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Risk Parity - All Weather

Equity-heavy all-weather with ~90% equity notional (66% US large-cap, 24% developed international), ~36% bonds (Treasuries, TIPS, long-duration zeros), and ~26% gold via return-stacked capital-efficient wrappers.

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TickerWeightBetaNotes
NTSD40%1.690/60 U.S. large-cap + developed international equity overlay — primary equity engine stacking two regional sleeves per dollar.
NTSX20%0.990/60 U.S. equity + mid-duration Treasuries — growth/recession balance with a built-in bond cushion.
GDT15%0.0590/90 TIPS + gold — explicit inflation protection covering both real rates and monetary inflation.
GDE15%1.0280/80 U.S. equity + gold overlay — inflation and real-asset hedge alongside equity growth.
ZROZ10%-0.3525+ year zero-coupon Treasuries — maximum-duration deflation ballast.

Weighted portfolio beta (approx.): 0.95

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Total return (vs SPY)

Range
+29.67%
Portfolio
+25.67%
SPY (benchmark)
+4.00%
Excess α vs SPY
-13.03%
Max drawdown
-8.88%
SPY max DD
1.50
Sharpe
Excess return above the 4.5% risk-free rate divided by annualised volatility. Above 1.0 is good; above 2.0 is excellent. SPY typically scores around 0.5–0.8.
2.16
Sortino
Excess return above the 4.5% risk-free rate divided by annualised downside deviation (penalises losses only). Above 1.5 is good; above 3.0 is excellent.
PortfolioSPY
Portfolio score: B

Alpha score: B+

Max DD score: D

Beta score: B+

Beta: 0.95

Net leverage:

Total: 151.0%

Gross longs: 90.0%

Gross shorts: 0.0%

Gross alpha & alts: 61.0%

Portfolio weights:

NTSD: 40%

NTSX: 20%

GDT: 15%

GDE: 15%

ZROZ: 10%

Educational model only — not investment advice. Portfolio betas in the holdings table are weighted to the listed names and weights.

GDT: total-return path multiplies daily returns of TIP × GLD. Pre-inception path deducts ~4%/yr wholesale financing on 0.80× incremental notional (gross ~180% vs 100% cash).

GDE: methodology lists SPY × GLDas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

NTSD: before March 19, 2026, NTSD is shown as a simulated daily blend (90% SPY + 60% EFA returns, minus ~0.6% annual drag).

NTSX's inception date of 2018-08-02 is limiting the backtest.