Tag Archives: risk allocation

The S&P Risk Parity Indices: Methodology

In earlier posts, we analyzed the historical performance, risk contribution versus capital allocation, and return attribution and leverage of the S&P Risk Parity Indices. The results demonstrate that this indices in this series could potentially serve as benchmarks to measure the performance of active risk parity strategies. In this post, we will dig deeper into Read more […]

The S&P Risk Parity Indices: Return Contribution and Leverage

My earlier blog showed that equal risk allocation is different from equal capital allocation. The S&P Risk Parity Indices had roughly equal risk contribution from all three asset classes, while about 60% of the capital was allocated to fixed income. The historical performance of each asset class also showed that equal risk allocation did not Read more […]

The S&P Risk Parity Indices: Risk Contribution Versus Capital Allocation

In a prior blog, we showed that the S&P Risk Parity Indices tracked the average performance of active risk parity funds closer than a traditional 60/40 equity/bond portfolio. In this second part of the blog series, we will examine the risk contribution and capital allocation of these indices. The principles behind risk parity strategies relate Read more […]