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To browse Academia. Skip to main content. Log In Sign Up. Download Free PDF. Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios. Omid Shakernia. Denis Chaves. A short summary of this paper. However, the mean—variance Re optimization;3 rather it is a hybrid child of legacy portfolio practice and return tar- is CIO at Research optimization methodology is difficult to geting.

Using historical realized risk premia Affiliates, LLC in New- implement due to the challenges associated to guide our capital market return expecta- port Beach, CA, and pro- or fessor of finance at UCLA with estimating the expected returns and tions, assuming a 9. Empirical estimates based on historical to these alternative assets.

From little from other sources of risk, making this portfolio a Sharpe ratio perspective, the risk parity construction approach under-diversified in its risk exposure. This essentially allocates the same volatility A major benefit of risk parity weighting over mean— risk budget to each asset class; that is, under the risk parity variance optimization is that investors do not need to weighting scheme, each asset class contributes approxi- formulate expected return assumptions to form port- mately the same expected f luctuation in the dollar value folios.

The only input that needs to be supplied is asset ew of the portfolio. Theoretically, if all asset classes have class covariances, which usually can be estimated more roughly the same Sharpe ratios and same correlations, accurately than expected returns using historical data risk parity weighting could be interpreted as optimal Merton [].

Certainly, the covariance estimates under the Markowitz framework. In the two-asset case, all interpretation would tive , which are heavily focused on forecasting capital roughly lead to the same portfolio, which is one that is market returns, the risk parity portfolio heuristic may or simply weighted by the inverse of the portfolio volatility.

However, we do note that the com- tf assumptions between assets can play a critical role. A sim- mercial products generally can and do involve some if plified risk parity approach that has anchored the practice not significant manager discretion and that the exact of some of the biggest players in this space is weighting method for measuring risk contribution and allocating af by inverse asset class volatility. Investors can then target the desired port- appears to be a lot of art involved.

The strategy, of course, has its critics. Risk Parity Portfolio Heuristic for Stock and Bond, January —June of a risk premium for a number of the asset classes included for investment, the risk parity approach Au would result in very a suboptimal portfolio. Lovell [] and Foresti and Rush [] point out that leveraging introduces new risks into the investor portfolio, such as variability in financing costs and availability of financing; it also amplifies the impact Notes: The risk-free rate is the three-month Treasury bill from St.

In this article, we also consider two addi- U. The equal-weighted portfolio is ew use the average return from the past five years as a mean—variance optimal only if asset classes have the same forecast for future asset class returns.

We also use the expected returns and covariances. This strategy, empiri- monthly data from the past five years in conjunction cally, provides superior portfolio returns when applied to with a standard shrinkage technique to estimate the vi the U. Another popular approach for used to construct the minimum variance portfolio. We constructing equity portfolios without using expected Re also construct a model U.

Long Trea- mation but ignores expected returns information. All strategies are rebalanced annu- tf therefore focuses on extracting information that can be ally and are long-only portfolios. Again, the minimum variance return data from through June The con- Dr strategy has demonstrated success when applied to equity structions are such that there are no look-ahead and sur- portfolio construction. Note that prior to , the high-yield show that, for stocks, the stark assumption that all stock index does not exist; prior to , the emerging market returns are equal can actually result in a better portfolio equity index does not exist.

We simply omit those asset or than formulating an optimal portfolio based on noisy classes in the portfolio construction prior to their exis- stock return forecasts. We report the performance of the asset allocation th strategies in Exhibit 2. In this horse will use leverage to achieve a required rate of return. The universe of investible asset classes includes long-term U. Other Portfolio Heuristics with Nine Asset variance portfolio has a lower volatility.

Additionally, note that when On these portfolios are levered up to achieve the same 5. The BarCap Aggregate, U. Long Term Treasury, U. Corporate Investment Grade, and U. Global more diversified nine asset class risk parity port- vi Bonds Total Returns through are from Global Financial Data and since are folio 0. Commodities returns are the advantage noted in different studies. They report the highest Similar to previous findings based on U. This further substantiates one of the key messages in our article—that the observed risk parity performance af sample horse races, giving support to the claim that with noisy inputs, optimized portfolio strategies are not nec- characteristics relative to other asset allocation alterna- essarily optimal Michaud [].

The mean—variance tives can be highly dependent on the time period and Dr optimized portfolio based on five-year historical aver- the asset classes included. Using recent asset class performance leads the mean—variance optimizer to strategy had a full sample Sharpe ratio of 0. However, twice that at 0. The second optimization approach, market rally in the s. The Sharpe ratios for the minimum variance, also produces disappointing results.

This suggests that the full-sample of all, is only 0. Other Portfolio other extreme, we see that the minimum Heuristics with Nine Asset Classes , January —June variance portfolio puts the bulk of its risk allocation in less volatile bonds. Which asset classes ew and how many to include can be an art with the risk parity strategy as would be the case Note: See Exhibit 2 Notes.

The sensitivity to asset class inclusion can also bring to ques- vi the mean—variance optimal portfolios would not predict tion the validity of the documented superior future strategy performance with high accuracy. The very act of selecting asset We now turn our attention to one of the claims Re classes for the risk parity portfolio construction can add elements of data mining and look-ahead bias into the by risk parity proponents, which is that the strategy provides true diversification by allocating risk equally empirical research.

To evaluate whether that is indeed We illustrate the sensitivity to the asset class inclu- or the case, for each strategy we compute the percentage sion decision in Exhibit 5 and Exhibit 6. Does that put the EU and Euro at Risk? Thoughts on Initiating a Tax on Plan Members? How do you respond to such Allegations? What are the Drawbacks? Are we still too Over-Reliant on Equities? How has the Role of Fiduciary Responsibility Changed? How do you go about Educating a Board on Risk?

What Type of Allocation is Warranted? What Types of Strategies and Approaches are used to Hedge? Advantages and Disadvantages of Each Approach? Long Duration U. How Defensive are these Strategies? How do you Measure Success? Asset Returns vs. Outcomes Understanding Risk vs. How is the Certainty of an Outcome Improved? Extent to which a Risk Parity Portfolio is Managed? What Progress have we seen towards Adopting an Appropriate Benchmark?

Can it be More Effective? How Important is Liquidity Management? What are the Implications of Reduced Liquidity? If so, what were some Other Reasons for this Decision? What does that Imply for Investors? Currency Risk Factors? Should Currency Exposures be Hedged or Unhedged? What are your Expectations and Outlook for Corporate Debt? Taxable Municipals vs. How Big an Issue is Lack of Supply? With just 6. How does Diversity Impact your Organization? Any Gender Diversity Experiences you can Share?

ESG Fund Performance vs. What are the Top Challenges or Roadblocks for Investors? Most Promising Areas? Do Larger Firms have an Advantage in this Space? How should Impact Investors think about Reporting? When and How Will it Become Mainstream? What about a Stronger Dollar for a Prolonged Period?

Weak Commodity Prices? Instability in the Eurozone? Slowdown in China? Any Markets that are More Insulated? What are Realistic Return Expectations? How might that Differ based on Region? Thoughts on Trade Challenges? What can be done to Mitigate Currency Risks? Public vs. How do you Navigate the Various Options and Approaches that are available today?

If so, by How Much? How do you Measure Performance? Any Favorable Trends in Fees for Investors? Why do Smaller Hedge Funds Outperform? What is the Future of the Fund of Funds Space? How has it Changed in Recent Years? Where will Fees be? What will it take to Stay Competitive?

What are the Key Traits you should be looking for? Key Characteristics for Quantitative Strategies? What are the Benefits? Are they Better than Commingled Funds? Importance of Operations Due Diligence. Any recent Developments? How often should Operations be Reviewed? What is the Opportunity Set in Credit Strategies? Where is the Relative Value? Any Areas you are Avoiding? Outlook for Emerging Market Debt Public vs. What is the Optimal Structure to a Credit Portfolio?

How do we Benchmark Performance? What are your Expectations for Default Rates going forward? Do you Need an Economic Downturn? Where do you see the Largest Demand from Clients? What are they Most Interested In? Any Areas that should be Avoided? What Distressed Opportunities are we seeing the Energy Sector? What are the Opportunities and Risks in Europe?

Do you see Opportunities in Asia or Elsewhere Globally? What are the Recent Leverage Trends? How has it Impacted your Firm? Control vs. Private vs. Are these Reasons Valid or Not? Different Skills Required for Currency Hedging vs. Can it be More Beneficial to be Unhedged?

Hedging Costs — how should this factor into your Decision? Natural Diversifier for the Duration Risk in Bonds? How do you Manage Risk Factors? What are the Return Expectations? Any Lessons Learned from the Financial Crisis? What are you doing Differently when Approaching New Investments? How have you Achieved this Transparency Demand?

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