Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Risk-Parity Portfolio test, 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 Every year.
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The earliest data available for this chart is Jul 26, 2012, corresponding to the inception date of BTC-USD
Returns By Period
As of Apr 11, 2026, the Risk-Parity Portfolio test returned -0.79% Year-To-Date and 25.15% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 0.61% | -0.42% | 4.03% | 29.40% | 18.38% | 10.55% | 12.70% |
Portfolio Risk-Parity Portfolio test | -0.06% | -0.60% | -0.79% | -0.22% | 21.08% | 20.23% | 10.57% | 25.15% |
| Portfolio components: | ||||||||
SPYM State Street SPDR Portfolio S&P 500 ETF | -0.07% | 0.71% | -0.08% | 4.62% | 31.09% | 19.99% | 12.14% | 14.68% |
QQQ Invesco QQQ ETF | 0.14% | 0.68% | -0.40% | 3.92% | 37.62% | 25.34% | 13.31% | 19.62% |
BTC-USD Bitcoin | 1.48% | 3.78% | -16.73% | -35.51% | -8.41% | 34.08% | 3.97% | 67.16% |
TLT iShares 20+ Year Treasury Bond ETF | -0.24% | -0.35% | 0.34% | -2.42% | 4.62% | -3.00% | -5.82% | -1.38% |
IEI iShares 3-7 Year Treasury Bond ETF | -0.08% | -0.27% | 0.11% | 0.66% | 4.41% | 3.38% | 0.47% | 1.35% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | -0.26% | 0.45% | 0.22% | 0.30% | 8.54% | 4.30% | 0.18% | 2.69% |
USMV iShares MSCI USA Minimum Volatility Factor ETF | -1.18% | -2.40% | -1.09% | -0.50% | 6.31% | 9.84% | 7.29% | 9.71% |
GLD SPDR Gold Shares | -0.18% | -8.21% | 10.30% | 18.42% | 49.52% | 32.89% | 21.77% | 13.80% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 27, 2012, Risk-Parity Portfolio test's average daily return is +0.10%, while the average monthly return is +3.76%. At this rate, your investment would double in approximately 1.6 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2013 with a return of +285.5%, while the worst month was Dec 2013 at -34.7%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Risk-Parity Portfolio test closed higher 55% of trading days. The best single day was Nov 18, 2013 with a return of +38.5%, while the worst single day was Dec 6, 2013 at -20.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.96% | -0.21% | -4.48% | 3.08% | -0.79% | ||||||||
| 2025 | 3.26% | -1.58% | -2.18% | 1.85% | 4.18% | 3.29% | 1.59% | 0.94% | 4.41% | 1.51% | -0.96% | -0.38% | 16.83% |
| 2024 | 0.77% | 6.57% | 4.65% | -4.90% | 4.86% | 1.50% | 1.80% | 0.73% | 2.90% | 0.55% | 8.16% | -2.36% | 27.47% |
| 2023 | 9.57% | -2.40% | 7.81% | 1.21% | -0.10% | 4.80% | 1.27% | -2.75% | -3.31% | 3.05% | 8.08% | 5.69% | 36.95% |
| 2022 | -6.21% | -0.60% | 2.14% | -8.72% | -1.87% | -7.89% | 6.60% | -4.56% | -7.13% | 3.34% | 4.55% | -3.83% | -22.87% |
| 2021 | 0.23% | 3.54% | 5.93% | 2.95% | -5.51% | 1.05% | 4.27% | 3.48% | -4.46% | 9.63% | -1.13% | -0.80% | 19.77% |
Benchmark Metrics
Risk-Parity Portfolio test has an annualized alpha of 27.60%, beta of 0.58, and R² of 0.12 versus S&P 500 Index. Calculated based on daily prices since July 27, 2012.
- This portfolio captured 154.57% of S&P 500 Index gains but only 63.80% of its losses — a favorable profile for investors.
- Beta of 0.58 may look defensive, but with R² of 0.12 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.12 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 27.60%
- Beta
- 0.58
- R²
- 0.12
- Upside Capture
- 154.57%
- Downside Capture
- 63.80%
Expense Ratio
Risk-Parity Portfolio test has an expense ratio of 0.13%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Risk-Parity Portfolio test ranks 22 for risk / return — below 22% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.00 | 2.23 | -0.23 |
Sortino ratioReturn per unit of downside risk | 2.78 | 3.12 | -0.33 |
Omega ratioGain probability vs. loss probability | 1.33 | 1.42 | -0.09 |
Calmar ratioReturn relative to maximum drawdown | 0.83 | 4.05 | -3.22 |
Martin ratioReturn relative to average drawdown | 2.49 | 17.91 | -15.42 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
SPYM State Street SPDR Portfolio S&P 500 ETF | 70 | 2.37 | 3.29 | 1.44 | 4.32 | 19.24 |
QQQ Invesco QQQ ETF | 61 | 2.23 | 3.00 | 1.40 | 3.98 | 14.88 |
BTC-USD Bitcoin | 56 | -0.20 | 0.01 | 1.00 | -0.95 | -1.64 |
TLT iShares 20+ Year Treasury Bond ETF | 11 | 0.45 | 0.71 | 1.08 | 0.36 | 0.78 |
IEI iShares 3-7 Year Treasury Bond ETF | 27 | 1.37 | 2.05 | 1.25 | 1.73 | 5.59 |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 34 | 1.51 | 2.19 | 1.27 | 2.54 | 7.83 |
USMV iShares MSCI USA Minimum Volatility Factor ETF | 19 | 0.66 | 1.01 | 1.12 | 1.59 | 6.08 |
GLD SPDR Gold Shares | 43 | 1.82 | 2.24 | 1.34 | 3.06 | 10.54 |
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Dividends
Dividend yield
Risk-Parity Portfolio test provided a 1.58% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.58% | 1.56% | 1.60% | 1.50% | 1.39% | 0.93% | 1.16% | 1.45% | 1.68% | 1.40% | 1.56% | 1.55% |
| Portfolio components: | ||||||||||||
SPYM State Street SPDR Portfolio S&P 500 ETF | 1.11% | 1.13% | 1.28% | 1.44% | 1.69% | 1.25% | 1.54% | 1.79% | 2.23% | 1.75% | 1.97% | 1.98% |
QQQ Invesco QQQ ETF | 0.46% | 0.45% | 0.56% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% |
BTC-USD Bitcoin | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TLT iShares 20+ Year Treasury Bond ETF | 4.52% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.57% | 3.48% | 3.18% | 2.36% | 1.37% | 0.73% | 1.12% | 2.01% | 1.95% | 1.51% | 1.33% | 1.39% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.54% | 4.48% | 4.45% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% |
USMV iShares MSCI USA Minimum Volatility Factor ETF | 1.58% | 1.49% | 1.67% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% |
GLD SPDR Gold Shares | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Risk-Parity Portfolio test. 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 Risk-Parity Portfolio test was 50.61%, occurring on Dec 18, 2013. Recovery took 1248 trading sessions.
The current Risk-Parity Portfolio test drawdown is 4.57%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -50.61% | Dec 5, 2013 | 14 | Dec 18, 2013 | 1248 | May 19, 2017 | 1262 |
| -45.51% | Apr 10, 2013 | 86 | Jul 5, 2013 | 110 | Oct 23, 2013 | 196 |
| -32.38% | Dec 17, 2017 | 374 | Dec 25, 2018 | 408 | Feb 6, 2020 | 782 |
| -30.32% | Nov 9, 2021 | 341 | Oct 15, 2022 | 430 | Dec 19, 2023 | 771 |
| -23.71% | Feb 15, 2020 | 37 | Mar 22, 2020 | 79 | Jun 9, 2020 | 116 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 8 assets, with an effective number of assets of 6.42, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | GLD | BTC-USD | IEI | TLT | LQD | USMV | QQQ | SPYM | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.02 | 0.15 | -0.15 | -0.18 | 0.13 | 0.84 | 0.90 | 0.93 | 0.65 |
| GLD | 0.02 | 1.00 | 0.07 | 0.33 | 0.25 | 0.29 | 0.05 | 0.02 | 0.01 | 0.17 |
| BTC-USD | 0.15 | 0.07 | 1.00 | 0.00 | -0.01 | 0.05 | 0.08 | 0.13 | 0.13 | 0.73 |
| IEI | -0.15 | 0.33 | 0.00 | 1.00 | 0.79 | 0.73 | -0.03 | -0.11 | -0.14 | 0.06 |
| TLT | -0.18 | 0.25 | -0.01 | 0.79 | 1.00 | 0.78 | -0.04 | -0.11 | -0.15 | 0.06 |
| LQD | 0.13 | 0.29 | 0.05 | 0.73 | 0.78 | 1.00 | 0.19 | 0.13 | 0.11 | 0.24 |
| USMV | 0.84 | 0.05 | 0.08 | -0.03 | -0.04 | 0.19 | 1.00 | 0.63 | 0.72 | 0.48 |
| QQQ | 0.90 | 0.02 | 0.13 | -0.11 | -0.11 | 0.13 | 0.63 | 1.00 | 0.79 | 0.58 |
| SPYM | 0.93 | 0.01 | 0.13 | -0.14 | -0.15 | 0.11 | 0.72 | 0.79 | 1.00 | 0.58 |
| Portfolio | 0.65 | 0.17 | 0.73 | 0.06 | 0.06 | 0.24 | 0.48 | 0.58 | 0.58 | 1.00 |