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Hedged Beta
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


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

Performance

Performance Chart

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


20.00%30.00%40.00%50.00%60.00%MayJuneJulyAugustSeptemberOctober
59.54%
39.84%
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 By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.57%4.18%10.51%35.06%14.29%11.53%
Hedged Beta18.90%5.02%5.87%20.28%N/AN/A
UPRO
ProShares UltraPro S&P 500
53.36%9.93%22.51%102.24%26.13%24.63%
SVOL
Simplify Volatility Premium ETF
7.39%0.16%5.12%14.27%N/AN/A
PFIX
Simplify Interest Rate Hedge ETF
12.91%10.40%-8.54%-26.50%N/AN/A
VGIT
Vanguard Intermediate-Term Treasury ETF
4.07%-0.10%5.72%9.97%0.06%1.47%

Monthly Returns

The table below presents the monthly returns of Hedged Beta, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.40%5.70%1.65%1.32%1.67%2.08%-0.10%0.55%0.81%18.90%
20232.20%-1.65%1.69%2.17%1.86%4.59%4.47%1.88%2.84%0.76%3.07%0.35%26.92%
2022-3.21%-2.07%6.80%-4.11%-1.17%-4.60%6.40%-2.61%-4.63%9.72%2.14%-3.70%-2.38%
20212.51%-1.22%1.20%2.69%-4.38%6.25%-2.10%3.47%8.30%

Expense Ratio

Hedged Beta features an expense ratio of 0.49%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


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%
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%
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%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Hedged Beta is 16, indicating that it is in the bottom 16% 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 Hedged Beta is 1616
Hedged Beta
The Sharpe Ratio Rank of Hedged Beta is 1111Sharpe Ratio Rank
The Sortino Ratio Rank of Hedged Beta is 1010Sortino Ratio Rank
The Omega Ratio Rank of Hedged Beta is 1313Omega Ratio Rank
The Calmar Ratio Rank of Hedged Beta is 2929Calmar Ratio Rank
The Martin Ratio Rank of Hedged Beta is 1616Martin 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.


Hedged Beta
Sharpe ratio
The chart of Sharpe ratio for Hedged Beta, currently valued at 1.62, compared to the broader market0.002.004.001.62
Sortino ratio
The chart of Sortino ratio for Hedged Beta, currently valued at 2.18, compared to the broader market-2.000.002.004.006.002.18
Omega ratio
The chart of Omega ratio for Hedged Beta, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.802.001.30
Calmar ratio
The chart of Calmar ratio for Hedged Beta, currently valued at 1.86, compared to the broader market0.002.004.006.008.0010.0012.001.86
Martin ratio
The chart of Martin ratio for Hedged Beta, currently valued at 8.80, compared to the broader market0.0010.0020.0030.0040.0050.008.80
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.002.004.002.80
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.73, compared to the broader market-2.000.002.004.006.003.73
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.002.004.006.008.0010.0012.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.01, compared to the broader market0.0010.0020.0030.0040.0050.0017.01

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
UPRO
ProShares UltraPro S&P 500
2.933.261.442.0516.80
SVOL
Simplify Volatility Premium ETF
1.251.671.311.359.94
PFIX
Simplify Interest Rate Hedge ETF
-0.58-0.670.93-0.61-0.92
VGIT
Vanguard Intermediate-Term Treasury ETF
1.842.761.330.687.14

Sharpe Ratio

The current Hedged Beta Sharpe ratio is 1.55. 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 2.21 to 2.96, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Hedged Beta 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
1.62
2.80
Hedged Beta
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Hedged Beta granted a 23.95% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Hedged Beta23.95%25.20%5.28%1.60%0.58%0.69%0.67%0.42%0.45%0.51%0.44%0.43%
UPRO
ProShares UltraPro S&P 500
0.82%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
16.52%16.36%18.21%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PFIX
Simplify Interest Rate Hedge ETF
75.06%80.99%0.63%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VGIT
Vanguard Intermediate-Term Treasury ETF
3.41%2.73%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%1.54%1.63%

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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.38%
-0.20%
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.

The current Hedged Beta drawdown is 2.40%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-13.18%Apr 20, 2022114Sep 30, 2022159May 19, 2023273
-12.03%Jul 11, 202418Aug 5, 2024
-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

Volatility

Volatility Chart

The current Hedged Beta volatility is 3.95%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%MayJuneJulyAugustSeptemberOctober
3.95%
3.37%
Hedged Beta
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.

UPROSVOLVGITPFIX
UPRO1.000.670.08-0.08
SVOL0.671.000.08-0.10
VGIT0.080.081.00-0.71
PFIX-0.08-0.10-0.711.00
The correlation results are calculated based on daily price changes starting from May 14, 2021