Byan Risk Parity TIPS
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
^N225 Nikkei 225 | 17.27% | |
IAU iShares Gold Trust | Precious Metals, Gold | 26.11% |
ICSH iShares Ultra Short-Term Bond ETF | Money Market, Actively Managed | -57% |
IEUR iShares Core MSCI Europe ETF | Europe Equities | 12.84% |
IVW iShares S&P 500 Growth ETF | Large Cap Growth Equities | 11.95% |
QQQ Invesco QQQ | Large Cap Blend Equities | 11.13% |
QUAL iShares Edge MSCI USA Quality Factor ETF | Large Cap Growth Equities | 13.20% |
TIP iShares TIPS Bond ETF | Inflation-Protected Bonds | 64.50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Byan Risk Parity TIPS, 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 Jun 12, 2014, corresponding to the inception date of IEUR
Returns By Period
As of Jul 25, 2024, the Byan Risk Parity TIPS returned 10.71% Year-To-Date and 8.35% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| Byan Risk Parity TIPS | 9.76% | -0.70% | 9.36% | 14.41% | 9.94% | 8.27% |
| Portfolio components: | ||||||
IVW iShares S&P 500 Growth ETF | 18.83% | -4.18% | 13.81% | 25.20% | 14.48% | 13.61% |
IAU iShares Gold Trust | 14.32% | 2.67% | 16.87% | 21.12% | 10.18% | 5.67% |
^N225 Nikkei 225 | 3.05% | -0.45% | 0.71% | 3.39% | 4.05% | 4.60% |
QUAL iShares Edge MSCI USA Quality Factor ETF | 14.13% | -2.70% | 10.95% | 21.97% | 13.28% | 12.23% |
QQQ Invesco QQQ | 12.23% | -4.60% | 8.45% | 22.52% | 18.63% | 17.00% |
IEUR iShares Core MSCI Europe ETF | 6.21% | 0.30% | 6.81% | 10.08% | 7.11% | 4.46% |
ICSH iShares Ultra Short-Term Bond ETF | 3.17% | 0.63% | 2.76% | 5.98% | 2.41% | 1.90% |
TIP iShares TIPS Bond ETF | 1.42% | 0.55% | 2.14% | 3.55% | 1.93% | 1.68% |
Monthly Returns
The table below presents the monthly returns of Byan Risk Parity TIPS, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.97% | 2.99% | 3.85% | -3.92% | 4.62% | 1.76% | 9.76% | ||||||
| 2023 | 7.63% | -3.98% | 7.21% | 1.00% | 0.23% | 2.49% | 2.21% | -2.44% | -6.02% | -0.72% | 8.70% | 4.60% | 21.62% |
| 2022 | -6.14% | -0.20% | 0.60% | -8.69% | -1.04% | -8.41% | 8.01% | -5.90% | -11.98% | 4.12% | 8.61% | -3.38% | -23.76% |
| 2021 | -1.24% | -1.55% | 0.59% | 4.74% | 2.90% | -0.09% | 3.11% | 1.91% | -3.66% | 4.04% | -0.53% | 3.06% | 13.70% |
| 2020 | 2.23% | -4.55% | -7.64% | 10.20% | 5.20% | 3.27% | 6.95% | 5.09% | -3.21% | -2.24% | 7.93% | 5.47% | 30.63% |
| 2019 | 6.14% | 1.61% | 1.75% | 2.75% | -2.78% | 6.41% | 0.37% | 2.28% | -0.31% | 2.89% | 0.79% | 3.26% | 27.83% |
| 2018 | 4.20% | -3.15% | -0.87% | 0.25% | 0.72% | -0.89% | 0.60% | 1.59% | -0.11% | -5.86% | 0.66% | -3.30% | -6.35% |
| 2017 | 3.79% | 2.75% | 0.76% | 2.09% | 1.85% | -1.31% | 2.36% | 1.88% | -0.29% | 2.38% | 1.98% | 1.57% | 21.60% |
| 2016 | -1.72% | 3.00% | 4.32% | 1.95% | -1.27% | 2.41% | 4.46% | -0.93% | 0.95% | -1.95% | -3.85% | 1.22% | 8.51% |
| 2015 | 4.13% | 1.30% | -1.62% | 1.67% | 0.46% | -2.18% | 0.40% | -4.04% | -3.38% | 6.62% | -1.37% | -1.77% | -0.31% |
| 2014 | 2.77% | -1.43% | 1.73% | -4.15% | 0.35% | 1.58% | -1.27% | -0.60% |
Expense Ratio
Byan Risk Parity TIPS has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Byan Risk Parity TIPS is 52, 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.
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 | |
|---|---|---|---|---|---|
IVW iShares S&P 500 Growth ETF | 1.78 | 2.44 | 1.33 | 1.25 | 10.26 |
IAU iShares Gold Trust | 1.59 | 2.28 | 1.29 | 1.75 | 8.71 |
^N225 Nikkei 225 | 0.42 | 0.71 | 1.09 | 0.29 | 1.55 |
QUAL iShares Edge MSCI USA Quality Factor ETF | 1.85 | 2.64 | 1.33 | 2.13 | 9.14 |
QQQ Invesco QQQ | 1.44 | 1.99 | 1.26 | 1.66 | 8.62 |
IEUR iShares Core MSCI Europe ETF | 0.91 | 1.39 | 1.16 | 0.72 | 3.29 |
ICSH iShares Ultra Short-Term Bond ETF | 13.38 | 38.80 | 8.91 | 83.30 | 588.62 |
TIP iShares TIPS Bond ETF | 0.64 | 0.99 | 1.11 | 0.24 | 2.49 |
Dividends
Dividend yield
Byan Risk Parity TIPS granted a -0.28% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Byan Risk Parity TIPS | -0.28% | -0.20% | 4.34% | 3.15% | 0.68% | 0.55% | 1.50% | 1.38% | 1.42% | 0.77% | 1.39% | 1.11% |
| Portfolio components: | ||||||||||||
IVW iShares S&P 500 Growth ETF | 0.67% | 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 | 1.06% | 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 | 0.63% | 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 | 3.07% | 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 | 5.23% | 4.78% | 1.66% | 0.42% | 1.21% | 2.61% | 2.20% | 1.36% | 0.88% | 0.54% | 0.46% | 0.00% |
TIP iShares TIPS Bond ETF | 3.12% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% | 1.15% |
Drawdowns
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 Byan Risk Parity TIPS. 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 TIPS was 31.13%, occurring on Sep 30, 2022. Recovery took 427 trading sessions.
The current Byan Risk Parity TIPS drawdown is 4.54%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.13% | Nov 19, 2021 | 226 | Sep 30, 2022 | 427 | May 15, 2024 | 653 |
| -24.99% | Feb 20, 2020 | 20 | Mar 18, 2020 | 53 | Jun 1, 2020 | 73 |
| -14.72% | Jan 29, 2018 | 237 | Dec 25, 2018 | 117 | Jun 7, 2019 | 354 |
| -12.66% | Apr 28, 2015 | 192 | Jan 21, 2016 | 99 | Jun 8, 2016 | 291 |
| -7.48% | Feb 16, 2021 | 15 | Mar 8, 2021 | 28 | Apr 15, 2021 | 43 |
Volatility
Volatility Chart
The current Byan Risk Parity TIPS volatility is 3.48%, 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
Asset Correlations Table
| ICSH | ^N225 | TIP | IAU | IEUR | QQQ | QUAL | IVW | |
|---|---|---|---|---|---|---|---|---|
| ICSH | 1.00 | 0.08 | 0.14 | 0.11 | 0.07 | 0.06 | 0.06 | 0.06 |
| ^N225 | 0.08 | 1.00 | 0.13 | 0.15 | 0.14 | 0.08 | 0.09 | 0.07 |
| TIP | 0.14 | 0.13 | 1.00 | 0.42 | 0.04 | 0.02 | -0.01 | 0.01 |
| IAU | 0.11 | 0.15 | 0.42 | 1.00 | 0.14 | -0.00 | -0.01 | 0.00 |
| IEUR | 0.07 | 0.14 | 0.04 | 0.14 | 1.00 | 0.65 | 0.73 | 0.69 |
| QQQ | 0.06 | 0.08 | 0.02 | -0.00 | 0.65 | 1.00 | 0.88 | 0.96 |
| QUAL | 0.06 | 0.09 | -0.01 | -0.01 | 0.73 | 0.88 | 1.00 | 0.93 |
| IVW | 0.06 | 0.07 | 0.01 | 0.00 | 0.69 | 0.96 | 0.93 | 1.00 |