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Byan Factor Based Risk Parity
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BNDX 33%TIP 23%HYG 22%TLT 8%IAU 13%GSG 9%USMV 22%VLUE 17%SIZE 16%QUAL 13%MTUM 13%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
BNDX
Vanguard Total International Bond ETF
Total Bond Market
33%
GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities
9%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
High Yield Bonds
22%
IAU
iShares Gold Trust
Precious Metals, Gold
13%
ICSH
iShares Ultra Short-Term Bond ETF
Money Market, Actively Managed
-89%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
Large Cap Growth Equities
13%
QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities
13%
SIZE
iShares MSCI USA Size Factor ETF
All Cap Equities
16%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
23%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
8%
USMV
iShares Edge MSCI Min Vol USA ETF
Large Cap Growth Equities
22%
VLUE
iShares Edge MSCI USA Value Factor ETF
Large Cap Value Equities
17%

Performance

Performance Chart

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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
14.93%
15.83%
Byan Factor Based Risk Parity
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 13, 2013, corresponding to the inception date of ICSH

Returns By Period

As of Oct 30, 2024, the Byan Factor Based Risk Parity returned 18.49% Year-To-Date and 10.36% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Byan Factor Based Risk Parity18.49%-0.58%14.93%39.24%9.93%10.36%
QUAL
iShares Edge MSCI USA Quality Factor ETF
23.61%1.04%15.62%41.23%15.52%13.27%
VLUE
iShares Edge MSCI USA Value Factor ETF
9.54%-0.43%9.05%28.86%8.18%8.15%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
32.04%2.16%16.86%51.72%12.78%13.42%
SIZE
iShares MSCI USA Size Factor ETF
14.53%0.55%11.66%36.41%11.93%10.82%
USMV
iShares Edge MSCI Min Vol USA ETF
18.16%-0.01%14.11%30.14%9.27%10.88%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
7.55%-0.59%7.39%16.71%3.49%3.80%
TIP
iShares TIPS Bond ETF
2.83%-1.99%4.67%7.98%2.00%2.09%
TLT
iShares 20+ Year Treasury Bond ETF
-4.13%-6.33%6.41%13.97%-5.96%-0.11%
GSG
iShares S&P GSCI Commodity-Indexed Trust
3.79%-1.14%-6.51%-4.14%6.81%-2.75%
BNDX
Vanguard Total International Bond ETF
2.99%-0.45%4.46%9.92%-0.17%2.05%
IAU
iShares Gold Trust
34.15%4.53%20.92%38.56%12.74%8.78%
ICSH
iShares Ultra Short-Term Bond ETF
4.73%0.29%3.05%6.07%2.66%2.14%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.75%3.17%5.06%-5.58%3.70%1.75%3.73%2.86%2.67%18.49%
20236.70%-5.62%4.22%0.29%-3.96%5.28%3.15%-2.04%-5.74%-2.60%9.84%6.55%15.56%
2022-5.62%-0.79%2.36%-9.05%0.36%-10.44%8.60%-6.47%-11.92%9.06%7.58%-5.73%-22.47%
2021-0.89%1.06%3.19%5.23%2.31%1.35%3.28%1.50%-4.45%5.72%-2.21%5.17%22.83%
20201.11%-7.05%-15.69%11.02%6.02%1.69%7.46%3.85%-2.84%-2.40%11.42%4.65%17.03%
20199.00%3.01%2.42%2.52%-4.18%8.21%1.60%1.35%0.50%0.90%2.08%2.92%34.09%
20183.71%-3.89%-0.24%0.08%1.39%0.33%1.81%2.88%0.29%-6.46%0.66%-6.68%-6.58%
20171.76%4.70%-0.50%1.52%1.65%-0.34%2.46%1.48%1.15%2.57%2.97%1.59%23.03%
2016-2.75%3.17%6.08%2.00%0.82%4.48%2.71%-0.76%0.74%-3.33%-0.02%2.24%16.05%
20151.14%3.00%-1.60%0.30%0.59%-2.91%0.94%-5.01%-2.45%6.79%-1.97%-1.77%-3.42%
2014-0.76%5.72%-0.20%1.35%2.50%2.84%-2.27%4.48%-3.43%2.34%2.06%-0.60%14.50%
20132.55%2.55%

Expense Ratio

Byan Factor Based Risk Parity features an expense ratio of 0.34%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for GSG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for HYG: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
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 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 QUAL: 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 VLUE: 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 MTUM: 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 SIZE: 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 USMV: 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 ICSH: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for BNDX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Byan Factor Based 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 Byan Factor Based Risk Parity is 6060
Combined Rank
The Sharpe Ratio Rank of Byan Factor Based Risk Parity is 6767Sharpe Ratio Rank
The Sortino Ratio Rank of Byan Factor Based Risk Parity is 7575Sortino Ratio Rank
The Omega Ratio Rank of Byan Factor Based Risk Parity is 6868Omega Ratio Rank
The Calmar Ratio Rank of Byan Factor Based Risk Parity is 2020Calmar Ratio Rank
The Martin Ratio Rank of Byan Factor Based Risk Parity is 7070Martin 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.


Byan Factor Based Risk Parity
Sharpe ratio
The chart of Sharpe ratio for Byan Factor Based Risk Parity, currently valued at 3.27, compared to the broader market0.002.004.006.003.27
Sortino ratio
The chart of Sortino ratio for Byan Factor Based Risk Parity, currently valued at 4.57, compared to the broader market-2.000.002.004.006.004.57
Omega ratio
The chart of Omega ratio for Byan Factor Based Risk Parity, currently valued at 1.59, compared to the broader market0.801.001.201.401.601.802.001.59
Calmar ratio
The chart of Calmar ratio for Byan Factor Based Risk Parity, currently valued at 1.66, compared to the broader market0.005.0010.001.66
Martin ratio
The chart of Martin ratio for Byan Factor Based Risk Parity, currently valued at 21.60, compared to the broader market0.0010.0020.0030.0040.0050.0060.0021.60
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
QUAL
iShares Edge MSCI USA Quality Factor ETF
3.424.671.634.5822.08
VLUE
iShares Edge MSCI USA Value Factor ETF
2.223.061.381.459.40
MTUM
iShares Edge MSCI USA Momentum Factor ETF
2.903.751.501.9816.97
SIZE
iShares MSCI USA Size Factor ETF
2.974.101.522.1316.82
USMV
iShares Edge MSCI Min Vol USA ETF
3.775.251.723.3325.70
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
3.305.381.671.9127.53
TIP
iShares TIPS Bond ETF
1.522.271.280.567.88
TLT
iShares 20+ Year Treasury Bond ETF
0.891.361.150.282.32
GSG
iShares S&P GSCI Commodity-Indexed Trust
-0.35-0.380.96-0.14-1.02
BNDX
Vanguard Total International Bond ETF
2.283.531.410.748.83
IAU
iShares Gold Trust
2.683.611.465.5317.31
ICSH
iShares Ultra Short-Term Bond ETF
14.2241.649.9087.56607.97

Sharpe Ratio

The current Byan Factor Based Risk Parity Sharpe ratio is 3.27. 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 2.49 to 3.44, 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 Byan Factor Based 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
3.27
3.43
Byan Factor Based Risk Parity
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Byan Factor Based Risk Parity provided a 0.42% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Byan Factor Based Risk Parity0.42%0.78%3.60%3.92%2.08%1.96%2.83%2.69%3.13%3.16%3.24%3.30%
QUAL
iShares Edge MSCI USA Quality Factor ETF
1.00%1.23%1.59%1.20%1.39%1.60%2.00%1.76%1.96%1.63%1.35%0.63%
VLUE
iShares Edge MSCI USA Value Factor ETF
2.57%2.66%3.18%2.22%2.42%2.61%2.70%2.14%2.07%2.39%1.64%1.33%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
0.56%1.35%1.80%0.55%0.83%1.48%1.27%1.02%1.43%1.12%1.04%1.02%
SIZE
iShares MSCI USA Size Factor ETF
1.37%1.42%1.59%1.19%1.43%1.35%2.43%1.58%1.88%1.95%1.78%1.41%
USMV
iShares Edge MSCI Min Vol USA ETF
1.65%1.82%1.62%1.26%1.81%1.88%2.12%1.77%2.22%2.02%1.88%2.18%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
6.35%5.74%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%
TIP
iShares TIPS Bond ETF
2.73%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
TLT
iShares 20+ Year Treasury Bond ETF
3.97%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
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
4.74%4.42%1.51%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%
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
5.28%4.78%1.66%0.42%1.21%2.61%2.20%1.36%0.88%0.54%0.46%0.00%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.92%
-0.54%
Byan Factor Based Risk Parity
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Byan Factor Based 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 Byan Factor Based Risk Parity was 33.94%, occurring on Mar 20, 2020. Recovery took 112 trading sessions.

The current Byan Factor Based Risk Parity drawdown is 1.92%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.94%Feb 21, 202021Mar 20, 2020112Aug 28, 2020133
-30.07%Dec 28, 2021189Sep 27, 2022449Jul 12, 2024638
-17.31%Oct 3, 201857Dec 24, 201859Mar 21, 2019116
-15.13%Apr 27, 2015186Jan 20, 201662Apr 19, 2016248
-9.77%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147

Volatility

Volatility Chart

The current Byan Factor Based Risk Parity volatility is 2.20%, 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%6.00%MayJuneJulyAugustSeptemberOctober
2.20%
2.71%
Byan Factor Based 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.

ICSHIAUGSGBNDXTIPTLTMTUMHYGUSMVSIZEVLUEQUAL
ICSH1.000.10-0.010.190.150.140.050.130.060.060.040.06
IAU0.101.000.160.270.420.320.000.110.050.01-0.01-0.00
GSG-0.010.161.00-0.100.06-0.180.230.310.190.280.330.26
BNDX0.190.27-0.101.000.590.70-0.000.170.06-0.00-0.070.00
TIP0.150.420.060.591.000.75-0.020.180.050.01-0.06-0.02
TLT0.140.32-0.180.700.751.00-0.160.03-0.08-0.16-0.24-0.17
MTUM0.050.000.23-0.00-0.02-0.161.000.600.770.730.690.85
HYG0.130.110.310.170.180.030.601.000.630.670.660.70
USMV0.060.050.190.060.05-0.080.770.631.000.780.740.86
SIZE0.060.010.28-0.000.01-0.160.730.670.781.000.860.85
VLUE0.04-0.010.33-0.07-0.06-0.240.690.660.740.861.000.82
QUAL0.06-0.000.260.00-0.02-0.170.850.700.860.850.821.00
The correlation results are calculated based on daily price changes starting from Dec 16, 2013