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Byan Risk Parity TIPS

Last updated Sep 21, 2023

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
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds64.5%
IAU
iShares Gold Trust
Precious Metals, Gold26.11%
^N225
Nikkei 225
17.27%
QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities13.2%
IEUR
iShares Core MSCI Europe ETF
Europe Equities12.84%
IVW
iShares S&P 500 Growth ETF
Large Cap Growth Equities11.95%
QQQ
Invesco QQQ
Large Cap Blend Equities11.13%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
2.84%
11.48%
Byan Risk Parity TIPS
Benchmark (^GSPC)
Portfolio components

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 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 TIPS1.15%3.51%12.12%13.52%7.92%7.35%
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%

Asset Correlations Table

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

ICSHTIP^N225IAUIEURQQQQUALIVW
ICSH1.000.110.070.090.060.060.060.05
TIP0.111.000.110.440.01-0.00-0.03-0.01
^N2250.070.111.000.140.160.100.100.09
IAU0.090.440.141.000.12-0.01-0.02-0.01
IEUR0.060.010.160.121.000.660.730.70
QQQ0.06-0.000.10-0.010.661.000.870.96
QUAL0.06-0.030.10-0.020.730.871.000.93
IVW0.05-0.010.09-0.010.700.960.931.00

Sharpe Ratio

The current Byan Risk Parity TIPS Sharpe ratio is 1.57. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.57

The Sharpe ratio of Byan Risk Parity TIPS 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-0.500.000.501.001.50AprilMayJuneJulyAugustSeptember
1.57
1.42
Byan Risk Parity TIPS
Benchmark (^GSPC)
Portfolio components

Dividend yield

Byan Risk Parity TIPS granted a -0.02% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
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%
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.


0.25%
0.00%2.15%
0.18%
0.00%2.15%
0.20%
0.00%2.15%
0.19%
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
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.


-20.00%-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-15.49%
-8.22%
Byan Risk Parity TIPS
Benchmark (^GSPC)
Portfolio components

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, 2021227Sep 30, 2022
-25.12%Feb 20, 202020Mar 18, 202053Jun 1, 202073
-14.72%Jan 29, 2018237Dec 25, 2018117Jun 7, 2019354
-12.64%Apr 28, 2015192Jan 21, 201698Jun 7, 2016290
-7.48%Feb 16, 202115Mar 8, 202128Apr 15, 202143

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.


2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
2.72%
3.27%
Byan Risk Parity TIPS
Benchmark (^GSPC)
Portfolio components