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Ryan Risk Parity

Last updated Oct 2, 2023

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
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds22.56%
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
Corporate Bonds14.16%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
Corporate Bonds13.66%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds12.59%
IAU
iShares Gold Trust
Precious Metals, Gold10.36%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities7.25%
IVW
iShares S&P 500 Growth ETF
Large Cap Growth Equities6.77%
IEMG
iShares Core MSCI Emerging Markets ETF
Asia Pacific Equities6.39%
QQQ
Invesco QQQ
Large Cap Blend Equities6.26%

Performance

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


-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptember
-4.55%
4.57%
Ryan Risk Parity
Benchmark (^GSPC)
Portfolio components

Returns

As of Oct 2, 2023, the Ryan Risk Parity returned 2.46% Year-To-Date and 3.53% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-5.04%4.35%11.68%19.59%7.99%9.86%
Ryan Risk Parity-3.75%-3.77%2.46%7.87%2.99%3.53%
TIP
iShares TIPS Bond ETF
-1.41%-4.12%-0.68%1.22%1.96%1.57%
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
-3.69%-3.92%-0.79%9.90%-3.40%-2.25%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
-2.87%-5.05%-0.63%3.56%0.73%2.17%
TLT
iShares 20+ Year Treasury Bond ETF
-6.49%-15.26%-9.01%-10.72%-3.37%0.61%
IAU
iShares Gold Trust
-4.82%-6.37%1.16%10.97%8.82%3.24%
VEA
Vanguard FTSE Developed Markets ETF
-3.93%-1.63%6.27%24.10%3.30%4.04%
IVW
iShares S&P 500 Growth ETF
-5.05%7.67%17.95%19.54%10.26%13.30%
IEMG
iShares Core MSCI Emerging Markets ETF
-4.09%-1.50%2.91%13.38%1.29%2.10%
QQQ
Invesco QQQ
-4.98%11.95%35.14%34.96%14.88%17.45%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20234.65%0.76%-1.20%1.51%1.23%-1.85%

Sharpe Ratio

The current Ryan Risk Parity Sharpe ratio is 0.60. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.60

The Sharpe ratio of Ryan Risk Parity is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00MayJuneJulyAugustSeptember
0.60
0.89
Ryan Risk Parity
Benchmark (^GSPC)
Portfolio components

Dividend yield

Ryan Risk Parity granted a 2.29% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Ryan Risk Parity2.29%2.99%2.13%1.32%1.97%2.39%2.02%1.97%1.73%2.45%2.32%2.54%
TIP
iShares TIPS Bond ETF
2.45%7.09%4.64%1.32%2.01%3.16%2.49%1.81%0.42%2.08%1.45%2.84%
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
1.68%0.55%0.37%0.34%0.59%0.73%0.36%0.01%0.01%1.71%1.31%1.29%
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
4.11%3.39%2.43%2.88%3.66%4.23%3.71%4.12%4.43%4.47%5.23%5.43%
TLT
iShares 20+ Year Treasury Bond ETF
3.56%2.73%1.56%1.59%2.44%2.90%2.76%3.02%3.11%3.26%4.09%3.47%
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
3.18%2.97%3.32%2.22%3.38%3.84%3.27%3.71%3.66%4.75%3.47%4.08%
IVW
iShares S&P 500 Growth ETF
1.02%0.90%0.47%0.84%1.68%1.34%1.38%1.63%1.65%1.51%1.63%2.08%
IEMG
iShares Core MSCI Emerging Markets ETF
2.40%2.73%3.17%1.99%3.42%3.09%2.69%2.68%3.04%2.84%2.22%0.30%
QQQ
Invesco QQQ
0.60%0.81%0.43%0.56%0.76%0.94%0.87%1.11%1.05%1.51%1.10%1.39%

Expense Ratio

The Ryan Risk Parity 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.


0.50%
0.00%2.15%
0.25%
0.00%2.15%
0.20%
0.00%2.15%
0.19%
0.00%2.15%
0.18%
0.00%2.15%
0.15%
0.00%2.15%
0.14%
0.00%2.15%
0.05%
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
TIP
iShares TIPS Bond ETF
-0.12
IBND
SPDR Bloomberg Barclays International Corporate Bond ETF
0.90
LQD
iShares iBoxx $ Investment Grade Corporate Bond ETF
0.24
TLT
iShares 20+ Year Treasury Bond ETF
-0.68
IAU
iShares Gold Trust
0.78
VEA
Vanguard FTSE Developed Markets ETF
1.30
IVW
iShares S&P 500 Growth ETF
0.74
IEMG
iShares Core MSCI Emerging Markets ETF
0.59
QQQ
Invesco QQQ
1.26

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

IAUIBNDTIPLQDQQQIEMGTLTIVWVEA
IAU1.000.420.400.34-0.010.140.31-0.010.11
IBND0.421.000.350.370.100.220.270.110.30
TIP0.400.351.000.72-0.020.010.74-0.03-0.00
LQD0.340.370.721.000.130.120.780.130.12
QQQ-0.010.10-0.020.131.000.66-0.170.960.72
IEMG0.140.220.010.120.661.00-0.170.670.81
TLT0.310.270.740.78-0.17-0.171.00-0.19-0.22
IVW-0.010.11-0.030.130.960.67-0.191.000.76
VEA0.110.30-0.000.120.720.81-0.220.761.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%MayJuneJulyAugustSeptember
-17.32%
-10.60%
Ryan Risk Parity
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Ryan Risk Parity. 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 Ryan Risk Parity is 24.49%, recorded on Oct 20, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.49%Nov 10, 2021238Oct 20, 2022
-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 Chart

The current Ryan Risk Parity volatility is 1.80%, 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%MayJuneJulyAugustSeptember
1.80%
3.17%
Ryan Risk Parity
Benchmark (^GSPC)
Portfolio components