PT  - JOURNAL ARTICLE
AU  - Ryan Poirier
TI  - Risk “Dis”-Parity
AID  - 10.3905/jbis.2023.1.023
DP  - 2023 Jan 19
TA  - The Journal of Beta Investment Strategies
PG  - jbis.2023.1.023
4099  - https://pm-research.com/content/early/2023/01/18/jbis.2023.1.023.short
4100  - https://pm-research.com/content/early/2023/01/18/jbis.2023.1.023.full
AB  - 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.