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All weather

Last updated Nov 13, 2024

Asset Allocation

IBTL.L 40%ERNS.L 15%CMFP.L 7.5%SGLN.L 7.5%LGGG.L 30%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		Commodities
7.50%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		Total Bond Market
15%
IBTL.L
iShares USD Treasury Bond 20+yr UCITS ETF (Dist)		Government Bonds
40%
LGGG.L
L&G Global Equity UCITS ETF		Global Equities
30%
SGLN.L
iShares Physical Gold ETC		Precious Metals, Commodities
7.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in All weather, 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
4.47%
14.05%
All weather
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 7, 2019, corresponding to the inception date of LGGG.L

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 weather5.94%-1.27%4.47%14.69%3.12%N/A
Portfolio components:
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		3.51%-3.47%-3.46%1.31%10.22%4.27%
SGLN.L
iShares Physical Gold ETC		25.83%-2.10%10.43%33.47%11.89%10.30%
LGGG.L
L&G Global Equity UCITS ETF		20.23%1.26%10.66%31.25%12.64%N/A
IBTL.L
iShares USD Treasury Bond 20+yr UCITS ETF (Dist)		-6.56%-2.32%0.56%3.96%-8.06%N/A
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		4.79%-2.12%3.77%9.64%2.16%1.57%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.63%0.17%2.54%-3.22%2.75%1.13%1.67%2.55%1.89%-2.62%5.94%
20234.78%-4.27%4.30%1.49%-1.71%1.36%0.79%-1.88%-5.28%-2.13%6.80%4.48%8.21%
2022-3.17%-0.63%-0.08%-6.32%-1.64%-4.62%3.23%-3.79%-6.71%-0.97%6.38%-1.68%-18.91%
2021-1.54%-2.06%-0.39%2.89%2.08%0.84%2.56%0.41%-2.68%3.25%0.07%0.60%5.98%
20202.15%-0.04%-1.56%4.63%0.07%1.81%4.66%1.11%-1.71%-2.08%4.44%2.05%16.31%
20191.87%0.80%1.87%0.72%0.20%2.71%-0.65%3.87%-0.17%1.77%0.30%0.82%14.96%

Expense Ratio

All weather has an expense ratio of 0.09%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

CMFP.L
L&G Longer Dated All Commodities UCITS ETF
Expense ratio chart for CMFP.L: current value at 0.30% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.30%
LGGG.L
L&G Global Equity UCITS ETF
Expense ratio chart for LGGG.L: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF
Expense ratio chart for ERNS.L: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
IBTL.L
iShares USD Treasury Bond 20+yr UCITS ETF (Dist)
Expense ratio chart for IBTL.L: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of All weather is 12, indicating that it is in the bottom 12% 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 All weather is 1212
Combined Rank
The Sharpe Ratio Rank of All weather is 1313Sharpe Ratio Rank
The Sortino Ratio Rank of All weather is 1414Sortino Ratio Rank
The Omega Ratio Rank of All weather is 1313Omega Ratio Rank
The Calmar Ratio Rank of All weather is 66Calmar Ratio Rank
The Martin Ratio Rank of All weather 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.

All weather
Sharpe ratio
The chart of Sharpe ratio for All weather, currently valued at 1.53, compared to the broader market0.002.004.006.001.53
Sortino ratio
The chart of Sortino ratio for All weather, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for All weather, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.802.001.28
Calmar ratio
The chart of Calmar ratio for All weather, currently valued at 0.66, compared to the broader market0.005.0010.0015.000.66
Martin ratio
The chart of Martin ratio for All weather, currently valued at 7.96, compared to the broader market0.0010.0020.0030.0040.0050.0060.007.96
^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
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		0.020.111.010.010.05
SGLN.L
iShares Physical Gold ETC		2.272.961.395.0714.23
LGGG.L
L&G Global Equity UCITS ETF		2.563.521.473.6615.61
IBTL.L
iShares USD Treasury Bond 20+yr UCITS ETF (Dist)		0.090.231.030.030.22
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		1.181.661.210.975.56

Sharpe Ratio

The current All weather Sharpe ratio is 1.53. 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 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 All weather 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.53
2.90
All weather
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

All weather provided a 2.52% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio2.52%2.21%1.35%0.73%0.86%1.17%1.21%1.14%1.09%0.94%0.08%0.01%
Portfolio components:
CMFP.L
L&G Longer Dated All Commodities UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SGLN.L
iShares Physical Gold ETC		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LGGG.L
L&G Global Equity UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
IBTL.L
iShares USD Treasury Bond 20+yr UCITS ETF (Dist)		4.34%3.82%2.95%1.73%1.86%2.54%2.75%2.66%2.42%2.07%0.00%0.00%
ERNS.L
iShares £ Ultrashort Bond UCITS ETF		5.25%4.54%1.14%0.28%0.75%1.04%0.74%0.52%0.81%0.72%0.55%0.06%

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%JuneJulyAugustSeptemberOctoberNovember
-7.94%
-0.29%
All weather
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the All weather. 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 was 25.19%, occurring on Oct 24, 2022. The portfolio has not yet recovered.

The current All weather drawdown is 7.94%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.19%Nov 10, 2021239Oct 24, 2022———
-15.85%Mar 10, 20208Mar 19, 202053Jun 8, 202061
-4.68%Sep 3, 202042Oct 30, 202019Nov 26, 202061
-4.41%Jan 4, 202145Mar 5, 202142May 7, 202187
-3.19%Sep 3, 202127Oct 11, 202113Oct 28, 202140

Volatility

Volatility Chart

The current All weather volatility is 2.46%, 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
2.46%
3.86%
All weather
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.
IBTL.LLGGG.LCMFP.LERNS.LSGLN.L
IBTL.L1.00-0.07-0.020.130.35
LGGG.L-0.071.000.320.420.15
CMFP.L-0.020.321.000.340.40
ERNS.L0.130.420.341.000.39
SGLN.L0.350.150.400.391.00
The correlation results are calculated based on daily price changes starting from Jan 8, 2019