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Опубликовано в Investment westpac | Октябрь 2, 2012

matrix of asset returns r, which indicates the correlations between assets that a solver uses to minimize the portfolio variance, σp. MVO. Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P finance investment-portfolio risk-parity. Fast design of risk parity portfolios for financial investment. The goal of the risk parity portfolio formulation is to equalize or distribute.
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But how can we a risk parity portfolio? In other words, the marginal risk contributions for every asset in a risk parity portfolio are equal. Mean variance optimization is a commonly used quantitative tool part of Modern Portfolio Theory that allows investors to perform allocation by considering the trade-off between risk and return. Harry M. Markowitz shared The Nobel Prize in Economics for his work on portfolio theory. But how can we choose a portfolio from the efficient frontier?

We observe that the Tangency portfolio concentrates the weights between Amazon and Netflix with both companies having nearly the same weight while Facebook, Apple and Google are left out of the portfolio. As expected, we observe that the Parity portfolio has a risk budget equally distributed among the portfolio assets.

Would it beat a corresponding Tagency portfolio? To answer these questions, we will consider a portfolio of FAANG companies in the time period from and and build two indices:. We first define our rebalance dates by constructing a rolling window of month width and a 3-month step-size as follows:. Next, we calculate risk parity portfolio weights at each rebalance date considering returns in a month window as follows:. We leverage the fPortfolio package to calculate a rolling tangency portfolio as follows:.

We observe that the risk parity weights are quite stable over time with Netflix having a slightly underweighting compared to the other portfolio constituents. On the other hand, the tangency portfolio weights vary considerably throughout the time period considered, which can impose challenges in its maintenance as its turnover can be quite high.

The tangency portfolio overweights Apple and Amazon across many rebalance dates and it underweights Google in all rebalance dates. We will use the time series of FAANG companies and the time series of risk parity and tangency portfolio weights to calculate the returns of the risk parity and tangency portfolio indexes as follows:. Tables 3. Interestingly, in years where the tangency portfolio index had positive cumulative return, the risk parity index yielded less returns than the tangency portfolio index.

Conversely, in years where the tangency portfolio index had negative cumulative return, the risk parity index showed superior performance than the tangency portfolio index. Again, we observe that the risk parity index presents a superior performance compared to the tangency portfolio index. The risk parity index presents higher annualized return, lower standard deviation and superior Sharpe ratio in most of the period analyzed compared to the tangency portfolio index.

As presented in Tab. What mix of assets has the best chance of delivering good returns over time through all economic environments? That was the question posed by Bridgewater Associates before creating the All Weather funds with concepts today popularized in the so-called risk parity strategies. The traditional approach to asset allocation often tolerates higher concentration of risk with the objective to generate higher longer-term returns. Bridgewater argues that this approach has a serious flaw:.

If the source of short-term risk is a heavy concentration in a single type of asset, this approach brings with it a significant risk of poor long-term returns that threatens the ability to meet future obligations. This is because every asset is susceptible to poor performance that can last for a decade or more, caused by a sustained shift in the economic environment - Bridgewater.

In this Chapter, we introduced the concept of risk parity portfolios and compare it against a mean-variance model. Read more. Star Updated May 25, JavaScript. Design of Risk Parity Portfolios. Updated Feb 10, R. Updated Mar 18, Python. Star 6. Updated May 1, Jupyter Notebook. Star 8. Updated Mar 4, Python. Star 2. Updated Jan 14, Python.

Updated Nov 16, R. Updated Dec 23, Jupyter Notebook. Star 0. Updated Mar 21, Jupyter Notebook. Updated Dec 21, Python. Updated Aug 24, Python. Updated Nov 30, Jupyter Notebook. Updated May 10, R. Improve this page Add a description, image, and links to the risk-parity topic page so that developers can more easily learn about it.

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