Hedged Beta
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
PFIX Simplify Interest Rate Hedge ETF | Hedge Fund, Actively Managed | 25% |
VGIT Vanguard Intermediate-Term Treasury ETF | Government Bonds | 25% |
UPRO ProShares UltraPro S&P 500 | Leveraged Equities, Leveraged | 25% |
SVOL Simplify Volatility Premium ETF | Volatility, Actively Managed | 25% |
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
The earliest data available for this chart is May 13, 2021, corresponding to the inception date of SVOL
Returns
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| Hedged Beta | 26.46% | 2.42% | 16.01% | 23.73% | N/A | N/A |
| Portfolio components: | ||||||
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/A | N/A |
PFIX Simplify Interest Rate Hedge ETF | 20.29% | -17.63% | 28.58% | 38.49% | N/A | N/A |
VGIT Vanguard Intermediate-Term Treasury ETF | 2.28% | 3.01% | 0.10% | 0.80% | 0.79% | 1.05% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 1.86% | 4.59% | 4.47% | 1.88% | 2.84% | 0.76% | 3.10% |
Dividend yield
Hedged Beta granted a 5.34% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Hedged Beta | 5.34% | 5.28% | 1.60% | 0.58% | 0.69% | 0.67% | 0.42% | 0.45% | 0.51% | 0.44% | 0.43% | 0.66% |
| Portfolio components: | ||||||||||||
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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer 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
| VGIT | UPRO | SVOL | PFIX | |
|---|---|---|---|---|
| VGIT | 1.00 | 0.06 | 0.06 | -0.68 |
| UPRO | 0.06 | 1.00 | 0.68 | -0.06 |
| SVOL | 0.06 | 0.68 | 1.00 | -0.08 |
| PFIX | -0.68 | -0.06 | -0.08 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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, 2022 | 114 | Sep 30, 2022 | 159 | May 19, 2023 | 273 |
| -8.75% | Jan 4, 2022 | 17 | Jan 27, 2022 | 41 | Mar 28, 2022 | 58 |
| -6.09% | Nov 17, 2021 | 12 | Dec 3, 2021 | 17 | Dec 29, 2021 | 29 |
| -5.18% | Sep 7, 2021 | 20 | Oct 4, 2021 | 11 | Oct 19, 2021 | 31 |
| -4.3% | May 28, 2021 | 35 | Jul 19, 2021 | 5 | Jul 26, 2021 | 40 |
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.