Ryan Risk Parity
Asset Allocation
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
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 month | 6 months | Year-To-Date | 1 year | 5 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% |
| Portfolio components: | ||||||
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% |
| Returns over 1 year are annualized | ||||||
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 4.65% | 0.76% | -1.20% | 1.51% | 1.23% | -1.85% |
Dividend yield
Ryan Risk Parity granted a 2.29% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ryan Risk Parity | 2.29% | 2.99% | 2.13% | 1.32% | 1.97% | 2.39% | 2.02% | 1.97% | 1.73% | 2.45% | 2.32% | 2.54% |
| Portfolio components: | ||||||||||||
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.
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 | |
|---|---|---|---|---|---|
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
| IAU | IBND | TIP | LQD | QQQ | IEMG | TLT | IVW | VEA | |
|---|---|---|---|---|---|---|---|---|---|
| IAU | 1.00 | 0.42 | 0.40 | 0.34 | -0.01 | 0.14 | 0.31 | -0.01 | 0.11 |
| IBND | 0.42 | 1.00 | 0.35 | 0.37 | 0.10 | 0.22 | 0.27 | 0.11 | 0.30 |
| TIP | 0.40 | 0.35 | 1.00 | 0.72 | -0.02 | 0.01 | 0.74 | -0.03 | -0.00 |
| LQD | 0.34 | 0.37 | 0.72 | 1.00 | 0.13 | 0.12 | 0.78 | 0.13 | 0.12 |
| QQQ | -0.01 | 0.10 | -0.02 | 0.13 | 1.00 | 0.66 | -0.17 | 0.96 | 0.72 |
| IEMG | 0.14 | 0.22 | 0.01 | 0.12 | 0.66 | 1.00 | -0.17 | 0.67 | 0.81 |
| TLT | 0.31 | 0.27 | 0.74 | 0.78 | -0.17 | -0.17 | 1.00 | -0.19 | -0.22 |
| IVW | -0.01 | 0.11 | -0.03 | 0.13 | 0.96 | 0.67 | -0.19 | 1.00 | 0.76 |
| VEA | 0.11 | 0.30 | -0.00 | 0.12 | 0.72 | 0.81 | -0.22 | 0.76 | 1.00 |
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 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, 2021 | 238 | Oct 20, 2022 | — | — | — |
| -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 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.