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Category: Risk Parity

(AQR) Can Risk Parity Outperform If Yields Rise?

Posted on 2016-07-262018-10-08 by ryan

Found an interesting paper from AQR about Risk Parity performance. Critics argue risk parity is destined to perform poorly in rising rate environment, and thus conclude that the strategy is currently unattractive since interest rates are still at low levels and will eventually rise. Interesting part is when highlight October 1979 (a couple of months…

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