Risk Parity
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 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 every 3 months.
The earliest data available for this chart is Nov 1, 2010, corresponding to the inception date of VNQI
Returns By Period
As of Jan 19, 2025, the Risk Parity returned 11.75% Year-To-Date and 84.20% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.96% | 1.11% | 7.77% | 23.90% | 12.59% | 11.36% |
| Risk Parity | 9.19% | 4.93% | 50.94% | 145.52% | 63.66% | 83.30% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 2.20% | 1.32% | 8.83% | 25.31% | 13.66% | 12.77% |
VEA Vanguard FTSE Developed Markets ETF | 1.57% | 2.10% | -2.71% | 7.28% | 4.92% | 5.55% |
VWO Vanguard FTSE Emerging Markets ETF | -0.54% | -1.35% | 1.63% | 14.07% | 2.57% | 3.50% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 2.07% | 2.31% | -6.27% | -0.46% | 6.62% | 2.28% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 0.22% | 0.33% | 2.42% | 5.12% | 2.37% | 1.63% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -1.40% | -3.34% | -8.34% | -9.38% | -11.19% | -3.99% |
VNQ Vanguard Real Estate ETF | 0.64% | 1.33% | 1.75% | 9.14% | 2.65% | 4.27% |
VNQI Vanguard Global ex-U.S. Real Estate ETF | -0.63% | 0.23% | -3.00% | 2.25% | -4.61% | 0.54% |
GLD SPDR Gold Trust | 2.95% | 2.96% | 12.39% | 32.64% | 11.17% | 7.21% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 5.88% | 7.16% | 6.71% | 13.27% | 8.41% | 1.97% |
BTC-USD Bitcoin | 9.19% | 4.93% | 50.95% | 145.55% | 63.69% | 83.72% |
Monthly Returns
The table below presents the monthly returns of 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.75% | 43.71% | 16.56% | -14.99% | 11.30% | -7.13% | 3.10% | -8.74% | 7.39% | 10.87% | 37.36% | -3.13% | 121.03% |
| 2023 | 39.82% | 0.03% | 23.02% | 2.77% | -7.00% | 11.97% | -4.09% | -11.28% | 3.99% | 28.54% | 8.78% | 12.07% | 155.35% |
| 2022 | -16.89% | 12.24% | 5.43% | -17.18% | -15.70% | -37.76% | 17.95% | -14.08% | -3.08% | 5.47% | -16.22% | -3.62% | -64.26% |
| 2021 | 14.18% | 36.30% | 30.53% | -1.98% | -35.35% | -6.14% | 18.79% | 13.31% | -7.16% | 40.02% | -7.03% | -18.76% | 59.66% |
| 2020 | 29.95% | -8.03% | -25.11% | 34.45% | 9.26% | -3.41% | 23.90% | 3.16% | -7.67% | 27.76% | 42.39% | 47.75% | 302.86% |
| 2019 | -7.59% | 11.46% | 6.49% | 30.29% | 60.17% | 26.14% | -6.76% | -4.51% | -13.87% | 10.91% | -17.70% | -4.96% | 92.10% |
| 2018 | -27.78% | 1.73% | -32.91% | 32.48% | -18.89% | -14.53% | 21.47% | -9.54% | -5.85% | -4.65% | -36.37% | -6.83% | -73.53% |
| 2017 | 0.70% | 21.49% | -9.12% | 25.63% | 69.34% | 8.48% | 15.87% | 63.45% | -7.74% | 49.02% | 58.15% | 38.31% | 1,361.26% |
| 2016 | -14.21% | 18.45% | -4.68% | 7.49% | 18.32% | 26.48% | -7.14% | -7.81% | 5.89% | 14.80% | 6.32% | 29.04% | 122.47% |
| 2015 | -31.53% | 16.55% | -3.88% | -3.23% | -2.48% | 13.89% | 8.07% | -18.92% | 2.52% | 32.50% | 19.77% | 13.89% | 33.86% |
| 2014 | 9.99% | -33.61% | -16.65% | -2.01% | 38.92% | 2.58% | -8.31% | -18.31% | -18.84% | -12.38% | 11.59% | -15.09% | -57.11% |
Expense Ratio
Risk Parity has an expense ratio of 0.26%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Risk Parity is 58, 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 | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 1.77 | 2.36 | 1.34 | 0.81 | 10.67 |
VEA Vanguard FTSE Developed Markets ETF | -0.10 | -0.04 | 0.99 | 0.88 | -0.28 |
VWO Vanguard FTSE Emerging Markets ETF | 0.29 | 0.53 | 1.06 | 0.04 | 0.87 |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -1.26 | -1.57 | 0.79 | 0.03 | -1.28 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 16.77 | 215.01 | 104.15 | 69.31 | 4,209.32 |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -0.30 | -0.27 | 0.97 | -0.17 | -0.65 |
VNQ Vanguard Real Estate ETF | 1.08 | 1.51 | 1.20 | 0.17 | 4.06 |
VNQI Vanguard Global ex-U.S. Real Estate ETF | -0.19 | -0.17 | 0.98 | 0.12 | -0.37 |
GLD SPDR Gold Trust | 1.46 | 1.96 | 1.26 | 0.81 | 6.47 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.37 | 0.65 | 1.07 | 0.02 | 1.06 |
BTC-USD Bitcoin | 2.02 | 2.74 | 1.27 | 1.92 | 9.21 |
Dividends
Dividend yield
Risk Parity provided a 2.33% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.33% | 2.34% | 2.18% | 5.02% | 2.16% | 1.59% | 2.58% | 2.21% | 1.72% | 1.94% | 2.36% | 3.13% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.24% | 1.27% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% |
VEA Vanguard FTSE Developed Markets ETF | 3.30% | 3.36% | 3.16% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% |
VWO Vanguard FTSE Emerging Markets ETF | 3.22% | 3.20% | 3.52% | 4.11% | 2.63% | 1.91% | 3.24% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.44% | 1.47% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 5.02% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 4.64% | 4.58% | 3.52% | 2.76% | 1.60% | 1.68% | 2.22% | 2.91% | 2.53% | 3.00% | 2.98% | 2.00% |
VNQ Vanguard Real Estate ETF | 3.83% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
VNQI Vanguard Global ex-U.S. Real Estate ETF | 5.19% | 5.16% | 3.74% | 0.57% | 6.48% | 0.93% | 7.57% | 4.62% | 3.86% | 5.18% | 2.86% | 4.11% |
GLD SPDR 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% |
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% |
BTC-USD Bitcoin | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the 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 Risk Parity was 84.13%, occurring on Jan 14, 2015. Recovery took 721 trading sessions.
The current Risk Parity drawdown is 1.63%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -84.13% | Dec 5, 2013 | 406 | Jan 14, 2015 | 721 | Jan 4, 2017 | 1127 |
| -83.37% | Dec 17, 2017 | 364 | Dec 15, 2018 | 716 | Nov 30, 2020 | 1080 |
| -82.44% | Jun 10, 2011 | 163 | Nov 19, 2011 | 459 | Feb 20, 2013 | 622 |
| -76.63% | Nov 9, 2021 | 378 | Nov 21, 2022 | 469 | Mar 4, 2024 | 847 |
| -68.96% | Apr 11, 2013 | 86 | Jul 5, 2013 | 123 | Nov 5, 2013 | 209 |
Volatility
Volatility Chart
The current Risk Parity volatility is 13.04%, 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.
Diversification
Asset Correlations Table
| BIL | BTC-USD | ASFYX | ZROZ | GLD | GSG | VNQ | VWO | VNQI | VTI | VEA | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.00 | 0.01 | 0.02 | 0.01 | 0.00 | -0.01 | 0.03 | 0.02 | 0.02 | 0.00 |
| BTC-USD | 0.00 | 1.00 | 0.02 | -0.02 | 0.05 | 0.04 | 0.07 | 0.08 | 0.07 | 0.11 | 0.10 |
| ASFYX | 0.01 | 0.02 | 1.00 | 0.02 | 0.06 | 0.07 | 0.10 | 0.17 | 0.15 | 0.22 | 0.20 |
| ZROZ | 0.02 | -0.02 | 0.02 | 1.00 | 0.21 | -0.18 | -0.00 | -0.18 | -0.12 | -0.23 | -0.21 |
| GLD | 0.01 | 0.05 | 0.06 | 0.21 | 1.00 | 0.20 | 0.10 | 0.17 | 0.17 | 0.05 | 0.15 |
| GSG | 0.00 | 0.04 | 0.07 | -0.18 | 0.20 | 1.00 | 0.13 | 0.34 | 0.30 | 0.30 | 0.35 |
| VNQ | -0.01 | 0.07 | 0.10 | -0.00 | 0.10 | 0.13 | 1.00 | 0.42 | 0.54 | 0.59 | 0.51 |
| VWO | 0.03 | 0.08 | 0.17 | -0.18 | 0.17 | 0.34 | 0.42 | 1.00 | 0.74 | 0.66 | 0.76 |
| VNQI | 0.02 | 0.07 | 0.15 | -0.12 | 0.17 | 0.30 | 0.54 | 0.74 | 1.00 | 0.65 | 0.78 |
| VTI | 0.02 | 0.11 | 0.22 | -0.23 | 0.05 | 0.30 | 0.59 | 0.66 | 0.65 | 1.00 | 0.77 |
| VEA | 0.00 | 0.10 | 0.20 | -0.21 | 0.15 | 0.35 | 0.51 | 0.76 | 0.78 | 0.77 | 1.00 |