Browsing: risk parity

Posts Tagged ‘ risk parity ’

A Brief History of Asset Allocation

Oct 16th, 2018 | Filed under: CAPM / Alpha Theory, Algorithmic and high-frequency trading, Hedge Fund Strategies, Financial Economics Theory, Newly Added, Risk management, Crowdfunding, Risk Metrics and Measurement, Business News, The A.I. Industry, Risk Management Strategies & Processes, Hedge Funds, Emerging Alternative Investments, Finance & Economics, Other Topics in A.I.

Glassbridge has put out an ambitious white paper about the “evolution of asset allocation across the investment management industry,” one that begins with the basics of the Capital Asset Pricing Model and ends with quantitative analysis and crowdsourcing. The premise is that new strategies, and new ranges of data, areRead More


Risk Parity: Is it a Strategy for a Sprint or a Marathon?

Aug 20th, 2017 | Filed under: Newly Added, Risk Management Strategies & Processes

Excerpted from the Alternative Investment Analyst Review, Volume 1, Issue 4 The Alternative Investment Analyst Review is the official publication of the CAIA Association. Access to the most current issue is an exclusive benefit of CAIA membership, while archived issues are available to the public in the Perspectives section atRead More


Factor-Based Asset Allocation

Jun 19th, 2016 | Filed under: Alpha & Beta, Investing in Commodities, Newly Added, Asset allocation, Asset Allocation Models, Smart Beta, Commodities, Allocating to A.I., Other Topics in A.I.

A paper by Xiaowei Kang and Daniel Ung, published in June 2014, remains timely because risk parity and related approaches remain the center of controversy and some confusion. The Kang & Ung paper looked at three approaches to risk factor based portfolio construction, studying specifically the practical aspects of theRead More


For Practitioners of Risk Parity: Don’t Panic

Dec 6th, 2015 | Filed under: Hedge Fund Operations and Risk Management, Newly Added, Risk management, Risk Management Strategies & Processes, Allocating to A.I.

A new paper by Cliff Asness puts the recent relative weakness of Risk Parity Portfolio performance into a broader context. The cumulative excess return from what he calls "simple risk parity" continues to rise steadily though undramatically. Read More


For Practitioners of Risk Parity: Don’t Panic

Oct 6th, 2015 | Filed under: Newly Added, Risk management, Asset allocation, Benchmarking & Performance Attribution, Asset Allocation Models, Risk Management Strategies & Processes, Allocating to A.I.

A new paper by Cliff Asness puts the recent relative weakness of Risk Parity Portfolio performance into a broader context. The cumulative excess return from what he calls "simple risk parity" continues to rise steadily though undramatically. Read More


Risk Parity: Riding an Unpleasant Arc

Sep 27th, 2015 | Filed under: Asset Allocation Models

Risk parity may just be one of many strategies that follow a familiar arc, from promising new idea to crowded trade to crowded unwind. If this is so: where in that arc is it now? Read More