Risk Parity Rebuttal
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.
Risk parity 1970 to 1981:
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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Definitions of common statistics used in our analysis are available here (towards the bottom)