The risk in risk parity

Angela Ashton | PortfolioConstruction Forum | 13 June 2013

"The Risk in Risk Parity - a Factor-Based Analysis of Asset-Based Risk Parity" by Vineer Bhansali, Josh Davis, Graham Rennison, Jason Hsu, and Feifei Li, Journal of Investing, Vol 21, Number 3, 2012

This research paper on risk parity takes a different tack to the Asness et al paper reviewed last week. Written by senior people from PIMCO and Research Affiliates - amongst them Jason Hsu, a past winner of the CFA Institute's Graham and Dodd Scroll - it considers a d...