Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in All Weather Risk Parity proxy 3, 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.
Loading graphics...
The earliest data available for this chart is Nov 7, 2014, corresponding to the inception date of PDBC
Returns By Period
As of Apr 4, 2026, the All Weather Risk Parity proxy 3 returned 4.45% Year-To-Date and 6.37% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.63% | -3.84% | -1.98% | 29.73% | 16.86% | 10.37% | 12.29% |
Portfolio All Weather Risk Parity proxy 3 | 0.25% | 0.34% | 4.45% | 6.00% | 16.67% | 9.37% | 5.97% | 6.37% |
| Portfolio components: | ||||||||
VTI Vanguard Total Stock Market ETF | 0.16% | -3.34% | -3.13% | -1.30% | 31.84% | 18.10% | 10.66% | 13.75% |
BND Vanguard Total Bond Market ETF | 0.22% | -0.69% | 0.31% | 0.97% | 3.65% | 3.53% | 0.30% | 1.70% |
BNDX Vanguard Total International Bond ETF | -0.10% | -1.05% | -0.08% | 0.10% | 2.08% | 3.79% | 0.18% | 1.74% |
IAU iShares Gold Trust | -1.94% | -7.94% | 8.34% | 20.10% | 53.58% | 32.68% | 21.72% | 14.14% |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 2.46% | 10.89% | 32.23% | 36.33% | 43.42% | 11.08% | 14.55% | 10.12% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 0.23% | 0.28% | 1.11% | 1.47% | 3.84% | 4.67% | 3.51% | 3.08% |
VWO Vanguard FTSE Emerging Markets ETF | -0.72% | -1.88% | 0.11% | 0.16% | 31.31% | 13.41% | 3.75% | 7.73% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 10, 2014, All Weather Risk Parity proxy 3's average daily return is +0.02%, while the average monthly return is +0.43%. At this rate, your investment would double in approximately 13.5 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +3.8%, while the worst month was Mar 2020 at -6.2%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, All Weather Risk Parity proxy 3 closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +2.9%, while the worst single day was Mar 12, 2020 at -4.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.70% | 1.66% | -0.28% | 0.33% | 4.45% | ||||||||
| 2025 | 1.53% | 0.75% | -0.06% | -0.40% | 1.09% | 2.17% | 0.68% | 1.26% | 2.01% | 1.10% | 0.52% | 0.05% | 11.20% |
| 2024 | 0.01% | 0.38% | 2.17% | -1.00% | 1.47% | 1.00% | 1.30% | 0.77% | 1.90% | -0.61% | 1.10% | -0.96% | 7.74% |
| 2023 | 3.35% | -2.66% | 2.43% | 0.30% | -1.38% | 1.51% | 2.26% | -0.88% | -1.80% | -0.74% | 3.51% | 2.29% | 8.24% |
| 2022 | -0.77% | 0.37% | 0.59% | -2.56% | 0.61% | -3.54% | 2.42% | -2.54% | -5.15% | 1.68% | 3.66% | -2.06% | -7.40% |
| 2021 | 0.22% | 1.06% | 0.17% | 2.43% | 1.30% | 0.86% | 0.95% | 0.22% | -0.84% | 1.90% | -1.34% | 1.59% | 8.80% |
Benchmark Metrics
All Weather Risk Parity proxy 3 has an annualized alpha of 2.15%, beta of 0.26, and R² of 0.59 versus S&P 500 Index. Calculated based on daily prices since November 10, 2014.
- This portfolio participated in 33.11% of S&P 500 Index downside but only 32.21% of its upside — more exposed to losses than it benefited from rallies.
- This portfolio generated an annualized alpha of 2.15% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.26 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.15%
- Beta
- 0.26
- R²
- 0.59
- Upside Capture
- 32.21%
- Downside Capture
- 33.11%
Expense Ratio
All Weather Risk Parity proxy 3 has an expense ratio of 0.12%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
All Weather Risk Parity proxy 3 ranks 91 for risk / return — in the top 91% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.25 | 0.88 | +1.37 |
Sortino ratioReturn per unit of downside risk | 3.15 | 1.37 | +1.78 |
Omega ratioGain probability vs. loss probability | 1.49 | 1.21 | +0.28 |
Calmar ratioReturn relative to maximum drawdown | 2.95 | 1.39 | +1.56 |
Martin ratioReturn relative to average drawdown | 16.15 | 6.43 | +9.72 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 52 | 0.94 | 1.47 | 1.22 | 1.53 | 7.16 |
BND Vanguard Total Bond Market ETF | 47 | 1.00 | 1.42 | 1.18 | 1.71 | 4.64 |
BNDX Vanguard Total International Bond ETF | 34 | 0.82 | 1.15 | 1.15 | 0.89 | 3.55 |
IAU iShares Gold Trust | 79 | 1.78 | 2.21 | 1.33 | 2.58 | 9.32 |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 78 | 1.73 | 2.33 | 1.31 | 3.01 | 7.40 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 93 | 2.18 | 3.31 | 1.47 | 4.13 | 13.26 |
VWO Vanguard FTSE Emerging Markets ETF | 61 | 1.22 | 1.74 | 1.25 | 1.78 | 6.68 |
Loading graphics...
Dividends
Dividend yield
All Weather Risk Parity proxy 3 provided a 3.14% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.14% | 3.27% | 3.10% | 3.08% | 4.42% | 9.08% | 1.28% | 2.29% | 2.29% | 2.17% | 2.34% | 1.37% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.16% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
BND Vanguard Total Bond Market ETF | 3.92% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
BNDX Vanguard Total International Bond ETF | 4.47% | 4.39% | 4.18% | 4.42% | 1.51% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% |
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% |
PDBC Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF | 2.90% | 3.84% | 4.42% | 4.21% | 13.05% | 50.83% | 0.01% | 1.40% | 1.00% | 3.83% | 6.51% | 0.00% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.62% | 3.81% | 2.70% | 2.86% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% |
VWO Vanguard FTSE Emerging Markets ETF | 2.70% | 2.79% | 3.20% | 3.52% | 4.11% | 2.63% | 1.91% | 3.23% | 2.88% | 2.30% | 2.52% | 3.26% |
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.
Loading graphics...
Worst Drawdowns
The table below displays the maximum drawdowns of the All Weather Risk Parity proxy 3. 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 All Weather Risk Parity proxy 3 was 13.56%, occurring on Mar 18, 2020. Recovery took 77 trading sessions.
The current All Weather Risk Parity proxy 3 drawdown is 0.55%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -13.56% | Feb 20, 2020 | 20 | Mar 18, 2020 | 77 | Jul 8, 2020 | 97 |
| -11.84% | Mar 7, 2022 | 142 | Sep 27, 2022 | 361 | Mar 6, 2024 | 503 |
| -10.22% | Nov 28, 2014 | 287 | Jan 20, 2016 | 120 | Jul 12, 2016 | 407 |
| -6.03% | Jan 29, 2018 | 229 | Dec 24, 2018 | 53 | Mar 13, 2019 | 282 |
| -4.99% | Feb 21, 2025 | 33 | Apr 8, 2025 | 29 | May 20, 2025 | 62 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading graphics...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 7 assets, with an effective number of assets of 6.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | BNDX | IAU | BND | PDBC | VTIP | VWO | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.02 | 0.02 | -0.01 | 0.26 | 0.07 | 0.68 | 0.99 | 0.70 |
| BNDX | 0.02 | 1.00 | 0.26 | 0.74 | -0.11 | 0.39 | 0.01 | 0.02 | 0.28 |
| IAU | 0.02 | 0.26 | 1.00 | 0.35 | 0.24 | 0.36 | 0.18 | 0.02 | 0.43 |
| BND | -0.01 | 0.74 | 0.35 | 1.00 | -0.10 | 0.55 | 0.01 | -0.00 | 0.30 |
| PDBC | 0.26 | -0.11 | 0.24 | -0.10 | 1.00 | 0.24 | 0.34 | 0.27 | 0.65 |
| VTIP | 0.07 | 0.39 | 0.36 | 0.55 | 0.24 | 1.00 | 0.11 | 0.08 | 0.44 |
| VWO | 0.68 | 0.01 | 0.18 | 0.01 | 0.34 | 0.11 | 1.00 | 0.69 | 0.72 |
| VTI | 0.99 | 0.02 | 0.02 | -0.00 | 0.27 | 0.08 | 0.69 | 1.00 | 0.71 |
| Portfolio | 0.70 | 0.28 | 0.43 | 0.30 | 0.65 | 0.44 | 0.72 | 0.71 | 1.00 |