Byan Factor Based Risk Parity
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in Byan Factor Based 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 Sep 22, 2023, the Byan Factor Based Risk Parity returned 3.48% Year-To-Date and 9.05% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.31% | 9.66% | 12.78% | 14.25% | 8.15% | 9.50% |
| Byan Factor Based Risk Parity | -0.43% | 2.78% | 3.48% | 6.55% | 6.27% | 9.05% |
| Portfolio components: | ||||||
QUAL iShares Edge MSCI USA Quality Factor ETF | -2.32% | 10.88% | 16.89% | 22.22% | 9.45% | 11.29% |
VLUE iShares Edge MSCI USA Value Factor ETF | -0.53% | 5.09% | 2.45% | 8.30% | 3.46% | 7.48% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | -1.96% | 5.50% | -3.03% | 4.34% | 4.83% | 10.80% |
SIZE iShares MSCI USA Size Factor ETF | -1.76% | 6.29% | 4.91% | 8.32% | 7.45% | 9.87% |
USMV iShares Edge MSCI Min Vol USA ETF | 0.34% | 6.80% | 3.69% | 9.14% | 7.10% | 10.20% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 0.14% | 3.05% | 4.35% | 6.46% | 1.94% | 2.85% |
TIP iShares TIPS Bond ETF | -0.38% | -3.55% | -0.17% | -2.29% | 2.04% | 1.83% |
TLT iShares 20+ Year Treasury Bond ETF | -2.42% | -13.37% | -6.95% | -13.41% | -2.93% | 1.09% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 6.52% | 17.65% | 6.12% | 5.38% | 5.29% | -3.38% |
BNDX Vanguard Total International Bond ETF | 0.04% | -1.30% | 2.68% | 1.21% | 0.09% | 1.83% |
IAU iShares Gold Trust | 1.11% | -4.12% | 5.06% | 14.49% | 9.71% | 4.36% |
ICSH iShares Ultra Short-Term Bond ETF | 0.05% | 2.01% | 3.22% | 4.30% | 1.96% | 1.51% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| ICSH | IAU | BNDX | GSG | TIP | TLT | HYG | MTUM | USMV | SIZE | VLUE | QUAL | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ICSH | 1.00 | 0.08 | 0.15 | -0.01 | 0.11 | 0.10 | 0.09 | 0.04 | 0.06 | 0.05 | 0.03 | 0.05 |
| IAU | 0.08 | 1.00 | 0.27 | 0.14 | 0.43 | 0.33 | 0.08 | -0.01 | 0.03 | -0.01 | -0.04 | -0.02 |
| BNDX | 0.15 | 0.27 | 1.00 | -0.10 | 0.56 | 0.68 | 0.12 | -0.02 | 0.04 | -0.03 | -0.11 | -0.03 |
| GSG | -0.01 | 0.14 | -0.10 | 1.00 | 0.07 | -0.18 | 0.34 | 0.25 | 0.21 | 0.30 | 0.35 | 0.28 |
| TIP | 0.11 | 0.43 | 0.56 | 0.07 | 1.00 | 0.73 | 0.13 | -0.03 | 0.03 | -0.02 | -0.10 | -0.05 |
| TLT | 0.10 | 0.33 | 0.68 | -0.18 | 0.73 | 1.00 | -0.04 | -0.18 | -0.12 | -0.21 | -0.29 | -0.22 |
| HYG | 0.09 | 0.08 | 0.12 | 0.34 | 0.13 | -0.04 | 1.00 | 0.61 | 0.64 | 0.67 | 0.67 | 0.71 |
| MTUM | 0.04 | -0.01 | -0.02 | 0.25 | -0.03 | -0.18 | 0.61 | 1.00 | 0.79 | 0.73 | 0.70 | 0.84 |
| USMV | 0.06 | 0.03 | 0.04 | 0.21 | 0.03 | -0.12 | 0.64 | 0.79 | 1.00 | 0.78 | 0.74 | 0.88 |
| SIZE | 0.05 | -0.01 | -0.03 | 0.30 | -0.02 | -0.21 | 0.67 | 0.73 | 0.78 | 1.00 | 0.85 | 0.85 |
| VLUE | 0.03 | -0.04 | -0.11 | 0.35 | -0.10 | -0.29 | 0.67 | 0.70 | 0.74 | 0.85 | 1.00 | 0.84 |
| QUAL | 0.05 | -0.02 | -0.03 | 0.28 | -0.05 | -0.22 | 0.71 | 0.84 | 0.88 | 0.85 | 0.84 | 1.00 |
Dividend yield
Byan Factor Based Risk Parity granted a 0.78% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Byan Factor Based Risk Parity | 0.78% | 3.66% | 4.15% | 2.30% | 2.30% | 3.37% | 3.31% | 3.92% | 4.12% | 4.36% | 4.60% | 4.00% |
| Portfolio components: | ||||||||||||
QUAL iShares Edge MSCI USA Quality Factor ETF | 1.33% | 1.60% | 1.22% | 1.44% | 1.69% | 2.14% | 1.92% | 2.18% | 1.85% | 1.56% | 0.74% | 0.00% |
VLUE iShares Edge MSCI USA Value Factor ETF | 3.09% | 3.23% | 2.33% | 2.59% | 2.87% | 3.07% | 2.49% | 2.46% | 2.91% | 2.04% | 1.68% | 0.00% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 2.29% | 1.81% | 0.56% | 0.86% | 1.54% | 1.35% | 1.09% | 1.55% | 1.23% | 1.16% | 1.15% | 0.00% |
SIZE iShares MSCI USA Size Factor ETF | 1.47% | 1.60% | 1.22% | 1.49% | 1.43% | 2.61% | 1.73% | 2.10% | 2.21% | 2.06% | 1.66% | 0.00% |
USMV iShares Edge MSCI Min Vol USA ETF | 1.73% | 1.64% | 1.30% | 1.88% | 1.99% | 2.29% | 1.95% | 2.50% | 2.32% | 2.21% | 2.61% | 2.41% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.82% | 5.51% | 4.40% | 5.56% | 5.99% | 6.99% | 6.81% | 7.37% | 8.72% | 8.87% | 10.05% | 11.56% |
TIP iShares TIPS Bond ETF | 2.43% | 7.09% | 4.64% | 1.32% | 2.01% | 3.16% | 2.49% | 1.81% | 0.42% | 2.08% | 1.45% | 2.84% |
TLT iShares 20+ Year Treasury Bond ETF | 3.49% | 2.73% | 1.56% | 1.59% | 2.44% | 2.90% | 2.76% | 3.02% | 3.11% | 3.26% | 4.09% | 3.47% |
GSG iShares S&P GSCI Commodity-Indexed 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% |
BNDX Vanguard Total International Bond ETF | 1.98% | 1.53% | 3.84% | 1.18% | 3.67% | 3.35% | 2.56% | 2.22% | 1.94% | 1.87% | 1.07% | 0.00% |
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% |
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% |
Expense Ratio
The Byan Factor Based Risk Parity has a high expense ratio of 0.34%, 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 | |
|---|---|---|---|---|---|
QUAL iShares Edge MSCI USA Quality Factor ETF | 1.09 | ||||
VLUE iShares Edge MSCI USA Value Factor ETF | 0.37 | ||||
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.19 | ||||
SIZE iShares MSCI USA Size Factor ETF | 0.35 | ||||
USMV iShares Edge MSCI Min Vol USA ETF | 0.58 | ||||
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 0.62 | ||||
TIP iShares TIPS Bond ETF | -0.26 | ||||
TLT iShares 20+ Year Treasury Bond ETF | -0.63 | ||||
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.24 | ||||
BNDX Vanguard Total International Bond ETF | 0.22 | ||||
IAU iShares Gold Trust | 1.04 | ||||
ICSH iShares Ultra Short-Term Bond ETF | 6.31 |
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 Byan Factor Based 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 Byan Factor Based Risk Parity is 33.94%, recorded on Mar 20, 2020. It took 112 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.94% | Feb 21, 2020 | 21 | Mar 20, 2020 | 112 | Aug 28, 2020 | 133 |
| -30.07% | Dec 28, 2021 | 189 | Sep 27, 2022 | — | — | — |
| -17.31% | Oct 3, 2018 | 57 | Dec 24, 2018 | 59 | Mar 21, 2019 | 116 |
| -15.13% | Apr 27, 2015 | 186 | Jan 20, 2016 | 62 | Apr 19, 2016 | 248 |
| -9.77% | Jan 29, 2018 | 9 | Feb 8, 2018 | 138 | Aug 27, 2018 | 147 |
Volatility Chart
The current Byan Factor Based Risk Parity volatility is 3.72%, 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.