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Working Paper

Risk Parity Is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

August 21, 2019 - Benjamin Hood John J. Huss Roni Israelov Matthew Klein

Are risk parity strategies hiding an implicit short volatility? To find out, we simulated stylized versions of three asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we compared the trading behavior and returns of each.

Journal Article

Asset Allocation in a Low Yield Environment

August 21, 2017 - John J. Huss Thomas Maloney Zachary T. Mees Michael A. Mendelson

In 2016, bond yields dropped to unprecedented low levels in major developed markets. Even in a low rate environment, we think it’s important to diversify across many return sources.

Working Paper

Risk Everywhere: Modeling and Managing Volatility

January 26, 2016 - Tim Bollerslev Benjamin Hood John J. Huss Lasse H. Pedersen

This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.