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Risk Parity

Last updated Dec 7, 2023

Asset Allocation


BND 18.9%DBC 37.7%SPY 42.5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BND
Vanguard Total Bond Market ETF
Total Bond Market18.9%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds0.9%
DBC
Invesco DB Commodity Index Tracking Fund
Commodities37.7%
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities42.5%

Performance

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 Quarterly


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.02%
6.60%
Risk Parity
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 30, 2007, corresponding to the inception date of BIL

Returns

As of Dec 7, 2023, the Risk Parity returned 6.49% Year-To-Date and 5.51% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Risk Parity6.49%-0.31%4.03%6.22%9.92%5.51%
SPY
SPDR S&P 500 ETF
20.23%4.38%7.39%17.29%13.44%11.69%
BND
Vanguard Total Bond Market ETF
3.40%4.16%1.45%1.78%0.82%1.50%
DBC
Invesco DB Commodity Index Tracking Fund
-7.26%-7.75%0.44%-4.38%8.58%-0.84%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
4.55%0.44%2.62%4.85%1.68%1.05%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-2.40%3.88%4.66%-0.94%-1.80%-1.89%3.79%

Sharpe Ratio

The current Risk Parity Sharpe ratio is 0.51. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.000.51

The Sharpe ratio of Risk Parity is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.51
1.00
Risk Parity
Benchmark (^GSPC)
Portfolio components

Dividend yield

Risk Parity granted a 1.47% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Risk Parity1.47%1.43%0.88%1.07%1.87%1.90%1.25%1.34%1.36%1.32%1.30%1.54%
SPY
SPDR S&P 500 ETF
1.43%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%2.18%
BND
Vanguard Total Bond Market ETF
3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%3.24%
DBC
Invesco DB Commodity Index Tracking Fund
0.63%0.59%0.00%0.00%1.59%1.30%0.00%0.00%0.00%0.00%0.00%0.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
4.76%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%0.00%

Expense Ratio

The Risk Parity has a high expense ratio of 0.37%, 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.


0.85%
0.00%2.15%
0.14%
0.00%2.15%
0.09%
0.00%2.15%
0.03%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
SPY
SPDR S&P 500 ETF
1.14
BND
Vanguard Total Bond Market ETF
0.29
DBC
Invesco DB Commodity Index Tracking Fund
-0.37
BIL
SPDR Barclays 1-3 Month T-Bill ETF
17.02

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BILBNDDBCSPY
BIL1.000.02-0.02-0.03
BND0.021.00-0.11-0.19
DBC-0.02-0.111.000.36
SPY-0.03-0.190.361.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JulyAugustSeptemberOctoberNovemberDecember
-4.74%
-5.15%
Risk Parity
Benchmark (^GSPC)
Portfolio components

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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-42.81%Jun 19, 2008177Mar 3, 2009876Aug 21, 20121053
-25.26%Jun 23, 2014398Jan 20, 2016454Nov 6, 2017852
-25.08%Jan 21, 202044Mar 23, 2020163Nov 11, 2020207
-16.01%Oct 4, 201856Dec 24, 2018231Nov 22, 2019287
-14.75%Jun 8, 202280Sep 30, 2022

Volatility Chart

The current Risk Parity volatility is 2.64%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
2.64%
2.92%
Risk Parity
Benchmark (^GSPC)
Portfolio components
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