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Risk Parity O
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart

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 Every 3 months.


0.00%20.00%40.00%60.00%80.00%100.00%120.00%December2025FebruaryMarchAprilMay
87.13%
20.75%
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 By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.70%13.67%-5.18%9.18%14.14%10.43%
Risk Parity O-6.30%7.94%-12.53%-5.73%N/AN/A
BOOK.L
Literacy Capital plc
-6.26%3.52%-8.67%-17.66%N/AN/A
BAH
Booz Allen Hamilton Holding Corporation
-3.49%15.88%-29.11%-16.94%13.03%18.20%
MUSA
Murphy USA Inc.
-11.40%-4.57%-12.54%9.39%31.98%22.47%
AT.L
Ashtead Technology Holdings plc
-17.80%-6.16%-17.24%-44.77%N/AN/A
CSU.TO
Constellation Software Inc.
20.42%23.87%17.33%33.80%29.19%27.73%
ARGX
argenx SE
-7.46%3.68%-3.77%47.41%30.84%N/A
CURE
Direxion Daily Healthcare Bull 3x Shares
-13.86%-0.41%-33.16%-27.11%8.84%8.38%
TQQQ
ProShares UltraPro QQQ
-25.08%51.95%-27.94%2.48%26.97%29.75%
TECL
Direxion Daily Technology Bull 3X Shares
-32.23%63.89%-38.06%-17.10%28.58%32.60%
*Annualized

Monthly Returns

The table below presents the monthly returns of Risk Parity O, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.18%-6.85%0.24%2.26%-3.02%-6.30%
20244.47%5.33%1.67%-0.99%4.65%3.54%4.53%2.58%-3.46%-3.63%3.56%-7.96%14.12%
20233.71%-3.78%5.56%7.37%5.21%5.82%7.00%-2.73%0.03%-0.35%11.01%1.97%47.89%
2022-3.62%-0.78%5.46%-0.17%1.33%0.99%8.37%-3.67%-7.77%9.83%6.16%-3.92%11.12%
2021-2.58%9.30%6.48%

Expense Ratio

Risk Parity O has an expense ratio of 0.13%, 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.


Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Risk Parity O is 2, meaning it’s performing worse than 98% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Risk Parity O is 22
Overall Rank
The Sharpe Ratio Rank of Risk Parity O is 22
Sharpe Ratio Rank
The Sortino Ratio Rank of Risk Parity O is 11
Sortino Ratio Rank
The Omega Ratio Rank of Risk Parity O is 11
Omega Ratio Rank
The Calmar Ratio Rank of Risk Parity O is 11
Calmar Ratio Rank
The Martin Ratio Rank of Risk Parity O is 22
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BOOK.L
Literacy Capital plc
-0.89-1.370.82-0.67-1.23
BAH
Booz Allen Hamilton Holding Corporation
-0.49-0.540.92-0.40-0.75
MUSA
Murphy USA Inc.
0.330.261.030.070.16
AT.L
Ashtead Technology Holdings plc
-0.95-1.530.82-0.93-1.38
CSU.TO
Constellation Software Inc.
1.211.981.262.517.41
ARGX
argenx SE
1.342.131.291.469.16
CURE
Direxion Daily Healthcare Bull 3x Shares
-0.60-0.860.89-0.72-1.52
TQQQ
ProShares UltraPro QQQ
0.030.421.06-0.09-0.23
TECL
Direxion Daily Technology Bull 3X Shares
-0.190.151.02-0.38-0.89

The current Risk Parity O Sharpe ratio is -0.32. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 0.44 to 0.96, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Risk Parity O with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00December2025FebruaryMarchAprilMay
-0.32
0.48
Risk Parity O
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Risk Parity O provided a 0.52% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio0.52%0.45%0.49%0.39%0.38%0.31%0.52%0.39%0.36%0.35%0.36%1.55%
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
1.68%1.59%1.47%1.65%1.75%1.42%1.35%1.69%1.78%1.66%1.69%9.16%
MUSA
Murphy USA Inc.
0.42%0.36%0.43%0.45%0.52%0.19%0.00%0.00%0.00%0.00%0.00%0.00%
AT.L
Ashtead Technology Holdings plc
0.28%0.20%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CSU.TO
Constellation Software Inc.
0.11%0.12%0.16%0.25%0.21%0.32%2.54%0.60%0.68%0.86%0.90%1.29%
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
1.35%1.17%2.02%0.38%0.02%0.17%0.40%0.70%0.18%0.00%0.00%0.00%
TQQQ
ProShares UltraPro QQQ
1.67%1.27%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%
TECL
Direxion Daily Technology Bull 3X Shares
0.58%0.29%0.28%0.22%0.32%0.52%0.25%0.47%0.10%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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-16.91%
-7.82%
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 23.06%, occurring on Apr 7, 2025. The portfolio has not yet recovered.

The current Risk Parity O drawdown is 16.91%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.06%Sep 2, 2024154Apr 7, 2025
-14.31%Aug 17, 202230Sep 27, 202246Nov 30, 202276
-10.01%Jan 4, 202246Mar 8, 202210Mar 22, 202256
-9.68%Apr 21, 202241Jun 16, 202227Jul 25, 202268
-7.32%Dec 2, 202269Mar 10, 202315Mar 31, 202384

Volatility

Volatility Chart

The current Risk Parity O volatility is 6.64%, 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
6.64%
11.21%
Risk Parity O
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 9 assets, with an effective number of assets of 6.74, 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

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

^GSPCAT.LBOOK.LMUSAARGXBAHCSU.TOCURETECLTQQQPortfolio
^GSPC1.000.210.240.290.350.400.630.650.930.950.77
AT.L0.211.000.250.020.060.080.140.130.180.190.45
BOOK.L0.240.251.000.110.090.090.250.220.190.210.47
MUSA0.290.020.111.000.150.240.180.330.210.210.45
ARGX0.350.060.090.151.000.190.270.400.310.340.50
BAH0.400.080.090.240.191.000.250.400.310.320.54
CSU.TO0.630.140.250.180.270.251.000.420.580.590.61
CURE0.650.130.220.330.400.400.421.000.480.500.66
TECL0.930.180.190.210.310.310.580.481.000.970.68
TQQQ0.950.190.210.210.340.320.590.500.971.000.70
Portfolio0.770.450.470.450.500.540.610.660.680.701.00
The correlation results are calculated based on daily price changes starting from Nov 24, 2021