Risk Parity
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BND Vanguard Total Bond Market ETF | Total Bond Market | 18.9% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | 0.9% |
DBC Invesco DB Commodity Index Tracking Fund | Commodities | 37.7% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 42.5% |
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
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-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| Risk Parity | 6.49% | -0.31% | 4.03% | 6.22% | 9.92% | 5.51% |
| Portfolio components: | ||||||
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
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -2.40% | 3.88% | 4.66% | -0.94% | -1.80% | -1.89% | 3.79% |
Dividend yield
Risk Parity granted a 1.47% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Risk Parity | 1.47% | 1.43% | 0.88% | 1.07% | 1.87% | 1.90% | 1.25% | 1.34% | 1.36% | 1.32% | 1.30% | 1.54% |
| Portfolio components: | ||||||||||||
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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer 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
| BIL | BND | DBC | SPY | |
|---|---|---|---|---|
| BIL | 1.00 | 0.02 | -0.02 | -0.03 |
| BND | 0.02 | 1.00 | -0.11 | -0.19 |
| DBC | -0.02 | -0.11 | 1.00 | 0.36 |
| SPY | -0.03 | -0.19 | 0.36 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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, 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 | — | — | — |
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.