio is 1.62. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.001.62

The Sharpe ratio of Hedged Beta lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
1.62
0.91
Hedged Beta
Benchmark (^GSPC)
Portfolio components

Dividend yield

Hedged Beta granted a 5.34% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Hedged Beta5.34%5.28%1.60%0.58%0.69%0.67%0.42%0.45%0.51%0.44%0.43%0.66%
UPRO
ProShares UltraPro S&P 500
0.85%0.52%0.06%0.11%0.53%0.63%0.00%0.12%0.34%0.22%0.07%0.05%
SVOL
Simplify Volatility Premium ETF
16.55%18.21%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PFIX
Simplify Interest Rate Hedge ETF
1.27%0.63%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VGIT
Vanguard Intermediate-Term Treasury ETF
2.69%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%2.57%

Expense Ratio

The Hedged Beta has a high expense ratio of 0.49%, 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.


0.92%
0.00%2.15%
0.50%
0.00%2.15%
0.04%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
UPRO
ProShares UltraPro S&P 500
0.60
SVOL
Simplify Volatility Premium ETF
2.52
PFIX
Simplify Interest Rate Hedge ETF
0.71
VGIT
Vanguard Intermediate-Term Treasury ETF
0.22

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

VGITUPROSVOLPFIX
VGIT1.000.060.06-0.68
UPRO0.061.000.68-0.06
SVOL0.060.681.00-0.08
PFIX-0.68-0.06-0.081.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.28%
-4.21%
Hedged Beta
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Hedged Beta. 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 Hedged Beta was 13.18%, occurring on Sep 30, 2022. Recovery took 159 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-13.18%Apr 20, 2022114Sep 30, 2022159May 19, 2023273
-8.75%Jan 4, 202217Jan 27, 202241Mar 28, 202258
-6.09%Nov 17, 202112Dec 3, 202117Dec 29, 202129
-5.18%Sep 7, 202120Oct 4, 202111Oct 19, 202131
-4.3%May 28, 202135Jul 19, 20215Jul 26, 202140

Volatility Chart

The current Hedged Beta volatility is 2.40%, 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%JulyAugustSeptemberOctoberNovemberDecember
2.40%
2.79%
Hedged Beta
Benchmark (^GSPC)
Portfolio components
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