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Byan Risk Parity SRLN

Last updated Sep 21, 2023

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
SRLN
SPDR Blackstone Senior Loan ETF
High Yield Bonds52.34%
IAU
iShares Gold Trust
Precious Metals, Gold36.92%
^N225
Nikkei 225
21.35%
QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities14.64%
IEUR
iShares Core MSCI Europe ETF
Europe Equities14.48%
IVW
iShares S&P 500 Growth ETF
Large Cap Growth Equities13.53%
QQQ
Invesco QQQ
Large Cap Blend Equities12.75%

Performance

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
9.11%
11.48%
Byan Risk Parity SRLN
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the Byan Risk Parity SRLN returned 18.94% Year-To-Date and 9.01% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.06%11.82%14.66%14.17%8.17%8.87%
Byan Risk Parity SRLN1.96%9.81%18.94%23.04%9.46%9.01%
SRLN
SPDR Blackstone Senior Loan ETF
1.34%7.11%8.45%8.26%3.10%2.93%
IVW
iShares S&P 500 Growth ETF
0.07%14.39%20.49%13.36%10.43%12.11%
IAU
iShares Gold Trust
2.06%-2.16%5.84%15.82%9.49%4.19%
^N225
Nikkei 225
3.08%5.99%11.57%14.16%0.79%4.33%
QUAL
iShares Edge MSCI USA Quality Factor ETF
-0.87%13.79%19.15%22.60%9.49%10.86%
QQQ
Invesco QQQ
0.32%19.42%37.50%27.11%14.94%16.19%
IEUR
iShares Core MSCI Europe ETF
-0.33%3.68%10.10%24.74%3.82%3.00%
ICSH
iShares Ultra Short-Term Bond ETF
0.06%2.12%3.22%4.31%1.88%1.49%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

ICSHIAU^N225SRLNIEURQQQQUALIVW
ICSH1.000.090.070.030.060.060.060.05
IAU0.091.000.140.070.12-0.01-0.02-0.01
^N2250.070.141.000.120.160.100.100.09
SRLN0.030.070.121.000.450.400.450.42
IEUR0.060.120.160.451.000.660.730.70
QQQ0.06-0.010.100.400.661.000.870.96
QUAL0.06-0.020.100.450.730.871.000.93
IVW0.05-0.010.090.420.700.960.931.00

Sharpe Ratio

The current Byan Risk Parity SRLN Sharpe ratio is 2.14. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.004.002.14

The Sharpe ratio of Byan Risk Parity SRLN is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00AprilMayJuneJulyAugustSeptember
2.14
1.42
Byan Risk Parity SRLN
Benchmark (^GSPC)
Portfolio components

Dividend yield

Byan Risk Parity SRLN granted a 2.12% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Byan Risk Parity SRLN2.12%2.95%3.04%2.88%2.73%3.04%2.88%3.50%4.14%3.34%2.05%0.46%
SRLN
SPDR Blackstone Senior Loan ETF
7.59%6.04%4.96%5.72%6.61%6.45%5.44%5.57%6.51%5.61%3.03%0.00%
IVW
iShares S&P 500 Growth ETF
0.89%0.90%0.47%0.83%1.67%1.33%1.38%1.62%1.65%1.51%1.62%2.07%
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
1.30%1.60%1.22%1.44%1.69%2.14%1.92%2.18%1.85%1.56%0.74%0.00%
QQQ
Invesco QQQ
0.59%0.81%0.43%0.56%0.76%0.94%0.87%1.11%1.05%1.51%1.10%1.39%
IEUR
iShares Core MSCI Europe ETF
2.96%3.12%3.03%2.31%3.62%4.32%3.13%3.90%3.52%0.83%0.00%0.00%
ICSH
iShares Ultra Short-Term Bond ETF
4.05%1.70%0.44%1.27%2.77%2.39%1.52%1.00%0.61%0.52%0.00%0.00%

Expense Ratio

The 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.


0.70%
0.00%2.15%
0.25%
0.00%2.15%
0.20%
0.00%2.15%
0.18%
0.00%2.15%
0.15%
0.00%2.15%
0.09%
0.00%2.15%
0.08%
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
SRLN
SPDR Blackstone Senior Loan ETF
1.72
IVW
iShares S&P 500 Growth ETF
0.62
IAU
iShares Gold Trust
1.06
^N225
Nikkei 225
1.32
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.12
QQQ
Invesco QQQ
1.14
IEUR
iShares Core MSCI Europe ETF
1.15
ICSH
iShares Ultra Short-Term Bond ETF
6.23

Drawdowns Chart

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


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-7.98%
-8.22%
Byan Risk Parity SRLN
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Byan Risk Parity SRLN. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Byan Risk Parity SRLN is 33.74%, recorded on Mar 23, 2020. It took 81 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.74%Feb 20, 202023Mar 23, 202081Jul 14, 2020104
-30.78%Nov 18, 2021237Oct 14, 2022
-17.69%Jan 29, 2018237Dec 25, 2018125Jun 19, 2019362
-15.27%May 18, 2015178Jan 21, 2016121Jul 8, 2016299
-8.94%Jul 7, 201474Oct 16, 201485Feb 13, 2015159

Volatility Chart

The current Byan Risk Parity SRLN volatility is 2.81%, 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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
2.81%
3.27%
Byan Risk Parity SRLN
Benchmark (^GSPC)
Portfolio components