Risk Parity
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | 0.90% |
BND Vanguard Total Bond Market ETF | Total Bond Market | 18.90% |
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 37.70% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 42.50% |
Performance
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.
The earliest data available for this chart is May 30, 2007, corresponding to the inception date of BIL
Returns By Period
As of May 9, 2025, the Risk Parity returned -1.59% Year-To-Date and 7.16% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.70% | 13.67% | -5.18% | 9.18% | 14.14% | 10.43% |
| Risk Parity | -1.59% | 7.26% | -2.80% | 3.77% | 13.05% | 7.16% |
| Portfolio components: | ||||||
SPY SPDR S&P 500 ETF | -3.30% | 13.81% | -4.52% | 10.65% | 15.81% | 12.33% |
BND Vanguard Total Bond Market ETF | 2.13% | 0.32% | 1.30% | 5.43% | -0.86% | 1.49% |
DBC Invesco DB Commodity Index Tracking Fund | -1.96% | 3.97% | -3.37% | -4.95% | 15.73% | 2.84% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.45% | 0.33% | 2.14% | 4.79% | 2.56% | 1.77% |
Monthly Returns
The table below presents the monthly returns of Risk Parity, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.30% | -0.08% | -1.48% | -3.54% | 1.31% | -1.59% | |||||||
| 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% | 4.37% | 26.80% |
| 2020 | -2.86% | -5.49% | -11.71% | 4.73% | 5.12% | 2.52% | 4.71% | 4.59% | -3.02% | -2.35% | 8.68% | 3.67% | 6.90% |
| 2019 | 6.30% | 2.46% | 0.98% | 2.19% | -4.65% | 4.66% | 0.25% | -1.91% | 1.22% | 1.73% | 1.50% | 3.42% | 19.20% |
| 2018 | 3.27% | -2.86% | -0.19% | 1.35% | 2.18% | -0.52% | 0.64% | 1.80% | 1.41% | -5.22% | -2.82% | -4.85% | -6.07% |
| 2017 | 0.58% | 1.73% | -1.13% | -0.45% | 0.22% | -0.02% | 2.50% | 0.44% | 1.54% | 2.49% | 1.64% | 1.68% | 11.72% |
| 2016 | -3.52% | 0.05% | 4.55% | 3.90% | 1.05% | 2.29% | -0.92% | 0.26% | 1.54% | -1.04% | 1.71% | 2.51% | 12.80% |
| 2015 | -2.94% | 3.74% | -2.82% | 3.04% | -0.80% | -0.46% | -3.70% | -2.87% | -2.16% | 3.77% | -2.32% | -2.79% | -10.22% |
| 2014 | -2.35% | 3.89% | 0.31% | 0.86% | 0.65% | 1.69% | -2.41% | 1.50% | -3.35% | -0.30% | -1.70% | -3.34% | -4.73% |
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Risk Parity is 16, meaning it’s performing worse than 84% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
SPY SPDR S&P 500 ETF | 0.54 | 0.90 | 1.13 | 0.57 | 2.24 |
BND Vanguard Total Bond Market ETF | 1.03 | 1.48 | 1.18 | 0.43 | 2.60 |
DBC Invesco DB Commodity Index Tracking Fund | -0.31 | -0.38 | 0.96 | -0.11 | -0.92 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.66 | 249.02 | 144.77 | 439.34 | 4,046.93 |
Dividends
Dividend yield
Risk Parity provided a 3.30% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.30% | 3.22% | 3.08% | 1.43% | 0.88% | 1.07% | 1.87% | 1.90% | 1.25% | 1.34% | 1.36% | 1.32% |
| Portfolio components: | ||||||||||||
SPY SPDR S&P 500 ETF | 1.27% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
BND Vanguard Total Bond Market ETF | 3.76% | 3.67% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% |
DBC Invesco DB Commodity Index Tracking Fund | 5.32% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.69% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 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.
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 6.20%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -42.81% | Jun 19, 2008 | 177 | Mar 3, 2009 | 876 | Aug 21, 2012 | 1053 |
| -25.26% | Jun 23, 2014 | 398 | Jan 20, 2016 | 454 | Nov 6, 2017 | 852 |
| -25.08% | Jan 21, 2020 | 44 | Mar 23, 2020 | 163 | Nov 11, 2020 | 207 |
| -16.01% | Oct 4, 2018 | 56 | Dec 24, 2018 | 231 | Nov 22, 2019 | 287 |
| -14.75% | Jun 8, 2022 | 80 | Sep 30, 2022 | 330 | Jan 25, 2024 | 410 |
Volatility
Volatility Chart
The current Risk Parity volatility is 6.89%, 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.
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. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | BIL | BND | DBC | SPY | Portfolio | |
|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.03 | -0.16 | 0.35 | 0.99 | 0.78 |
| BIL | -0.03 | 1.00 | 0.02 | -0.02 | -0.03 | -0.03 |
| BND | -0.16 | 0.02 | 1.00 | -0.11 | -0.16 | -0.09 |
| DBC | 0.35 | -0.02 | -0.11 | 1.00 | 0.35 | 0.81 |
| SPY | 0.99 | -0.03 | -0.16 | 0.35 | 1.00 | 0.79 |
| Portfolio | 0.78 | -0.03 | -0.09 | 0.81 | 0.79 | 1.00 |