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Prices to Nov 3, 2026 · paper tracking starts Nov 4, 2026.

Strategy Lab · Balanced & income

Risk parity (all-weather)

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Based on Qian, 2011
Balanced & incomeRisk onHypotheticalNext rebalance Dec 1, 2026
Put to the committee
IQ

At the Nov 3, 2026 close Risk parity (all-weather) is risk on and holds IEF 38%, SPY 21%, TLT 20% and 2 more. Hypothetical back-test since 2010: +5.2% a year against AOR’s +7.6%, deepest fall −17.9%.

IQ · Nov 3, 2026
Scorecard window, Jan 15, 2010 to Nov 3, 2026
Paper recordNot startedStarts Nov 4, 2026
Back-test, a year+5.2%vs AOR +7.6%
Max drawdown−17.9%vs AOR −22.2%
Sharpe0.57vs AOR 0.62
Turnover43%a year
Funds5held now

Growth of $10,000

Jan 2010 to Nov 3, 2026 · after costs
Nov 3, 2026Back-testStrategy$23,456+134.6%AOR$34,281+242.8%
StrategyAORBack-testPaper record

Drawdown

Fall from the last high
Strategy worst −17.9%AOR worst −22.2%

Rolling 12-month return

+4.5%+8.2%

Rolling 12-month Sharpe

0.550.82

Holdings now

Nov 3, 2026 close
IEFiShares 7-10 Year Treasury Bond ETF37.5%SPYSPDR S&P 500 ETF Trust21.0%TLTiShares 20+ Year Treasury Bond ETF20.1%DBCInvesco DB Commodity Index Tracking Fund12.6%GLDSPDR Gold Shares8.8%

Signals

Hold five asset classes in proportion to the inverse of their recent swings, so each adds similar risk.
5 in · 0 out
Nearest to flipping
FundVolatilityRankDistance to flipState
SPY+9.9%always heldIn
TLT+10.8%always heldIn
IEF+5.8%always heldIn
GLD+23.4%always heldIn
DBC+18.4%always heldIn
FundVolatilityRankDistance to flipState
SPY+9.9%always heldIn
TLT+10.8%always heldIn
IEF+5.8%always heldIn
GLD+23.4%always heldIn
DBC+18.4%always heldIn
Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

DateActionFundPriceWeightReasonRecord
May 31, 2006InTLTat close23.8%Rule added it. Next close, after costs.Back-test
May 31, 2006InSPYat close18.0%Rule added it. Next close, after costs.Back-test
May 31, 2006InIEFat close42.0%Rule added it. Next close, after costs.Back-test
May 31, 2006InGLDat close7.0%Rule added it. Next close, after costs.Back-test
May 31, 2006InDBCat close9.2%Rule added it. Next close, after costs.Back-test
No paper trades yet: the first night is Nov 4, 2026. Back-test changes below, after costs.

Monthly returns

% · Last 12 months, the latest to Nov 3
Dec
2025		Jan
2026		Feb
2026		Mar
2026		Apr
2026		May
2026		Jun
2026		Jul
2026		Aug
2026		Sep
2026		Oct
2026		Nov
2026
−0.62.22.7−1.92.10.4−1.7−0.62.1−3.02.1−0.5
JanFebMarAprMayJunJulAugSepOctNovDecYearAOR
2026*2.22.7−1.92.10.4−1.7−0.62.1−3.02.1−0.53.86.5
20252.22.00.9−0.6−0.32.50.11.73.31.71.1−0.614.615.7
20240.00.13.5−1.72.11.31.91.22.0−1.50.9−2.37.611.4
20234.6−4.04.10.6−2.21.11.8−1.4−3.8−0.34.32.87.415.8
2022−1.61.3−0.2−4.3−0.3−2.81.6−3.5−5.80.05.2−1.5−11.8−15.7
2021−1.1−0.9−1.43.01.90.72.30.1−2.02.4−0.31.86.611.2
20201.6−0.9−1.62.42.11.53.8−0.1−1.0−1.92.11.59.611.2
20192.2−0.11.9−0.10.43.50.14.0−0.91.0−0.41.313.619.8
20180.8−2.11.0−0.51.2−0.7−0.70.8−0.7−2.10.12.0−1.2−6.3
20171.31.9−0.50.70.6−0.41.31.8−0.90.80.81.39.015.8
20161.82.81.21.6−0.34.10.4−0.90.5−2.1−3.40.56.36.7
20153.4−1.2−0.90.4−0.6−1.6−1.5−0.6−0.61.1−2.3−1.3−5.6−1.9
20141.22.9−0.31.00.81.4−1.61.9−3.10.2−0.1−0.24.07.6
20130.1−0.70.9−0.4−3.0−3.21.6−0.20.01.5−0.9−0.8−5.016.5
20123.20.2−1.11.2−1.60.92.21.50.5−1.50.8−1.15.110.4
2011−0.52.60.63.70.3−1.73.54.7−2.62.80.6−0.613.81.1
2010−0.21.40.12.70.01.71.03.02.71.4−0.21.315.78.8
2009−5.2−2.03.6−1.93.0−1.22.10.62.60.84.9−3.73.0n/a
20082.62.5−0.3−0.40.01.5−1.1−0.3−1.6−7.06.36.78.3n/a
2007−0.22.1−0.41.2−0.9−0.81.51.33.73.41.71.415.2n/a
20060.01.81.50.70.92.8−1.06.8n/a

Scorecard

vs AOR · back-test Jan 15, 2010 to Nov 3, 2026 · after costs

+5.2% a year vs AOR +7.6%.Max drawdown −17.9% vs −22.2%.
Return
MeasureStrategyAOREdge
Total return+134%+244%AOR
Annualised+5.2%+7.6%AOR
Risk
MeasureStrategyAOREdge
Volatility6.6%10.1%Strategy
Max drawdown−17.9%−22.2%Strategy
Upside capture32.9%100.0%AOR
Downside capture33.9%100.0%Strategy
Beta0.351.00Lower
Risk-adjusted
MeasureStrategyAOREdge
Sharpe ratio0.570.62AOR (slight)
Sortino ratio0.830.89AOR (slight)
Calmar ratio0.290.34AOR
Alpha, a year+1.5%n/aNot significant
Costs and taxes
MeasureStrategyAOREdge
Turnover, a year43%n/a
Cost drag, a year−0.01%n/a
Tax drag estimaten/an/a

Ratios use the 13-week Treasury bill rate, 1.5% a year, from the Treasury’s daily rates. Tax is not measured. Method

The Skeptic's take

0 daysof paper record. The rest is a back-test.
t = 1.13Alpha of +1.5% a year is not significant, on back-test data.
43%turnover a year. Costs take 0.0 points.
MethodSource, rules, funds and limitsOpen ↓
SourceQian, E. (2011). Risk Parity and Diversification. Journal of Investing 20(1), 119-127. ↗
VersionRules v1 · sha ba68a516 · data to Nov 3, 2026How we test strategies
Exact rules
  1. Hold five asset classes in proportion to the inverse of their recent swings, so each adds similar risk.
  2. A rule reads the close of the last trading day of the month and trades at the next close.
  3. The universe is 5 funds; the benchmark is iShares Core 60/40 Balanced Allocation ETF (AOR).
  4. It is checked at each month end.
What we cannot measure
  • Qian's portfolios use risk contributions with correlations and may use leverage; this uses inverse volatility, unlevered.
  • Taxes.
Fund list · 5 funds
SPYTLTIEFGLDDBC
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ETFIQ Strategy Lab, Risk parity (all-weather), data as of Nov 3, 2026. https://etfiq.com/models/strategies/risk-parity/

Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo.

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