Risk Parity
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | Systematic Trend | 25% |
GLD SPDR Gold Trust | Precious Metals, Gold | 25% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 25% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 25% |
Performance
Performance Chart
Loading data...
The earliest data available for this chart is Jan 5, 2010, corresponding to the inception date of AQMIX
Returns By Period
As of May 17, 2025, the Risk Parity returned 6.91% Year-To-Date and 6.86% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.30% | 12.94% | 1.49% | 12.48% | 15.82% | 10.87% |
| Risk Parity | 6.91% | 1.54% | 8.46% | 12.86% | 8.99% | 6.86% |
| Portfolio components: | ||||||
AQMIX AQR Managed Futures Strategy Fund | 1.17% | -0.80% | 4.56% | -0.21% | 7.17% | 1.91% |
IEF iShares 7-10 Year Treasury Bond ETF | 2.93% | -0.71% | 2.62% | 4.39% | -2.97% | 0.91% |
GLD SPDR Gold Trust | 21.52% | -4.30% | 24.37% | 33.73% | 12.44% | 9.79% |
SPY SPDR S&P 500 ETF | 1.69% | 13.04% | 2.09% | 13.82% | 17.47% | 12.77% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.59% | 1.59% | 1.44% | 1.16% | -0.03% | 6.91% | |||||||
| 2024 | -0.09% | 2.87% | 4.15% | -0.43% | 1.55% | 0.78% | 1.03% | 1.11% | 2.83% | -0.78% | 1.54% | -0.68% | 14.68% |
| 2023 | 3.21% | -1.84% | 2.33% | 1.36% | 0.54% | 0.76% | 0.67% | -0.20% | -2.14% | 1.15% | 3.01% | 1.97% | 11.23% |
| 2022 | -0.65% | 1.40% | 2.49% | -1.98% | -0.59% | -1.44% | 1.48% | -1.58% | -2.87% | 1.15% | 3.07% | -0.74% | -0.45% |
| 2021 | -1.30% | -0.72% | 0.39% | 2.53% | 2.50% | -1.81% | 0.99% | 0.39% | -1.77% | 2.98% | -1.47% | 2.04% | 4.67% |
| 2020 | 1.53% | -1.42% | -0.65% | 4.96% | 1.89% | 0.65% | 4.61% | 1.09% | -2.46% | -0.61% | 0.53% | 3.43% | 14.10% |
| 2019 | 2.31% | 0.52% | 1.54% | 1.29% | -0.85% | 4.22% | 1.20% | 3.43% | -1.80% | 0.36% | -0.25% | 1.86% | 14.55% |
| 2018 | 2.65% | -3.15% | -0.50% | -0.59% | -0.08% | -0.52% | 0.06% | 1.50% | -0.37% | -1.91% | -0.05% | -0.06% | -3.09% |
| 2017 | 2.04% | 2.24% | -0.73% | 0.47% | 0.40% | -1.05% | 1.22% | 1.66% | -0.92% | 1.13% | 1.16% | 0.96% | 8.84% |
| 2016 | 1.47% | 3.79% | 0.29% | 1.12% | -1.88% | 4.46% | 1.57% | -1.72% | 0.17% | -2.43% | -3.29% | 0.02% | 3.32% |
| 2015 | 3.71% | -1.06% | 0.42% | -0.76% | 0.32% | -2.56% | -0.16% | -0.31% | 0.02% | 1.73% | -1.27% | -1.60% | -1.66% |
| 2014 | -0.04% | 2.54% | -1.20% | 0.39% | 0.36% | 2.25% | -1.40% | 2.13% | -1.27% | -0.05% | 2.82% | -0.15% | 6.44% |
Expense Ratio
Risk Parity has an expense ratio of 0.47%, placing it in the medium range. 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
With an overall rank of 91, Risk Parity is among the top 9% of portfolios on our website when it comes to balancing risk and reward. Below is 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 | |
|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | -0.02 | -0.05 | 0.99 | -0.07 | -0.17 |
IEF iShares 7-10 Year Treasury Bond ETF | 0.67 | 1.13 | 1.13 | 0.25 | 1.57 |
GLD SPDR Gold Trust | 1.90 | 2.66 | 1.34 | 4.30 | 11.04 |
SPY SPDR S&P 500 ETF | 0.69 | 1.17 | 1.18 | 0.80 | 3.08 |
Loading data...
Dividends
Dividend yield
Risk Parity provided a 2.18% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.18% | 2.16% | 3.18% | 4.09% | 2.24% | 1.98% | 1.74% | 1.07% | 0.90% | 0.96% | 2.62% | 3.26% |
| Portfolio components: | ||||||||||||
AQMIX AQR Managed Futures Strategy Fund | 3.78% | 3.83% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% | 9.10% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.73% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% | 2.05% |
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% |
SPY SPDR S&P 500 ETF | 1.21% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
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 data...
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 9.03%, occurring on Mar 19, 2020. Recovery took 24 trading sessions.
The current Risk Parity drawdown is 0.94%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -9.03% | Feb 24, 2020 | 19 | Mar 19, 2020 | 24 | Apr 23, 2020 | 43 |
| -8.03% | Jan 29, 2018 | 229 | Dec 24, 2018 | 113 | Jun 7, 2019 | 342 |
| -7.79% | Mar 28, 2022 | 140 | Oct 14, 2022 | 118 | Apr 5, 2023 | 258 |
| -7.74% | Jul 11, 2016 | 117 | Dec 22, 2016 | 234 | Nov 28, 2017 | 351 |
| -7.13% | Apr 12, 2013 | 54 | Jun 27, 2013 | 170 | Mar 3, 2014 | 224 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading data...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 4 assets, with an effective number of assets of 4.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | AQMIX | GLD | IEF | SPY | Portfolio | |
|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.05 | 0.04 | -0.26 | 1.00 | 0.56 |
| AQMIX | 0.05 | 1.00 | -0.00 | -0.11 | 0.05 | 0.35 |
| GLD | 0.04 | -0.00 | 1.00 | 0.29 | 0.04 | 0.69 |
| IEF | -0.26 | -0.11 | 0.29 | 1.00 | -0.26 | 0.21 |
| SPY | 1.00 | 0.05 | 0.04 | -0.26 | 1.00 | 0.56 |
| Portfolio | 0.56 | 0.35 | 0.69 | 0.21 | 0.56 | 1.00 |