Risk Parity Rebuttal

/Risk Parity Rebuttal

Risk Parity Rebuttal

By | 2017-08-18T16:57:49+00:00 July 24th, 2013|Research Insights|1 Comment

Risk Parity in a Rising Rates Regime

  • Rob Croce, Rusty Guinn, and Lee Partridge
  • A version of the paper can be found here.
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We’ve had some recent commentary on the costs/benefits of risk parity based strategies:

Most of the comments have been focused on risk parity’s dependence on long bonds.

A natural question to ask is “What happens to Risk Parity when Interest Rates Rise?”

Thankfully, Rob Croce and crew give us some analysis.

Data Sources:


Alpha Highlight:

Risk parity 1970 to 1981:

risk parity

The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

Seen any other analysis on risk parity?

My team at Empiritrage is putting together a very large risk parity report–stay tuned

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About the Author:

Wes Gray
After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.