Does Risk Parity Maximize Risk-Adjusted Returns?

The risk and return properties of the indices in which it invests

APOLLON FRAGKISKOS, DIRECTOR OF RESEARCH, MARKOV PROCESSES INTERNATIONAL (MPI)

Earlier, we published a post investigating how risk parity funds performed immediately after the British voted to leave the European Union. We observed that the six risk parity funds with publicly available daily returns data had large drawdowns on 24 June 2016, immediately following the British vote. Four months later, we headed toward the US elections. The equity and credit markets demonstrated positive performance, and the rest of the asset classes that risk parity funds typically invest in...

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