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Byan Factor Based Risk Parity

Last updated Sep 22, 2023

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 Market33%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds23%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
High Yield Bonds22%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds8%
IAU
iShares Gold Trust
Precious Metals, Gold13%
GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities9%
USMV
iShares Edge MSCI Min Vol USA ETF
Large Cap Growth Equities22%
VLUE
iShares Edge MSCI USA Value Factor ETF
Large Cap Value Equities17%
SIZE
iShares MSCI USA Size Factor ETF
All Cap Equities16%
QUAL
iShares Edge MSCI USA Quality Factor ETF
Large Cap Growth Equities13%
MTUM
iShares Edge MSCI USA Momentum Factor ETF
Large Cap Growth Equities13%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
2.36%
8.86%
Byan Factor Based Risk Parity
Benchmark (^GSPC)
Portfolio components

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 month6 monthsYear-To-Date1 year5 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%
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%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

ICSHIAUBNDXGSGTIPTLTHYGMTUMUSMVSIZEVLUEQUAL
ICSH1.000.080.15-0.010.110.100.090.040.060.050.030.05
IAU0.081.000.270.140.430.330.08-0.010.03-0.01-0.04-0.02
BNDX0.150.271.00-0.100.560.680.12-0.020.04-0.03-0.11-0.03
GSG-0.010.14-0.101.000.07-0.180.340.250.210.300.350.28
TIP0.110.430.560.071.000.730.13-0.030.03-0.02-0.10-0.05
TLT0.100.330.68-0.180.731.00-0.04-0.18-0.12-0.21-0.29-0.22
HYG0.090.080.120.340.13-0.041.000.610.640.670.670.71
MTUM0.04-0.01-0.020.25-0.03-0.180.611.000.790.730.700.84
USMV0.060.030.040.210.03-0.120.640.791.000.780.740.88
SIZE0.05-0.01-0.030.30-0.02-0.210.670.730.781.000.850.85
VLUE0.03-0.04-0.110.35-0.10-0.290.670.700.740.851.000.84
QUAL0.05-0.02-0.030.28-0.05-0.220.710.840.880.850.841.00

Sharpe Ratio

The current Byan Factor Based Risk Parity Sharpe ratio is 0.30. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.30

The Sharpe ratio of Byan Factor Based 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-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.30
0.70
Byan Factor Based Risk Parity
Benchmark (^GSPC)
Portfolio components

Dividend yield

Byan Factor Based Risk Parity granted a 0.78% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Byan Factor Based Risk Parity0.78%3.66%4.15%2.30%2.30%3.37%3.31%3.92%4.12%4.36%4.60%4.00%
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.


0.75%
0.00%2.15%
0.49%
0.00%2.15%
0.25%
0.00%2.15%
0.19%
0.00%2.15%
0.15%
0.00%2.15%
0.08%
0.00%2.15%
0.07%
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
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.


-20.00%-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-19.96%
-9.73%
Byan Factor Based Risk Parity
Benchmark (^GSPC)
Portfolio components

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, 202021Mar 20, 2020112Aug 28, 2020133
-30.07%Dec 28, 2021189Sep 27, 2022
-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 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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
3.72%
3.66%
Byan Factor Based Risk Parity
Benchmark (^GSPC)
Portfolio components