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Ryan Risk Parity
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


TIP 22.56%IBND 14.16%LQD 13.66%TLT 12.59%IAU 10.36%VEA 7.25%IVW 6.77%IEMG 6.39%QQQ 6.26%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
IAU
iShares Gold Trust
Precious Metals, Gold
10.36%
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
Corporate Bonds
14.16%
IEMG
iShares Core MSCI Emerging Markets ETF
Asia Pacific Equities
6.39%
IVW
iShares S&P 500 Growth ETF
Large Cap Growth Equities
6.77%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
Corporate Bonds
13.66%
QQQ
Invesco QQQ
Large Cap Blend Equities
6.26%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
22.56%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
12.59%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities
7.25%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Ryan Risk Parity, 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


50.00%100.00%150.00%200.00%250.00%300.00%MayJuneJulyAugustSeptemberOctober
68.22%
301.10%
Ryan Risk Parity
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 22, 2012, corresponding to the inception date of IEMG

Returns By Period

As of Oct 7, 2024, the Ryan Risk Parity returned 9.40% Year-To-Date and 4.84% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.57%4.18%10.51%35.06%14.29%11.53%
Ryan Risk Parity9.40%2.00%7.67%21.31%4.87%4.88%
TIP
iShares TIPS Bond ETF
3.94%0.02%4.75%10.16%2.17%2.14%
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
2.39%-0.66%4.51%13.80%-1.00%-0.89%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.18%-0.36%6.54%16.58%0.60%2.67%
TLT
iShares 20+ Year Treasury Bond ETF
-0.47%-3.72%6.66%17.22%-5.67%0.20%
IAU
iShares Gold Trust
28.31%6.21%13.23%44.57%11.81%7.84%
VEA
Vanguard FTSE Developed Markets ETF
10.21%3.24%5.08%23.35%8.28%6.39%
IVW
iShares S&P 500 Growth ETF
27.78%8.58%13.77%38.88%17.74%15.41%
IEMG
iShares Core MSCI Emerging Markets ETF
16.84%11.42%13.21%27.02%6.61%4.51%
QQQ
Invesco QQQ
19.51%8.76%10.94%34.54%21.97%18.86%

Monthly Returns

The table below presents the monthly returns of Ryan Risk Parity, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.80%0.40%2.18%-2.37%2.76%1.33%2.23%1.78%2.42%9.40%
20235.48%-3.54%4.65%0.76%-1.20%1.51%1.23%-1.86%-4.14%-1.03%6.35%4.28%12.47%
2022-3.47%-0.92%-1.38%-6.48%-0.49%-4.41%4.00%-4.34%-7.29%0.38%6.92%-1.90%-18.51%
2021-1.07%-1.98%-0.90%2.66%1.51%0.73%1.80%0.45%-2.71%2.13%-0.15%0.90%3.28%
20201.88%-0.58%-4.38%5.82%2.19%2.55%5.25%1.41%-1.72%-1.26%3.99%2.72%18.84%
20193.47%0.36%1.84%0.86%-0.20%3.62%-0.12%2.73%-0.84%1.45%0.06%1.64%15.79%
20181.89%-2.38%0.37%-0.95%0.14%-0.46%0.47%0.35%-0.65%-3.45%0.68%0.27%-3.76%
20172.27%1.52%0.58%1.52%1.72%-0.21%1.96%1.67%-0.71%0.81%0.79%1.39%14.10%
20160.10%1.76%3.59%0.77%-0.95%2.76%2.51%-0.31%0.48%-2.28%-3.58%0.29%5.02%
20152.46%-0.56%-1.10%0.96%-0.89%-1.93%0.31%-1.95%-0.59%2.54%-1.35%-0.87%-3.07%
20140.57%2.69%-0.44%1.21%1.40%1.39%-0.71%1.82%-3.15%0.76%0.82%-0.65%5.74%
20130.08%-0.65%0.38%1.63%-3.22%-3.73%2.41%-0.62%2.05%1.67%-0.60%-0.21%-1.02%

Expense Ratio

Ryan Risk Parity 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.


Expense ratio chart for IBND: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
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 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 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 LQD: 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 TLT: 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 IEMG: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Ryan Risk Parity is 60, 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 Ryan Risk Parity is 6060
Ryan Risk Parity
The Sharpe Ratio Rank of Ryan Risk Parity is 6464Sharpe Ratio Rank
The Sortino Ratio Rank of Ryan Risk Parity is 7777Sortino Ratio Rank
The Omega Ratio Rank of Ryan Risk Parity is 6767Omega Ratio Rank
The Calmar Ratio Rank of Ryan Risk Parity is 1414Calmar Ratio Rank
The Martin Ratio Rank of Ryan Risk Parity is 7575Martin 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.


Ryan Risk Parity
Sharpe ratio
The chart of Sharpe ratio for Ryan Risk Parity, currently valued at 2.77, compared to the broader market0.002.004.002.77
Sortino ratio
The chart of Sortino ratio for Ryan Risk Parity, currently valued at 4.07, compared to the broader market-2.000.002.004.006.004.07
Omega ratio
The chart of Omega ratio for Ryan Risk Parity, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for Ryan Risk Parity, currently valued at 1.17, compared to the broader market0.002.004.006.008.0010.0012.001.17
Martin ratio
The chart of Martin ratio for Ryan Risk Parity, currently valued at 18.38, compared to the broader market0.0010.0020.0030.0040.0050.0018.38
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.002.004.002.80
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.73, compared to the broader market-2.000.002.004.006.003.73
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.002.004.006.008.0010.0012.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.01, compared to the broader market0.0010.0020.0030.0040.0050.0017.01

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TIP
iShares TIPS Bond ETF
1.802.731.330.6610.50
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
1.712.541.320.525.09
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
2.002.971.350.718.20
TLT
iShares 20+ Year Treasury Bond ETF
0.941.421.160.312.74
IAU
iShares Gold Trust
3.124.231.553.6520.55
VEA
Vanguard FTSE Developed Markets ETF
1.952.721.341.5512.24
IVW
iShares S&P 500 Growth ETF
2.433.171.441.9312.25
IEMG
iShares Core MSCI Emerging Markets ETF
1.952.771.340.9810.95
QQQ
Invesco QQQ
2.072.731.362.639.55

Sharpe Ratio

The current Ryan Risk Parity Sharpe ratio is 2.77. 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 2.22 to 2.94, 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 Ryan Risk Parity 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 Ratio0.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.77
2.80
Ryan Risk Parity
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Ryan Risk Parity granted a 2.47% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Ryan Risk Parity2.47%2.40%2.93%2.00%1.22%1.79%2.11%1.74%1.65%1.42%2.00%1.83%
TIP
iShares TIPS Bond ETF
2.70%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
2.44%2.08%0.54%0.37%0.33%0.58%0.71%0.34%0.01%0.01%1.63%1.24%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.26%3.99%3.30%2.30%2.66%3.29%3.67%3.10%3.34%3.47%3.39%3.83%
TLT
iShares 20+ Year Treasury Bond ETF
3.82%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
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%
VEA
Vanguard FTSE Developed Markets ETF
2.89%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
IVW
iShares S&P 500 Growth ETF
0.54%1.03%0.89%0.46%0.82%1.62%1.27%1.30%1.51%1.51%1.36%1.44%
IEMG
iShares Core MSCI Emerging Markets ETF
2.54%2.89%2.71%3.06%1.87%3.14%2.74%2.33%2.26%2.51%2.29%1.75%
QQQ
Invesco QQQ
0.62%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.10%
-0.20%
Ryan Risk Parity
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Ryan Risk Parity. 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 Ryan Risk Parity was 24.49%, occurring on Oct 20, 2022. Recovery took 483 trading sessions.

The current Ryan Risk Parity drawdown is 1.10%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.49%Nov 10, 2021238Oct 20, 2022483Sep 24, 2024721
-15.07%Mar 9, 20209Mar 19, 202049May 29, 202058
-8.16%May 3, 201336Jun 24, 2013168Feb 24, 2014204
-7.64%Jan 29, 2018229Dec 24, 201873Apr 10, 2019302
-7.34%Sep 7, 201672Dec 16, 2016103May 17, 2017175

Volatility

Volatility Chart

The current Ryan Risk Parity volatility is 1.92%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
1.92%
3.37%
Ryan Risk Parity
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.

IAUIBNDTIPQQQTLTIVWLQDIEMGVEA
IAU1.000.420.390.010.300.000.340.160.14
IBND0.421.000.370.110.300.120.400.240.32
TIP0.390.371.00-0.010.75-0.010.730.030.02
QQQ0.010.11-0.011.00-0.140.960.140.660.71
TLT0.300.300.75-0.141.00-0.160.80-0.14-0.17
IVW0.000.12-0.010.96-0.161.000.140.670.75
LQD0.340.400.730.140.800.141.000.130.14
IEMG0.160.240.030.66-0.140.670.131.000.81
VEA0.140.320.020.71-0.170.750.140.811.00
The correlation results are calculated based on daily price changes starting from Oct 23, 2012