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Risk Parity O

Last updated Dec 8, 2023

Asset Allocation


BOOK.L 25.06%BAH 15.33%MUSA 14.16%AT.L 11.92%CSU.TO 11.12%ARGX 9.94%CURE 5.92%TQQQ 3.3%TECL 3.25%EquityEquity
PositionCategory/SectorWeight
BOOK.L
Literacy Capital plc
Financials25.06%
BAH
Booz Allen Hamilton Holding Corporation
Industrials15.33%
MUSA
Murphy USA Inc.
Consumer Cyclical14.16%
AT.L
Ashtead Technology Holdings plc
Energy11.92%
CSU.TO
Constellation Software Inc.
Technology11.12%
ARGX
argenx SE
Healthcare9.94%
CURE
Direxion Daily Healthcare Bull 3x Shares
Leveraged Equities, Leveraged5.92%
TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged3.3%
TECL
Direxion Daily Technology Bull 3X Shares
Leveraged Equities, Leveraged3.25%

Performance

The chart shows the growth of an initial investment of $10,000 in Risk Parity O, 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


-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
18.08%
6.79%
Risk Parity O
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 23, 2021, corresponding to the inception date of AT.L

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Risk Parity O45.40%8.01%18.08%40.16%N/AN/A
BOOK.L
Literacy Capital plc
28.80%5.33%-5.11%27.08%N/AN/A
BAH
Booz Allen Hamilton Holding Corporation
21.97%2.16%21.98%19.98%22.95%25.37%
MUSA
Murphy USA Inc.
29.37%-2.88%25.76%22.09%37.97%23.23%
AT.L
Ashtead Technology Holdings plc
92.89%30.32%56.59%83.29%N/AN/A
CSU.TO
Constellation Software Inc.
58.25%13.48%21.53%60.20%33.13%35.46%
ARGX
argenx SE
20.84%-7.95%16.99%19.10%35.19%N/A
CURE
Direxion Daily Healthcare Bull 3x Shares
-18.40%7.22%-1.12%-23.06%11.50%18.89%
TQQQ
ProShares UltraPro QQQ
159.28%13.36%23.26%119.19%33.07%34.02%
TECL
Direxion Daily Technology Bull 3X Shares
170.53%16.77%27.75%135.89%44.36%40.07%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20235.21%5.83%7.00%-2.73%0.03%-0.35%10.79%

Sharpe Ratio

The current Risk Parity O Sharpe ratio is 3.02. A Sharpe ratio of 3.0 or higher is considered excellent.

-1.000.001.002.003.003.02

The Sharpe ratio of Risk Parity O is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
3.02
1.34
Risk Parity O
Benchmark (^GSPC)
Portfolio components

Dividend yield

Risk Parity O granted a 0.46% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Risk Parity O0.46%0.39%0.39%0.31%0.52%0.39%0.36%0.35%0.38%1.55%1.39%9.58%
BOOK.L
Literacy Capital plc
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BAH
Booz Allen Hamilton Holding Corporation
1.50%1.65%1.75%1.42%1.35%1.69%1.78%1.66%1.69%9.14%7.26%60.06%
MUSA
Murphy USA Inc.
0.43%0.45%0.52%0.19%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AT.L
Ashtead Technology Holdings plc
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CSU.TO
Constellation Software Inc.
0.16%0.25%0.29%0.30%2.53%0.60%0.68%0.86%1.09%1.29%1.84%3.31%
ARGX
argenx SE
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CURE
Direxion Daily Healthcare Bull 3x Shares
1.76%0.38%0.02%0.17%0.40%0.70%0.18%0.00%0.00%0.00%1.24%0.03%
TQQQ
ProShares UltraPro QQQ
1.16%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%0.00%
TECL
Direxion Daily Technology Bull 3X Shares
0.28%0.22%0.32%0.52%0.25%0.47%0.10%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The Risk Parity O features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


1.08%
0.00%2.15%
0.95%
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
BOOK.L
Literacy Capital plc
1.64
BAH
Booz Allen Hamilton Holding Corporation
0.81
MUSA
Murphy USA Inc.
1.13
AT.L
Ashtead Technology Holdings plc
2.20
CSU.TO
Constellation Software Inc.
2.96
ARGX
argenx SE
0.48
CURE
Direxion Daily Healthcare Bull 3x Shares
-0.61
TQQQ
ProShares UltraPro QQQ
2.10
TECL
Direxion Daily Technology Bull 3X Shares
2.25

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

AT.LMUSABOOK.LARGXBAHCSU.TOCURETECLTQQQ
AT.L1.000.050.270.040.070.200.140.200.21
MUSA0.051.000.100.140.270.220.370.240.23
BOOK.L0.270.101.000.110.100.280.250.250.27
ARGX0.040.140.111.000.240.310.430.370.40
BAH0.070.270.100.241.000.240.460.340.34
CSU.TO0.200.220.280.310.241.000.430.610.62
CURE0.140.370.250.430.460.431.000.580.59
TECL0.200.240.250.370.340.610.581.000.98
TQQQ0.210.230.270.400.340.620.590.981.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.75%
-4.40%
Risk Parity O
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Risk Parity O. 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 O was 14.31%, occurring on Sep 27, 2022. Recovery took 46 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-14.31%Aug 17, 202230Sep 27, 202246Nov 30, 202276
-10.01%Jan 4, 202246Mar 8, 202210Mar 22, 202256
-9.69%Apr 21, 202241Jun 16, 202227Jul 25, 202268
-7.09%Dec 2, 202269Mar 10, 202315Mar 31, 202384
-6.5%Oct 12, 202312Oct 27, 202312Nov 14, 202324

Volatility Chart

The current Risk Parity O volatility is 4.54%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
4.54%
2.78%
Risk Parity O
Benchmark (^GSPC)
Portfolio components
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