Byan Factor Based Risk Parity
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Dec 13, 2013, corresponding to the inception date of ICSH
Returns By Period
As of May 11, 2025, the Byan Factor Based Risk Parity returned 4.27% Year-To-Date and 10.15% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
| Byan Factor Based Risk Parity | 4.27% | 8.24% | -0.63% | 12.95% | 12.01% | 10.15% |
| Portfolio components: | ||||||
QUAL iShares Edge MSCI USA Quality Factor ETF | -3.80% | 6.36% | -6.83% | 5.99% | 14.72% | 12.02% |
VLUE iShares Edge MSCI USA Value Factor ETF | 0.12% | 8.09% | -5.51% | 4.52% | 11.83% | 7.44% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 5.24% | 12.39% | 2.19% | 18.75% | 13.28% | 13.30% |
SIZE iShares MSCI USA Size Factor ETF | -1.44% | 9.56% | -5.29% | 6.58% | 13.96% | 10.02% |
USMV iShares Edge MSCI Min Vol USA ETF | 4.12% | 3.96% | -0.63% | 12.93% | 11.14% | 10.45% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 1.81% | 3.19% | 1.32% | 8.32% | 5.19% | 3.96% |
TIP iShares TIPS Bond ETF | 3.53% | 1.56% | 1.94% | 5.91% | 1.49% | 2.41% |
TLT iShares 20+ Year Treasury Bond ETF | 1.08% | 1.10% | -3.86% | 0.64% | -9.36% | -0.54% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -1.93% | 2.89% | 0.61% | -2.91% | 19.31% | -0.07% |
BNDX Vanguard Total International Bond ETF | 1.10% | 0.72% | 1.65% | 5.47% | 0.11% | 2.09% |
IAU iShares Gold Trust | 26.78% | 4.95% | 23.81% | 40.49% | 14.17% | 10.36% |
ICSH iShares Ultra Short-Term Bond ETF | 1.72% | 0.43% | 2.38% | 5.38% | 2.94% | 2.37% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 4.80% | 1.55% | -2.38% | -0.77% | 1.14% | 4.27% | |||||||
| 2024 | 0.75% | 3.17% | 5.06% | -5.58% | 3.70% | 1.75% | 3.73% | 2.86% | 2.67% | -1.79% | 5.39% | -6.06% | 15.88% |
| 2023 | 6.70% | -5.61% | 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% | 1.33% | 3.28% | 1.50% | -4.45% | 5.72% | -2.21% | 5.17% | 22.82% |
| 2020 | 1.11% | -7.05% | -15.69% | 11.02% | 6.02% | 1.67% | 7.46% | 3.85% | -2.84% | -2.40% | 11.42% | 4.63% | 16.98% |
| 2019 | 9.00% | 3.01% | 2.42% | 2.52% | -4.18% | 8.21% | 1.60% | 1.35% | 0.50% | 0.90% | 2.08% | 2.92% | 34.09% |
| 2018 | 3.71% | -3.89% | -0.24% | 0.08% | 1.39% | 0.33% | 1.81% | 2.88% | 0.29% | -6.46% | 0.66% | -6.68% | -6.58% |
| 2017 | 1.76% | 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% |
| 2015 | 1.14% | 3.00% | -1.60% | 0.30% | 0.58% | -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% |
Expense Ratio
Byan Factor Based Risk Parity has an expense ratio of 0.34%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Byan Factor Based Risk Parity is 71, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
QUAL iShares Edge MSCI USA Quality Factor ETF | 0.35 | 0.65 | 1.09 | 0.37 | 1.42 |
VLUE iShares Edge MSCI USA Value Factor ETF | 0.26 | 0.55 | 1.08 | 0.31 | 1.06 |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.77 | 1.19 | 1.17 | 0.92 | 3.18 |
SIZE iShares MSCI USA Size Factor ETF | 0.35 | 0.70 | 1.10 | 0.40 | 1.46 |
USMV iShares Edge MSCI Min Vol USA ETF | 1.04 | 1.52 | 1.23 | 1.50 | 5.71 |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 1.45 | 2.08 | 1.30 | 1.74 | 9.20 |
TIP iShares TIPS Bond ETF | 1.24 | 1.78 | 1.23 | 0.59 | 3.82 |
TLT iShares 20+ Year Treasury Bond ETF | 0.01 | 0.09 | 1.01 | -0.00 | -0.01 |
GSG iShares S&P GSCI Commodity-Indexed Trust | -0.20 | -0.12 | 0.99 | -0.07 | -0.52 |
BNDX Vanguard Total International Bond ETF | 1.40 | 1.97 | 1.24 | 0.57 | 6.11 |
IAU iShares Gold Trust | 2.41 | 3.33 | 1.43 | 5.34 | 14.29 |
ICSH iShares Ultra Short-Term Bond ETF | 11.73 | 27.29 | 6.12 | 65.44 | 356.73 |
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Dividends
Dividend yield
Byan Factor Based Risk Parity provided a 0.61% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.61% | 0.26% | 0.78% | 3.60% | 3.92% | 2.08% | 1.96% | 2.83% | 2.69% | 3.13% | 3.16% | 3.24% |
| Portfolio components: | ||||||||||||
QUAL iShares Edge MSCI USA Quality Factor ETF | 1.07% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% | 1.35% |
VLUE iShares Edge MSCI USA Value Factor ETF | 2.73% | 2.73% | 2.66% | 3.19% | 2.22% | 2.42% | 2.60% | 2.70% | 2.14% | 2.07% | 2.39% | 1.64% |
MTUM iShares Edge MSCI USA Momentum Factor ETF | 0.88% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% | 1.04% |
SIZE iShares MSCI USA Size Factor ETF | 1.52% | 1.53% | 1.42% | 1.59% | 1.19% | 1.43% | 1.35% | 2.43% | 1.58% | 1.88% | 1.95% | 1.78% |
USMV iShares Edge MSCI Min Vol USA ETF | 1.58% | 1.67% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% | 1.88% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.89% | 6.01% | 5.74% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% | 5.69% |
TIP iShares TIPS Bond ETF | 2.91% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% |
TLT iShares 20+ Year Treasury Bond ETF | 4.35% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% |
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 | 4.29% | 4.18% | 4.42% | 1.52% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% | 1.54% |
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 | 4.97% | 5.24% | 4.78% | 1.66% | 0.42% | 1.21% | 2.61% | 2.20% | 1.36% | 0.88% | 0.54% | 0.46% |
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.
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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 3.22%.
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 | 449 | Jul 12, 2024 | 638 |
| -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 |
| -14.55% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 12 assets, with an effective number of assets of 0.85, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | ICSH | IAU | BNDX | TIP | GSG | TLT | MTUM | HYG | USMV | SIZE | VLUE | QUAL | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.05 | -0.00 | -0.01 | -0.02 | 0.29 | -0.18 | 0.86 | 0.72 | 0.85 | 0.86 | 0.85 | 0.97 | 0.87 |
| ICSH | 0.05 | 1.00 | 0.10 | 0.20 | 0.16 | -0.01 | 0.15 | 0.05 | 0.13 | 0.07 | 0.06 | 0.04 | 0.06 | 0.06 |
| IAU | -0.00 | 0.10 | 1.00 | 0.26 | 0.41 | 0.17 | 0.30 | 0.01 | 0.11 | 0.05 | 0.01 | -0.01 | -0.00 | 0.26 |
| BNDX | -0.01 | 0.20 | 0.26 | 1.00 | 0.59 | -0.11 | 0.70 | 0.00 | 0.18 | 0.07 | 0.01 | -0.06 | 0.01 | 0.22 |
| TIP | -0.02 | 0.16 | 0.41 | 0.59 | 1.00 | 0.06 | 0.75 | -0.01 | 0.19 | 0.06 | 0.02 | -0.05 | -0.01 | 0.27 |
| GSG | 0.29 | -0.01 | 0.17 | -0.11 | 0.06 | 1.00 | -0.17 | 0.23 | 0.31 | 0.19 | 0.28 | 0.33 | 0.26 | 0.41 |
| TLT | -0.18 | 0.15 | 0.30 | 0.70 | 0.75 | -0.17 | 1.00 | -0.14 | 0.05 | -0.06 | -0.14 | -0.22 | -0.16 | 0.09 |
| MTUM | 0.86 | 0.05 | 0.01 | 0.00 | -0.01 | 0.23 | -0.14 | 1.00 | 0.61 | 0.76 | 0.73 | 0.69 | 0.85 | 0.79 |
| HYG | 0.72 | 0.13 | 0.11 | 0.18 | 0.19 | 0.31 | 0.05 | 0.61 | 1.00 | 0.63 | 0.68 | 0.66 | 0.70 | 0.78 |
| USMV | 0.85 | 0.07 | 0.05 | 0.07 | 0.06 | 0.19 | -0.06 | 0.76 | 0.63 | 1.00 | 0.79 | 0.74 | 0.86 | 0.84 |
| SIZE | 0.86 | 0.06 | 0.01 | 0.01 | 0.02 | 0.28 | -0.14 | 0.73 | 0.68 | 0.79 | 1.00 | 0.86 | 0.85 | 0.85 |
| VLUE | 0.85 | 0.04 | -0.01 | -0.06 | -0.05 | 0.33 | -0.22 | 0.69 | 0.66 | 0.74 | 0.86 | 1.00 | 0.82 | 0.81 |
| QUAL | 0.97 | 0.06 | -0.00 | 0.01 | -0.01 | 0.26 | -0.16 | 0.85 | 0.70 | 0.86 | 0.85 | 0.82 | 1.00 | 0.87 |
| Portfolio | 0.87 | 0.06 | 0.26 | 0.22 | 0.27 | 0.41 | 0.09 | 0.79 | 0.78 | 0.84 | 0.85 | 0.81 | 0.87 | 1.00 |