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
The chart shows the growth of an initial investment of $10,000 in Risk Parity, 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.
The earliest data available for this chart is Jan 5, 2010, corresponding to the inception date of AQMIX
Returns By Period
As of Apr 25, 2025, the Risk Parity returned 2.04% Year-To-Date and 7.71% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -6.06% | -3.27% | -4.87% | 9.44% | 14.30% | 10.11% |
| Risk Parity | 2.25% | 0.14% | 2.71% | 13.99% | 10.80% | 7.73% |
| Portfolio components: | ||||||
AQMIX AQR Managed Futures Strategy Fund | 2.22% | -2.02% | 7.40% | -2.53% | 7.64% | 1.79% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.94% | 1.17% | 2.23% | 8.24% | -2.79% | 0.80% |
GLD SPDR Gold Trust | 25.85% | 9.52% | 20.29% | 41.13% | 13.41% | 10.13% |
SPY SPDR S&P 500 ETF | -5.76% | -3.16% | -4.30% | 10.76% | 15.96% | 11.99% |
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 | 2.88% | 0.34% | -1.10% | 0.16% | 2.25% | ||||||||
| 2024 | 0.54% | 3.75% | 3.93% | -1.76% | 2.94% | 1.86% | 1.23% | 1.66% | 2.62% | -0.52% | 3.15% | -1.48% | 19.21% |
| 2023 | 4.29% | -2.12% | 2.90% | 1.42% | 0.43% | 2.70% | 1.69% | -0.77% | -3.18% | 0.05% | 5.15% | 2.89% | 16.20% |
| 2022 | -2.86% | -0.34% | 2.55% | -4.80% | -0.35% | -4.08% | 3.98% | -2.49% | -5.07% | 3.37% | 3.84% | -2.41% | -8.93% |
| 2021 | -1.32% | 0.05% | 1.61% | 3.55% | 1.88% | -0.32% | 1.72% | 1.38% | -3.05% | 4.37% | -0.99% | 3.05% | 12.32% |
| 2020 | 1.24% | -3.20% | -3.95% | 6.56% | 2.55% | 1.02% | 5.05% | 2.60% | -2.74% | -1.28% | 3.41% | 3.47% | 15.05% |
| 2019 | 3.68% | 1.17% | 1.65% | 1.98% | -2.24% | 4.86% | 1.19% | 2.03% | -0.73% | 0.95% | 0.79% | 2.06% | 18.64% |
| 2018 | 3.21% | -3.20% | -1.02% | -0.34% | 0.61% | -0.22% | 1.04% | 1.95% | -0.14% | -3.38% | 0.55% | -2.56% | -3.66% |
| 2017 | 1.84% | 2.49% | -0.54% | 0.60% | 0.63% | -0.65% | 1.36% | 1.33% | -0.27% | 1.35% | 1.55% | 0.98% | 11.15% |
| 2016 | 0.36% | 2.78% | 1.20% | 0.85% | -1.20% | 3.69% | 1.80% | -1.41% | 0.15% | -2.28% | -2.16% | 0.38% | 4.06% |
| 2015 | 2.62% | -0.04% | 0.23% | -0.58% | 0.42% | -2.53% | 0.44% | -1.26% | -0.27% | 2.36% | -0.77% | -1.25% | -0.74% |
| 2014 | -0.45% | 2.68% | -0.93% | 0.45% | 0.64% | 2.18% | -1.38% | 2.37% | -1.34% | 0.39% | 2.78% | 0.84% | 8.40% |
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 86, Risk Parity is among the top 14% 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 | -0.19 | -0.18 | 0.98 | -0.16 | -0.32 |
IEF iShares 7-10 Year Treasury Bond ETF | 1.14 | 1.70 | 1.20 | 0.36 | 2.40 |
GLD SPDR Gold Trust | 2.49 | 3.30 | 1.43 | 5.14 | 14.01 |
SPY SPDR S&P 500 ETF | 0.51 | 0.86 | 1.13 | 0.55 | 2.26 |
Dividends
Dividend yield
Risk Parity provided a 2.17% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.17% | 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 | 3.74% | 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 | 3.64% | 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 | 1.30% | 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.
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 15.15%, occurring on Mar 20, 2020. Recovery took 56 trading sessions.
The current Risk Parity drawdown is 3.23%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -15.15% | Feb 21, 2020 | 21 | Mar 20, 2020 | 56 | Jun 10, 2020 | 77 |
| -13.43% | Mar 30, 2022 | 138 | Oct 14, 2022 | 184 | Jul 12, 2023 | 322 |
| -10.39% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
| -10.33% | Jan 29, 2018 | 229 | Dec 24, 2018 | 84 | Apr 26, 2019 | 313 |
| -7.37% | Apr 12, 2013 | 54 | Jun 27, 2013 | 168 | Feb 27, 2014 | 222 |
Volatility
Volatility Chart
The current Risk Parity volatility is 8.48%, 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.
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 | 0.05 | -0.26 | 1.00 | 0.77 |
| AQMIX | 0.05 | 1.00 | -0.01 | -0.11 | 0.05 | 0.23 |
| GLD | 0.05 | -0.01 | 1.00 | 0.29 | 0.05 | 0.50 |
| IEF | -0.26 | -0.11 | 0.29 | 1.00 | -0.26 | 0.09 |
| SPY | 1.00 | 0.05 | 0.05 | -0.26 | 1.00 | 0.77 |
| Portfolio | 0.77 | 0.23 | 0.50 | 0.09 | 0.77 | 1.00 |