Defensive ETFs And Risk Parity ETF (RPAR)

Aug. 16, 2020 10:26 PM ETDFND, DRSK, FIXD, PHDG, RPAR, SWAN, TMSRX28 Comments
Charles Bolin profile picture
Charles Bolin
2.54K Followers

Summary

  • In this article, I highlight six ETFs with low drawdowns and year-to-date returns of 9-15%.
  • I use Portfolio Visualizer to select funds from a universe of funds to maximize the Sharpe Ratio and a second portfolio to weight the funds using Risk Parity.
  • The Tidal ETF Trust - RPAR Risk Parity ETF is profiled.
  • Lipper Categories with high positive fund flows in July are listed.

Each month, I extract about a thousand funds from the Mutual Fund Observer Screens and rate them based on Risk-Adjusted Return, Risk, Momentum, Valuation, and Quality. In this article I highlight six ETFs with low draw downs and year to date returns of 9% to 15%. I use Portfolio Visualizer to select funds from a universe of funds to Maximize the Sharpe Ratio and a second portfolio to weight the funds using Risk Parity. Tidal ETF Trust - Risk Parity ETF (RPAR) is profiled.

Six Defensive ETFs and one Alternative Multi-Strategy Mutual Fund

I chose a top performing fund from seven different Lipper Categories that had low draw down in 2020 and high returns. I excluded traditional bond funds because interest rates are so low. The data is from Mutual Fund Observer year to date. Ulcer Index measures the length and duration of draw down. Martin Ratio is the Risk Adjusted Return. MFO Risk refers to the safest funds (1, green shade) and the riskiest funds (5). MFO classifies RPAR with a MFO Risk of 3 which is higher than the others in the table.

Table #1: YTD Performance of Defensive Funds

Symbol Name Lipper Category YTD MAX DD Ulcer Index Martin Ratio MFO Risk MFO Rating Age yr ER% Yield% AUM$M
FIXD First Trust Oppor Fxd Inc Multi-Sector Income 8.6 -1.1 0.4 36.7 1 5 3.4 0.6 2.1 3,188
TMSRX T Rowe Price Multi-Strtgy Ttl Rtrn Alternative Multi-Strategy 7.0 -4.7 1.8 6.6 2 5 2.4 1.2 2.4 80
DFND Reality Shares DIVCON Div Dfndr Alternative Long/Short Equity 12.2 -3.4 1.4 14.8 2 5 4.5 1.4 0.3 27
SWAN Amplify BlackSwan Grwth&Treas Large-Cap Core 11.4 -2.6 1.1 18.4 2 5 1.7 0.5 0.8 510
DRSK Aptus Defined Risk Flexible Income 12.3 -2.7 1.0 21.0 2

This article was written by

Charles Bolin profile picture
2.54K Followers
I use Mutual Fund Observer MultiSearch as the primary tool to analyze and rank funds based on risk, momentum, quality, income, and consistency factors. I classify nearly 300 funds each month by investment buckets for risk and trends. I began contributing to the MFO monthly newsletter in 2019.I retired in June 2022.  I am an individual investor and retired engineer with an MBA.

Disclosure: I am/we are long DRSK, SWAN, TMSRX, DBA. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article.

Additional disclosure: I am an engineer with an MBA nearing retirement and not an economist nor an investment professional. The information provided is for educational purposes and should not be considered as advice. Investors should do their due diligence research and/or use an investment professional. In September 2019, I began contributing to the Mutual Fund Observer monthly newsletter.

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