RT Journal Article
SR Electronic
T1 Risk “Dis”-Parity
JF The Journal of Beta Investment Strategies
FD Institutional Investor Journals
SP jbis.2023.1.023
DO 10.3905/jbis.2023.1.023
A1 Ryan Poirier
YR 2023
UL https://pm-research.com/content/early/2023/01/18/jbis.2023.1.023.abstract
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.