PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Byan Risk Parity TIPS
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TIP 64.5%IAU 26.11%^N225 17.27%QUAL 13.2%IEUR 12.84%IVW 11.95%QQQ 11.13%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
^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%

S&P 500

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


0.00%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
12.46%
14.58%
Byan Risk Parity TIPS
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 15, 2024, the Byan Risk Parity TIPS returned 10.89% Year-To-Date and 8.73% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.75%3.20%15.46%24.12%13.37%10.83%
Byan Risk Parity TIPS10.89%0.92%12.46%15.91%10.75%8.51%
IVW
iShares S&P 500 Growth ETF
23.01%6.95%23.44%33.38%15.99%14.11%
IAU
iShares Gold Trust
12.94%-3.52%14.91%18.94%10.88%5.45%
^N225
Nikkei 225
4.55%0.07%8.33%3.80%4.44%4.93%
QUAL
iShares Edge MSCI USA Quality Factor ETF
16.81%3.59%17.10%29.72%14.53%12.60%
QQQ
Invesco QQQ
17.17%6.07%17.93%31.11%20.72%17.96%
IEUR
iShares Core MSCI Europe ETF
5.36%-3.67%7.49%10.45%7.10%4.05%
ICSH
iShares Ultra Short-Term Bond ETF
2.43%0.43%2.70%5.88%2.34%1.82%
TIP
iShares TIPS Bond ETF
0.86%0.99%1.03%2.45%1.89%1.75%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.97%2.99%3.85%-3.92%4.64%10.89%
20237.63%-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%
20202.23%-4.55%-7.64%10.20%5.20%3.27%6.95%5.09%-3.21%-2.24%7.93%5.47%30.63%
20196.14%1.61%1.75%2.75%-2.78%6.41%0.37%2.28%-0.31%2.89%0.79%3.26%27.83%
20184.21%-3.15%-0.87%0.25%0.72%-0.89%0.60%1.59%-0.11%-5.86%0.66%-3.30%-6.35%
20173.79%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%
20154.13%1.30%-1.62%1.67%0.46%-2.18%0.40%-4.04%-3.38%6.62%-1.37%-1.77%-0.31%
20142.77%-1.43%1.73%-4.15%0.35%1.58%-1.27%-0.60%

Expense Ratio

Byan Risk Parity TIPS has a high expense ratio of 0.22%, 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 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 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 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 TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
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 TIPS is 42, 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 TIPS is 4242
Byan Risk Parity TIPS
The Sharpe Ratio Rank of Byan Risk Parity TIPS is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of Byan Risk Parity TIPS is 5151Sortino Ratio Rank
The Omega Ratio Rank of Byan Risk Parity TIPS is 5050Omega Ratio Rank
The Calmar Ratio Rank of Byan Risk Parity TIPS is 2626Calmar Ratio Rank
The Martin Ratio Rank of Byan Risk Parity TIPS is 3333Martin 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 TIPS
Sharpe ratio
The chart of Sharpe ratio for Byan Risk Parity TIPS, currently valued at 1.74, compared to the broader market0.002.004.001.74
Sortino ratio
The chart of Sortino ratio for Byan Risk Parity TIPS, currently valued at 2.57, compared to the broader market-2.000.002.004.006.002.57
Omega ratio
The chart of Omega ratio for Byan Risk Parity TIPS, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for Byan Risk Parity TIPS, currently valued at 0.90, compared to the broader market0.002.004.006.008.0010.000.90
Martin ratio
The chart of Martin ratio for Byan Risk Parity TIPS, currently valued at 4.76, compared to the broader market0.0010.0020.0030.0040.0050.004.76
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market0.002.004.002.10
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.98, compared to the broader market-2.000.002.004.006.002.98
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.67, compared to the broader market0.002.004.006.008.0010.001.67
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.85, compared to the broader market0.0010.0020.0030.0040.0050.007.85

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IVW
iShares S&P 500 Growth ETF
2.493.501.461.6213.01
IAU
iShares Gold Trust
1.662.371.311.758.00
^N225
Nikkei 225
0.540.871.110.361.70
QUAL
iShares Edge MSCI USA Quality Factor ETF
2.553.621.462.8611.98
QQQ
Invesco QQQ
2.112.891.372.349.78
IEUR
iShares Core MSCI Europe ETF
0.991.491.180.802.98
ICSH
iShares Ultra Short-Term Bond ETF
13.1137.058.1782.50564.79
TIP
iShares TIPS Bond ETF
0.440.701.080.181.44

Sharpe Ratio

The current Byan Risk Parity TIPS Sharpe ratio is 1.74. 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 1.39 to 2.33, 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 TIPS 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.74
2.14
Byan Risk Parity TIPS
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Byan Risk Parity TIPS granted a -0.23% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Byan Risk Parity TIPS-0.23%-0.20%4.34%3.15%0.68%0.55%1.50%1.38%1.42%0.77%1.39%1.11%
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
1.04%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
0.55%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
3.10%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%
TIP
iShares TIPS Bond ETF
3.19%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune0
-0.04%
Byan Risk Parity TIPS
Benchmark (^GSPC)
Portfolio components

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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.13%Nov 19, 2021226Sep 30, 2022427May 15, 2024653
-24.99%Feb 20, 202020Mar 18, 202053Jun 1, 202073
-14.72%Jan 29, 2018237Dec 25, 2018117Jun 7, 2019354
-12.66%Apr 28, 2015192Jan 21, 201699Jun 8, 2016291
-7.48%Feb 16, 202115Mar 8, 202128Apr 15, 202143

Volatility

Volatility Chart

The current Byan Risk Parity TIPS volatility is 2.94%, 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%2024FebruaryMarchAprilMayJune
2.94%
2.26%
Byan Risk Parity TIPS
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.

ICSH^N225TIPIAUIEURQQQQUALIVW
ICSH1.000.080.140.100.070.070.070.07
^N2250.081.000.130.150.140.080.090.07
TIP0.140.131.000.420.040.01-0.010.01
IAU0.100.150.421.000.13-0.00-0.01-0.00
IEUR0.070.140.040.131.000.650.730.69
QQQ0.070.080.01-0.000.651.000.880.96
QUAL0.070.09-0.01-0.010.730.881.000.93
IVW0.070.070.01-0.000.690.960.931.00
The correlation results are calculated based on daily price changes starting from Jun 13, 2014