WFRPX vs. ^GSPC
Compare and contrast key facts about Wealthfront Risk Parity Fund Class W (WFRPX) and S&P 500 (^GSPC).
WFRPX is managed by Wealthfront. It was launched on Jan 22, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WFRPX or ^GSPC.
Correlation
The correlation between WFRPX and ^GSPC is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
WFRPX vs. ^GSPC - Performance Comparison
Key characteristics
Returns By Period
WFRPX
N/A
N/A
N/A
N/A
N/A
N/A
^GSPC
-8.25%
-6.60%
-5.32%
3.55%
16.80%
10.02%
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Risk-Adjusted Performance
WFRPX vs. ^GSPC — Risk-Adjusted Performance Rank
WFRPX
^GSPC
WFRPX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Wealthfront Risk Parity Fund Class W (WFRPX) and S&P 500 (^GSPC). 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.
Drawdowns
WFRPX vs. ^GSPC - Drawdown Comparison
Volatility
WFRPX vs. ^GSPC - Volatility Comparison
The current volatility for Wealthfront Risk Parity Fund Class W (WFRPX) is 0.00%, while S&P 500 (^GSPC) has a volatility of 7.38%. This indicates that WFRPX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
User Portfolios with WFRPX or ^GSPC
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YTD
Recent discussions
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Scott Allen
How is Sharpe ratio calculated?
The highest sharpe ratio portfolioi in User portfolios holds only ultrashort treasuries and show a sharpe ratio of 7+. But my understanding is the Sharpe ratio is the return less the risk-free rate divided by the standard deviation of returns. But short-term treasuries ARE the risk free rate, so the Sharpe ratio should be zero since the risk free rate minus the risk free rate is zero. So are you simply ignoring the risk-free rate and dividing returns by the standard deviation???
Addendum:
Just input my portfolio and asked that your site optimize it for Sharpe ratio. I have ready cash in USFR, and ETF that holds US floating rate notes exclusively. The optimization recommended I put over 99% in USFR. However, the interest rate on floating rate notes is based on the three month treasury, so again, USFR has a Sharpe ratio of zero! Please correct this!
Bob Peticolas
Transactional Portfolio Use
I am trying to understand how to make the best use of transactional portfolios. At first I thought it is useful when tracking the performance of a self-managed fund. You add cash to it, transact in equities, adding each transaction to the portfolio. It then shows you its performance wrt. to a benchmark. The broker does this for you anyway, but the whole reason I started evaluating Portfolioslab is so that I can separate my single broker account into thematic baskets ("thematic funds") and track their performance individually.
The transactional portfolio in Portfolioslab does not seem to work that way. It does not consider the changes in cash position, ie. any profit/loss made on equity transactions. It does not seem to be suited for track the assets of a fund, so to speak. What good is transactional portfolio then?
EG