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WINNING

Risk Parity

All Weather risk parity: equal risk contribution across asset classes

3Y
Total Return
+44.7%
3Y
Sharpe Ratio
0.74
3Y
Max Drawdown
-7.9%
3Y
Win Rate
56.0%
3Y
Alpha
-52.3%
3Y
Comp. Score *
0.10
Risk Parameters
Max Allocation15.3%
Stop Loss7.9%
Take Profit6.6%
Max DD Tolerance7.9%
Rebalancemonthly
Execution Guidance
Order TypeLimit
Entry RuleBuy 0.5% below market in uptrend.
TimingSAFE TO BUY. *
ScalingEnter in 3 tranches over 1-2 weeks.
Positions — Vol-Adjusted Sizing
SymbolActionVol Stop LossTake ProfitSizeLinks
TIP BUY 4% 3.9% below entry 3.3% above entry 30.5% TVYH
IEF BUY 6% 3.9% below entry 3.3% above entry 30.5% TVYH
GLD BUY 23% 7.7% below entry 6.4% above entry 15.6% TVYH
EFA BUY 16% 5.4% below entry 4.5% above entry 22.3% TVYH
DBC BUY 18% 6.0% below entry 5.0% above entry 20.1% TVYH
TLT BUY 12% 4.0% below entry 3.3% above entry 30.0% TVYH
SPY BUY 16% 5.4% below entry 4.5% above entry 22.2% TVYH
VNQ BUY 15% 5.0% below entry 4.2% above entry 24.0% TVYH