Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
SPY State Street SPDR S&P 500 ETF | S&P 500 | 42.50% |
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 37.70% |
BND Vanguard Total Bond Market ETF | Total Bond Market | 18.90% |
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | Government Bonds, Ultrashort Bond | 0.90% |
Find the right asset allocation for Risk Parity
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Risk Parity, 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 3 months.
Loading charts...
Returns By Period
As of Jun 12, 2026, the Risk Parity returned 15.88% Year-To-Date and 10.62% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 1.75% | -0.09% | 8.02% | 7.15% | 22.78% | 19.45% | 11.73% | 13.53% |
Portfolio Risk Parity | 0.50% | -3.24% | 15.88% | 15.52% | 26.20% | 15.76% | 10.89% | 10.62% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.01% | 0.28% | 1.56% | 1.77% | 3.87% | 4.63% | 3.43% | 2.19% |
BND Vanguard Total Bond Market ETF | 0.58% | 0.58% | 0.64% | 0.72% | 4.91% | 4.06% | 0.06% | 1.60% |
DBC Invesco DB Commodity Index Tracking Fund | -1.10% | -8.96% | 29.03% | 29.04% | 35.74% | 13.82% | 11.52% | 8.31% |
SPY State Street SPDR S&P 500 ETF | 1.70% | -0.06% | 8.48% | 7.66% | 24.09% | 20.90% | 13.23% | 15.34% |
Monthly Returns
Based on dividend-adjusted daily data since May 30, 2007, Risk Parity's average daily return is +0.03%, while the average monthly return is +0.59%. At this rate, an investment would double in approximately 9.8 years.
Historically, 63% of months were positive and 37% were negative. The best month was Nov 2020 with a return of +8.7%, while the worst month was Oct 2008 at -15.7%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Risk Parity closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +8.6%, while the worst single day was Mar 12, 2020 at -6.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.15% | 1.02% | 4.09% | 7.33% | 0.47% | -1.87% | 15.88% | ||||||
| 2025 | 2.30% | -0.08% | -1.48% | -3.54% | 3.15% | 4.16% | 2.04% | 0.69% | 2.28% | 1.72% | 0.49% | 0.07% | 12.18% |
| 2024 | 1.15% | 1.40% | 3.25% | -1.54% | 2.29% | 1.60% | -0.09% | 0.53% | 1.43% | -0.30% | 1.97% | -0.73% | 11.40% |
| 2023 | 3.63% | -3.24% | 2.09% | 0.51% | -2.40% | 3.88% | 4.66% | -0.94% | -1.80% | -1.89% | 3.83% | 1.55% | 9.87% |
| 2022 | 0.34% | 1.22% | 4.92% | -2.37% | 2.12% | -6.55% | 3.66% | -2.89% | -7.41% | 5.13% | 3.64% | -3.69% | -2.91% |
| 2021 | 0.66% | 4.80% | 1.34% | 5.37% | 1.80% | 2.46% | 1.75% | 0.61% | -0.31% | 5.17% | -3.66% | 4.40% | 26.84% |
Benchmark Metrics
Risk Parity has an annualized alpha of 1.56%, beta of 0.56, and R2 of 0.72 versus S&P 500 Index. Calculated based on daily prices since May 30, 2007.
- This portfolio participated in 67.31% of S&P 500 Index downside but only 62.33% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.56 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.56%
- Beta
- 0.56
- R²
- 0.72
- Upside Capture
- 62.33%
- Downside Capture
- 67.31%
Expense Ratio
Risk Parity has an expense ratio of 0.37%, placing it in the medium range. 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 ranks 96 for risk / return — in the top 96% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Risk Parity and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 3.22 | 1.85 | +1.37 |
| Sortino ratioReturn per unit of downside risk | 4.22 | 2.52 | +1.70 |
| Omega ratioGain probability vs. loss probability | 1.61 | 1.34 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 7.08 | 2.52 | +4.56 |
| Martin ratioReturn relative to average drawdown | 24.71 | 11.31 | +13.40 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 100 | 19.59 | 174.16 | 87.91 | 355.36 | 2,817.81 |
BND Vanguard Total Bond Market ETF | 44 | 1.32 | 1.98 | 1.23 | 1.84 | 5.38 |
DBC Invesco DB Commodity Index Tracking Fund | 72 | 1.90 | 2.51 | 1.33 | 4.01 | 10.20 |
SPY State Street SPDR S&P 500 ETF | 73 | 1.97 | 2.67 | 1.36 | 2.72 | 12.32 |
Loading charts...
Dividends
Dividend yield
Risk Parity provided a 2.18% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.18% | 2.47% | 3.22% | 3.08% | 1.43% | 0.91% | 1.10% | 1.87% | 1.91% | 1.25% | 1.34% | 1.36% |
| Portfolio components: | ||||||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 3.86% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% |
BND Vanguard Total Bond Market ETF | 3.95% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
DBC Invesco DB Commodity Index Tracking Fund | 2.58% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.00% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
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.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the Risk Parity. 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 was 42.81%, occurring on Mar 3, 2009. Recovery took 876 trading sessions.
The current Risk Parity drawdown is 3.24%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -42.81%Mar 2009 | 8mo 17d | 3y 5mo | 4y 2moJun 2008 - Aug 2012 |
2016 bear market2016 | -25.26%Jan 2016 | 1y 7mo | 1y 9mo | 3y 4moJun 2014 - Nov 2017 |
COVID crash2020 | -25.08%Mar 2020 | 2mo 2d | 7mo 23d | 9mo 25dJan 2020 - Nov 2020 |
Rate-hike selloffLate 2018 | -16.01%Dec 2018 | 2mo 21d | 11mo 3d | 1y 1moOct 2018 - Nov 2019 |
Bear market2022 | -14.75%Sep 2022 | 3mo 24d | 1y 3mo | 1y 7moJun 2022 - Jan 2024 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 4 assets, with an effective number of assets of 2.79, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.62 | 1.41 | 1.38 | 1.31 | 1.27 |
The portfolio has a diversification ratio of 1.27, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Risk Parity correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.64 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.74 |
Correlation (All Time) Calculated using the full available price history since May 30, 2007 | 0.77 |
Benchmark Correlations
Correlation vs. S&P 500 Index. SPY has the highest benchmark correlation at 0.99, while BND has the lowest at -0.13.
Asset Correlations Table
Find what Risk Parity is missing
See which holdings overlap, where Risk Parity is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification