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Byan Risk Parity SRLN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SRLN 52.34%IAU 36.92%^N225 21.35%QUAL 14.64%IEUR 14.48%IVW 13.53%QQQ 12.75%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
^N225
Nikkei 225

21.35%

IAU
iShares Gold Trust
Precious Metals, Gold

36.92%

ICSH
iShares Ultra Short-Term Bond ETF
Money Market, Actively Managed

-66.01%

IEUR
iShares Core MSCI Europe ETF
Europe Equities

14.48%

IVW
iShares S&P 500 Growth ETF
Large Cap Growth Equities

13.53%

QQQ
Invesco QQQ
Large Cap Blend Equities

12.75%

QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities

14.64%

SRLN
SPDR Blackstone Senior Loan ETF
High Yield Bonds

52.34%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Byan Risk Parity SRLN, 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


140.00%150.00%160.00%170.00%180.00%190.00%2024FebruaryMarchAprilMayJune
187.68%
183.12%
Byan Risk Parity SRLN
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 12, 2014, corresponding to the inception date of IEUR

Returns By Period

As of Jun 22, 2024, the Byan Risk Parity SRLN returned 13.98% Year-To-Date and 10.41% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.57%3.01%14.93%25.67%13.42%10.85%
Byan Risk Parity SRLN14.11%0.81%15.04%26.29%13.13%10.43%
SRLN
SPDR Blackstone Senior Loan ETF
3.25%-0.08%3.35%9.92%3.98%3.30%
IVW
iShares S&P 500 Growth ETF
23.18%5.51%23.26%34.82%16.10%14.10%
IAU
iShares Gold Trust
12.45%-0.52%12.94%20.74%9.73%5.38%
^N225
Nikkei 225
2.89%-1.16%5.29%6.54%4.24%4.79%
QUAL
iShares Edge MSCI USA Quality Factor ETF
17.44%3.53%17.87%31.85%14.68%12.69%
QQQ
Invesco QQQ
17.41%4.85%17.80%33.15%20.95%17.90%
IEUR
iShares Core MSCI Europe ETF
6.06%-2.51%6.70%14.87%7.13%4.30%
ICSH
iShares Ultra Short-Term Bond ETF
2.52%0.41%2.62%5.82%2.33%1.84%

Monthly Returns

The table below presents the monthly returns of Byan Risk Parity SRLN, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.85%4.78%4.90%-2.92%4.58%14.11%
20239.14%-4.03%6.56%1.57%0.95%4.26%3.10%-1.74%-5.62%0.10%8.90%4.51%29.97%
2022-5.72%-0.83%2.24%-8.94%-2.25%-8.98%7.18%-4.48%-11.21%4.42%9.60%-2.82%-21.69%
2021-1.55%-0.62%0.59%4.99%3.57%-0.85%1.32%2.72%-3.54%3.85%-1.73%4.18%13.26%
20201.18%-7.01%-13.81%12.50%7.45%3.76%8.12%6.03%-3.44%-2.39%9.21%6.88%28.28%
20197.49%2.97%0.16%4.13%-4.81%7.71%0.73%1.10%0.92%3.31%1.03%4.49%32.68%
20186.23%-2.99%-1.55%0.57%0.46%-1.89%1.41%1.45%0.88%-5.66%-0.03%-5.46%-6.94%
20174.11%3.32%0.92%2.35%2.38%-1.01%2.89%1.61%0.14%2.88%2.26%1.40%25.77%
2016-3.07%3.39%4.64%3.03%-1.05%1.55%5.43%-0.73%0.85%-1.79%-3.41%1.98%10.85%
20152.64%3.32%-1.65%1.96%1.37%-1.89%-0.46%-4.25%-4.20%7.66%-2.46%-1.85%-0.47%
20142.77%-1.81%1.39%-3.58%-0.13%1.97%-0.96%-0.50%

Expense Ratio

Byan Risk Parity SRLN has a high expense ratio of 0.49%, 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.


Expense ratio chart for SRLN: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for IVW: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%
Expense ratio chart for QUAL: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for IEUR: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for ICSH: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Byan Risk Parity SRLN is 65, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Byan Risk Parity SRLN is 6565
Byan Risk Parity SRLN
The Sharpe Ratio Rank of Byan Risk Parity SRLN is 7070Sharpe Ratio Rank
The Sortino Ratio Rank of Byan Risk Parity SRLN is 7272Sortino Ratio Rank
The Omega Ratio Rank of Byan Risk Parity SRLN is 7272Omega Ratio Rank
The Calmar Ratio Rank of Byan Risk Parity SRLN is 5454Calmar Ratio Rank
The Martin Ratio Rank of Byan Risk Parity SRLN is 5959Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


Byan Risk Parity SRLN
Sharpe ratio
The chart of Sharpe ratio for Byan Risk Parity SRLN, currently valued at 2.26, compared to the broader market0.002.004.002.26
Sortino ratio
The chart of Sortino ratio for Byan Risk Parity SRLN, currently valued at 3.20, compared to the broader market-2.000.002.004.006.003.20
Omega ratio
The chart of Omega ratio for Byan Risk Parity SRLN, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for Byan Risk Parity SRLN, currently valued at 1.80, compared to the broader market0.002.004.006.008.0010.001.80
Martin ratio
The chart of Martin ratio for Byan Risk Parity SRLN, currently valued at 7.81, compared to the broader market0.0010.0020.0030.0040.0050.007.81
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.24, compared to the broader market0.002.004.002.24
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.16, compared to the broader market-2.000.002.004.006.003.16
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.78, compared to the broader market0.002.004.006.008.0010.001.78
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.36, compared to the broader market0.0010.0020.0030.0040.0050.008.36

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SRLN
SPDR Blackstone Senior Loan ETF
4.998.302.269.8245.27
IVW
iShares S&P 500 Growth ETF
2.343.311.431.5212.24
IAU
iShares Gold Trust
1.592.281.301.707.56
^N225
Nikkei 225
0.320.571.070.210.97
QUAL
iShares Edge MSCI USA Quality Factor ETF
2.503.541.452.7911.72
QQQ
Invesco QQQ
1.982.731.352.209.17
IEUR
iShares Core MSCI Europe ETF
1.071.591.190.863.19
ICSH
iShares Ultra Short-Term Bond ETF
13.2037.948.4882.79576.92

Sharpe Ratio

The current Byan Risk Parity SRLN Sharpe ratio is 2.20. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.46 to 2.43, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Byan Risk Parity SRLN with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
2.26
2.24
Byan Risk Parity SRLN
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Byan Risk Parity SRLN granted a 2.00% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Byan Risk Parity SRLN2.00%2.12%2.80%2.76%2.46%2.12%2.28%2.12%2.57%2.93%2.27%1.41%
SRLN
SPDR Blackstone Senior Loan ETF
8.96%8.44%5.72%4.45%4.91%5.39%4.98%4.01%3.94%4.43%3.66%1.91%
IVW
iShares S&P 500 Growth ETF
0.64%1.03%0.89%0.46%0.82%1.62%1.27%1.30%1.51%1.51%1.36%1.44%
IAU
iShares Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
^N225
Nikkei 225
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.03%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%
QQQ
Invesco QQQ
0.44%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
IEUR
iShares Core MSCI Europe ETF
3.08%3.17%3.05%2.88%2.13%3.26%3.76%2.64%3.19%2.79%0.64%0.00%
ICSH
iShares Ultra Short-Term Bond ETF
5.20%4.78%1.66%0.42%1.21%2.61%2.20%1.36%0.88%0.54%0.46%0.00%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-0.75%
-0.41%
Byan Risk Parity SRLN
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Byan Risk Parity SRLN. 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 Byan Risk Parity SRLN was 33.89%, occurring on Mar 23, 2020. Recovery took 81 trading sessions.

The current Byan Risk Parity SRLN drawdown is 0.86%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.89%Feb 20, 202023Mar 23, 202081Jul 14, 2020104
-30.85%Nov 19, 2021236Oct 14, 2022317Dec 26, 2023553
-17.68%Jan 29, 2018237Dec 25, 2018125Jun 19, 2019362
-15.29%May 18, 2015178Jan 21, 2016121Jul 8, 2016299
-8.95%Jul 7, 201474Oct 16, 201485Feb 13, 2015159

Volatility

Volatility Chart

The current Byan Risk Parity SRLN volatility is 2.88%, 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.


2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
2.88%
2.38%
Byan Risk Parity SRLN
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

IAUICSH^N225SRLNIEURQQQQUALIVW
IAU1.000.100.150.080.13-0.00-0.01-0.00
ICSH0.101.000.080.040.070.060.070.07
^N2250.150.081.000.120.140.080.090.07
SRLN0.080.040.121.000.460.400.450.43
IEUR0.130.070.140.461.000.650.730.69
QQQ-0.000.060.080.400.651.000.880.96
QUAL-0.010.070.090.450.730.881.000.93
IVW-0.000.070.070.430.690.960.931.00
The correlation results are calculated based on daily price changes starting from Jun 13, 2014