Risk Parity O
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BOOK.L Literacy Capital plc | Financials | 25.06% |
BAH Booz Allen Hamilton Holding Corporation | Industrials | 15.33% |
MUSA Murphy USA Inc. | Consumer Cyclical | 14.16% |
AT.L Ashtead Technology Holdings plc | Energy | 11.92% |
CSU.TO Constellation Software Inc. | Technology | 11.12% |
ARGX argenx SE | Healthcare | 9.94% |
CURE Direxion Daily Healthcare Bull 3x Shares | Leveraged Equities, Leveraged | 5.92% |
TQQQ ProShares UltraPro QQQ | Leveraged Equities, Leveraged | 3.3% |
TECL Direxion Daily Technology Bull 3X Shares | Leveraged Equities, Leveraged | 3.25% |
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
The earliest data available for this chart is Nov 23, 2021, corresponding to the inception date of AT.L
Returns
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| Risk Parity O | 45.40% | 8.01% | 18.08% | 40.16% | N/A | N/A |
| Portfolio components: | ||||||
BOOK.L Literacy Capital plc | 28.80% | 5.33% | -5.11% | 27.08% | N/A | N/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/A | N/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
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 5.21% | 5.83% | 7.00% | -2.73% | 0.03% | -0.35% | 10.79% |
Dividend yield
Risk Parity O granted a 0.46% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Risk Parity O | 0.46% | 0.39% | 0.39% | 0.31% | 0.52% | 0.39% | 0.36% | 0.35% | 0.38% | 1.55% | 1.39% | 9.58% |
| Portfolio components: | ||||||||||||
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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer 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
| AT.L | MUSA | BOOK.L | ARGX | BAH | CSU.TO | CURE | TECL | TQQQ | |
|---|---|---|---|---|---|---|---|---|---|
| AT.L | 1.00 | 0.05 | 0.27 | 0.04 | 0.07 | 0.20 | 0.14 | 0.20 | 0.21 |
| MUSA | 0.05 | 1.00 | 0.10 | 0.14 | 0.27 | 0.22 | 0.37 | 0.24 | 0.23 |
| BOOK.L | 0.27 | 0.10 | 1.00 | 0.11 | 0.10 | 0.28 | 0.25 | 0.25 | 0.27 |
| ARGX | 0.04 | 0.14 | 0.11 | 1.00 | 0.24 | 0.31 | 0.43 | 0.37 | 0.40 |
| BAH | 0.07 | 0.27 | 0.10 | 0.24 | 1.00 | 0.24 | 0.46 | 0.34 | 0.34 |
| CSU.TO | 0.20 | 0.22 | 0.28 | 0.31 | 0.24 | 1.00 | 0.43 | 0.61 | 0.62 |
| CURE | 0.14 | 0.37 | 0.25 | 0.43 | 0.46 | 0.43 | 1.00 | 0.58 | 0.59 |
| TECL | 0.20 | 0.24 | 0.25 | 0.37 | 0.34 | 0.61 | 0.58 | 1.00 | 0.98 |
| TQQQ | 0.21 | 0.23 | 0.27 | 0.40 | 0.34 | 0.62 | 0.59 | 0.98 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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, 2022 | 30 | Sep 27, 2022 | 46 | Nov 30, 2022 | 76 |
| -10.01% | Jan 4, 2022 | 46 | Mar 8, 2022 | 10 | Mar 22, 2022 | 56 |
| -9.69% | Apr 21, 2022 | 41 | Jun 16, 2022 | 27 | Jul 25, 2022 | 68 |
| -7.09% | Dec 2, 2022 | 69 | Mar 10, 2023 | 15 | Mar 31, 2023 | 84 |
| -6.5% | Oct 12, 2023 | 12 | Oct 27, 2023 | 12 | Nov 14, 2023 | 24 |
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.