Ryan Risk Parity
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Oct 22, 2012, corresponding to the inception date of IEMG
Returns By Period
As of May 11, 2025, the Ryan Risk Parity returned 6.03% Year-To-Date and 4.99% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
| Ryan Risk Parity | 6.03% | 4.14% | 3.43% | 10.63% | 4.41% | 4.99% |
| Portfolio components: | ||||||
TIP iShares TIPS Bond ETF | 3.53% | 1.56% | 1.94% | 5.91% | 1.49% | 2.41% |
IBND SPDR Bloomberg Barclays International Corporate Bond ETF | 10.00% | 1.60% | 6.19% | 10.07% | 0.77% | 0.42% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 1.32% | 1.70% | -0.76% | 4.79% | 0.17% | 2.46% |
TLT iShares 20+ Year Treasury Bond ETF | 1.08% | 1.10% | -3.86% | 0.64% | -9.36% | -0.54% |
IAU iShares Gold Trust | 26.78% | 4.95% | 23.81% | 40.49% | 14.17% | 10.36% |
VEA Vanguard FTSE Developed Markets ETF | 12.77% | 11.62% | 8.93% | 10.01% | 11.74% | 5.66% |
IVW iShares S&P 500 Growth ETF | -4.29% | 9.39% | -3.80% | 15.12% | 15.91% | 14.19% |
IEMG iShares Core MSCI Emerging Markets ETF | 6.34% | 10.73% | 1.62% | 7.45% | 7.84% | 3.53% |
QQQ Invesco QQQ | -4.41% | 9.37% | -4.80% | 11.06% | 17.35% | 17.24% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.97% | 1.68% | 0.45% | 1.76% | 0.04% | 6.03% | |||||||
| 2024 | -0.80% | 0.40% | 2.18% | -2.37% | 2.76% | 1.33% | 2.23% | 1.78% | 2.42% | -2.17% | 0.79% | -2.37% | 6.14% |
| 2023 | 5.48% | -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% | 0.71% | 1.80% | 0.45% | -2.71% | 2.13% | -0.15% | 0.90% | 3.27% |
| 2020 | 1.88% | -0.58% | -4.38% | 5.83% | 2.20% | 2.54% | 5.25% | 1.41% | -1.72% | -1.26% | 3.99% | 2.71% | 18.83% |
| 2019 | 3.47% | 0.36% | 1.84% | 0.86% | -0.20% | 3.62% | -0.12% | 2.73% | -0.84% | 1.45% | 0.06% | 1.64% | 15.81% |
| 2018 | 1.89% | -2.38% | 0.37% | -0.95% | 0.14% | -0.46% | 0.47% | 0.35% | -0.65% | -3.45% | 0.68% | 0.27% | -3.76% |
| 2017 | 2.27% | 1.52% | 0.58% | 1.52% | 1.72% | -0.21% | 1.96% | 1.67% | -0.71% | 0.81% | 0.79% | 1.39% | 14.10% |
| 2016 | 0.10% | 1.76% | 3.59% | 0.77% | -0.95% | 2.76% | 2.51% | -0.31% | 0.48% | -2.28% | -3.58% | 0.29% | 5.02% |
| 2015 | 2.46% | -0.56% | -1.10% | 0.96% | -0.89% | -1.93% | 0.31% | -1.95% | -0.59% | 2.54% | -1.35% | -0.87% | -3.07% |
| 2014 | 0.57% | 2.69% | -0.44% | 1.21% | 1.40% | 1.39% | -0.71% | 1.82% | -3.15% | 0.76% | 0.83% | -0.64% | 5.74% |
Expense Ratio
Ryan Risk Parity has an expense ratio of 0.22%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 87, Ryan Risk Parity is among the top 13% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
TIP iShares TIPS Bond ETF | 1.24 | 1.78 | 1.23 | 0.59 | 3.82 |
IBND SPDR Bloomberg Barclays International Corporate Bond ETF | 1.13 | 1.77 | 1.20 | 0.42 | 2.64 |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 0.60 | 0.86 | 1.10 | 0.30 | 1.59 |
TLT iShares 20+ Year Treasury Bond ETF | 0.01 | 0.09 | 1.01 | -0.00 | -0.01 |
IAU iShares Gold Trust | 2.41 | 3.33 | 1.43 | 5.34 | 14.29 |
VEA Vanguard FTSE Developed Markets ETF | 0.59 | 1.00 | 1.13 | 0.80 | 2.42 |
IVW iShares S&P 500 Growth ETF | 0.62 | 1.01 | 1.14 | 0.70 | 2.34 |
IEMG iShares Core MSCI Emerging Markets ETF | 0.41 | 0.73 | 1.09 | 0.34 | 1.33 |
QQQ Invesco QQQ | 0.45 | 0.81 | 1.11 | 0.51 | 1.65 |
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Dividends
Dividend yield
Ryan Risk Parity provided a 2.62% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.62% | 2.60% | 2.40% | 2.93% | 2.00% | 1.24% | 1.80% | 2.11% | 1.74% | 1.65% | 1.42% | 2.00% |
| Portfolio components: | ||||||||||||
TIP iShares TIPS Bond ETF | 2.91% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% |
IBND SPDR Bloomberg Barclays International Corporate Bond ETF | 2.34% | 2.61% | 2.08% | 0.54% | 0.37% | 0.45% | 0.67% | 0.71% | 0.34% | 0.01% | 0.01% | 1.66% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.50% | 4.45% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% | 3.39% |
TLT iShares 20+ Year Treasury Bond ETF | 4.35% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% |
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 | 2.91% | 3.36% | 3.16% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% |
IVW iShares S&P 500 Growth ETF | 0.47% | 0.43% | 1.03% | 0.89% | 0.46% | 0.82% | 1.63% | 1.28% | 1.30% | 1.51% | 1.51% | 1.37% |
IEMG iShares Core MSCI Emerging Markets ETF | 3.01% | 3.20% | 2.89% | 2.70% | 3.06% | 1.87% | 3.15% | 2.76% | 2.34% | 2.28% | 2.52% | 2.30% |
QQQ Invesco QQQ | 0.61% | 0.56% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% |
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.
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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 0.47%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.49% | Nov 10, 2021 | 238 | Oct 20, 2022 | 483 | Sep 24, 2024 | 721 |
| -15.07% | Mar 9, 2020 | 9 | Mar 19, 2020 | 49 | May 29, 2020 | 58 |
| -8.16% | May 3, 2013 | 36 | Jun 24, 2013 | 168 | Feb 24, 2014 | 204 |
| -7.64% | Jan 29, 2018 | 229 | Dec 24, 2018 | 73 | Apr 10, 2019 | 302 |
| -7.34% | Sep 7, 2016 | 72 | Dec 16, 2016 | 103 | May 17, 2017 | 175 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 9 assets, with an effective number of assets of 7.46, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | IAU | TIP | IBND | TLT | LQD | IEMG | QQQ | IVW | VEA | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.00 | -0.03 | 0.12 | -0.19 | 0.13 | 0.69 | 0.90 | 0.96 | 0.81 | 0.54 |
| IAU | 0.00 | 1.00 | 0.38 | 0.42 | 0.29 | 0.33 | 0.17 | 0.01 | 0.01 | 0.14 | 0.53 |
| TIP | -0.03 | 0.38 | 1.00 | 0.36 | 0.76 | 0.74 | 0.03 | -0.00 | -0.01 | 0.03 | 0.61 |
| IBND | 0.12 | 0.42 | 0.36 | 1.00 | 0.30 | 0.40 | 0.25 | 0.11 | 0.12 | 0.33 | 0.60 |
| TLT | -0.19 | 0.29 | 0.76 | 0.30 | 1.00 | 0.81 | -0.13 | -0.13 | -0.15 | -0.15 | 0.49 |
| LQD | 0.13 | 0.33 | 0.74 | 0.40 | 0.81 | 1.00 | 0.13 | 0.14 | 0.15 | 0.16 | 0.70 |
| IEMG | 0.69 | 0.17 | 0.03 | 0.25 | -0.13 | 0.13 | 1.00 | 0.65 | 0.66 | 0.81 | 0.59 |
| QQQ | 0.90 | 0.01 | -0.00 | 0.11 | -0.13 | 0.14 | 0.65 | 1.00 | 0.96 | 0.71 | 0.55 |
| IVW | 0.96 | 0.01 | -0.01 | 0.12 | -0.15 | 0.15 | 0.66 | 0.96 | 1.00 | 0.74 | 0.56 |
| VEA | 0.81 | 0.14 | 0.03 | 0.33 | -0.15 | 0.16 | 0.81 | 0.71 | 0.74 | 1.00 | 0.62 |
| Portfolio | 0.54 | 0.53 | 0.61 | 0.60 | 0.49 | 0.70 | 0.59 | 0.55 | 0.56 | 0.62 | 1.00 |