Byan Risk Parity TIPS
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
TIP iShares TIPS Bond ETF | Inflation-Protected Bonds | 64.5% |
IAU iShares Gold Trust | Precious Metals, Gold | 26.11% |
^N225 Nikkei 225 | 17.27% | |
QUAL iShares Edge MSCI USA Quality Factor ETF | Large Cap Growth Equities | 13.2% |
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% |
Performance
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
Returns
As of Sep 21, 2023, the Byan Risk Parity TIPS returned 12.12% Year-To-Date and 7.35% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.06% | 11.82% | 14.66% | 14.17% | 8.17% | 8.87% |
| Byan Risk Parity TIPS | 1.15% | 3.51% | 12.12% | 13.52% | 7.92% | 7.35% |
| Portfolio components: | ||||||
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% |
TIP iShares TIPS Bond ETF | 0.32% | -2.87% | 0.36% | -1.59% | 2.07% | 1.50% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| ICSH | TIP | ^N225 | IAU | IEUR | QQQ | QUAL | IVW | |
|---|---|---|---|---|---|---|---|---|
| ICSH | 1.00 | 0.11 | 0.07 | 0.09 | 0.06 | 0.06 | 0.06 | 0.05 |
| TIP | 0.11 | 1.00 | 0.11 | 0.44 | 0.01 | -0.00 | -0.03 | -0.01 |
| ^N225 | 0.07 | 0.11 | 1.00 | 0.14 | 0.16 | 0.10 | 0.10 | 0.09 |
| IAU | 0.09 | 0.44 | 0.14 | 1.00 | 0.12 | -0.01 | -0.02 | -0.01 |
| IEUR | 0.06 | 0.01 | 0.16 | 0.12 | 1.00 | 0.66 | 0.73 | 0.70 |
| QQQ | 0.06 | -0.00 | 0.10 | -0.01 | 0.66 | 1.00 | 0.87 | 0.96 |
| QUAL | 0.06 | -0.03 | 0.10 | -0.02 | 0.73 | 0.87 | 1.00 | 0.93 |
| IVW | 0.05 | -0.01 | 0.09 | -0.01 | 0.70 | 0.96 | 0.93 | 1.00 |
Dividend yield
Byan Risk Parity TIPS granted a -0.02% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Byan Risk Parity TIPS | -0.02% | 4.41% | 3.40% | 0.78% | 0.69% | 1.78% | 1.66% | 1.70% | 0.93% | 1.70% | 1.35% | 2.23% |
| Portfolio components: | ||||||||||||
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% |
TIP iShares TIPS Bond ETF | 2.42% | 7.09% | 4.64% | 1.32% | 2.01% | 3.16% | 2.49% | 1.81% | 0.42% | 2.08% | 1.45% | 2.84% |
Expense Ratio
The 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.
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 | |
|---|---|---|---|---|---|
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 | ||||
TIP iShares TIPS Bond ETF | -0.22 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Byan Risk Parity TIPS. 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 TIPS is 31.02%, recorded on Sep 30, 2022. The portfolio has not recovered from it yet.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.02% | Nov 18, 2021 | 227 | Sep 30, 2022 | — | — | — |
| -25.12% | 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 |
| -12.64% | Apr 28, 2015 | 192 | Jan 21, 2016 | 98 | Jun 7, 2016 | 290 |
| -7.48% | Feb 16, 2021 | 15 | Mar 8, 2021 | 28 | Apr 15, 2021 | 43 |
Volatility Chart
The current Byan Risk Parity TIPS volatility is 2.72%, 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.