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White Paper
Understanding Risk Parity
October 1, 2010
This paper describes a simple risk parity strategy and compares its performance to the typical 60/40 portfolio over nearly 40 years of historical data.
Journal Article
Leverage Aversion and Risk Parity
January 1, 2012
In recent years, a new approach to asset allocation called risk parity (RP) has been gaining in popularity among practitioners.
Perspective
Risk Parity: Why We Lever
September 24, 2014
The role of leverage in risk parity is often misunderstood. For risk parity investors, there may be benefits to using modest leverage—it helps them build a more diversified, more balanced, and potentially higher-return-for-the-risk-taken portfolio.
Risk Parity in Target-Date Funds
December 2, 2014
Target-date funds (TDF) have a few shortcomings, but we believe that implementing risk parity as a sleeve within a TDF can help—by potentially enhancing returns, mitigating risk and reducing portfolio drawdowns.
White Paper
Can Risk Parity Outperform If Yields Rise?
July 1, 2013
Risk parity investing is not, as some critics say, simply “leveraging bonds.” The evidence suggests that a risk parity portfolio may improve long-term risk-adjusted returns relative to traditional, equity-centric portfolios.
Perspective
Risk Parity Derangement Syndrome
February 7, 2018
Cliff Asness explains why risk parity and trend-following strategies are not to blame for the recent market volatility.
Perspective
Risk Parity: The Dog That Did Not Bite
September 21, 2015
Commentators are blaming risk parity as a driving force behind August's equity market volatility. We think this is short-term silliness, and explain why we believe risk parity isn't the cause.
Perspective
Risk Parity Is Even Better Than We Thought
June 1, 2015
It’s not all or nothing when it comes to risk parity. Investors typically think they should be all 60/40 or all risk parity, but we think there's merit in adding risk parity to an existing 60/40 portfolio.
Perspective
Risk Parity Derangement Syndrome
February 7, 2018
Cliff Asness explains why risk parity and trend-following strategies are not to blame for the recent market volatility.
Working Paper
Risk Parity Is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)
August 21, 2019
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.