Tag Archives: Brexit

Does Risk Parity Maximize Risk-adjusted Returns?

While it is well known that risk parity strategies typically allocate more weight or apply leverage to asset classes with lower risk, it is not well understood how higher volatility affects the Sharpe ratios exhibited by the assets that get over- or under- weighted.  We find that in practice the strategy increases an asset’s weight […]

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How Much Equity is in Your Target Date Fund (TDF)? Brexit Might Have the Answer.

Target Date Funds stumbled hard in 2008 when near-dated funds failed to provide the capital protection they were meant to for investors approaching retirement.  ‘Brexit’ may not be a Lehman Brothers-scale event, but it can certainly serve notice of some of the risks currently being assumed in near-dated Target Date Funds.  Below we illustrate how […]

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Risk Parity and Brexit: A Volatility Surprise!

Risk parity strategies hold the promise of smooth sailing through periods of market turbulence, offering consistent performance via risk diversification. And prior to Brexit, risk parity funds had done quite well to reverse most of last year’s losses, displaying similar performance patterns despite the difference in strategy implementation or exposure and dynamics as reported by […]

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World Bond Managers Ride FX Roller Coaster

In the world bond fund category[1], a dramatic change has happened: last year’s worst-performing funds are this year’s best-performing ones.  This is clear in the chart below, in which we see the performance rank of funds contrasted between 2015 and 2016. Funds below the line have decreased in rank, while funds above the line have […]

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