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Abstract
In this article we introduce a new allocation strategy called Risk “Dis”-Parity. Much like Risk Parity, it considers the riskiness of both equities and bonds. However, unlike Risk Parity, this strategy explicitly considers the well-documented financial time series characteristics found in both equities and bonds. Using a rank-based methodology, our results suggest Risk “Dis”-Parity ranks higher than Risk Parity, a 60–40 Balanced portfolio, and an Equity Risk Budget approach, all of which are commonly found multi-asset allocation strategies. This result holds for both volatility-managed and non-volatility-managed strategies.
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UK: 0207 139 1600