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Risk Parity Index

NilssonHedge provides a Risk Parity Index, based on the average returns of the underlying managers. We do not provide backtracked returns nor do we allow for “instant track-records”. Managers are included that existed in the database, in December, the prior year.

Risk Parity portfolios are based on the notion that most asset classes have the same expected risk-adjusted returns. If that is indeed the case, the rational approach is to balance the expected risk and use the correlation benefits to achieve a higher risk-adjusted return. In some cases, managers differentiate between Volatility and Risk Parity where the former only focuses on risk for each asset class, whereas the latter also adds correlation structure.

Risk Parity portfolios are typically either (modestly) leveraged or have lower volatility than pure equity portfolios. Volatility targeting to a specific volatility target is also common. In most cases, this is a long-only portfolio with limited capabilities to enter short positions.

The index is based on managers that are part of the database as of the end of the prior year. We do not impose minimum requirements on track records or aum for this subset. Managers that drop out of the index are replaced with the average return of the index.

The purpose of the index is to track funds that are reporting data publically and may thus exclude certain managers that have chosen not to do so.

AQR Capital ManagementGlobal Risk Parity
AQR Capital ManagementMulti-Asset
BridgewaterAll Weather
Columbia ThreadneedleColumbia Adaptive Risk Allocation
First Quadrant LPBalanced Risk Commodities
First Quadrant LPEssential Beta
Focus Point CapitalFPC Macro
Formuepleje Fund ManagementFormuepleje Epikur
Formuepleje Fund ManagementFormuepleje Pareto
Formuepleje Fund ManagementFormuepleje Penta
Formuepleje Fund ManagementFormuepleje Safe
Global Bayesian DynamicsRisk Parity
InvescoBalanced Risk 8
Katonah EveGlobal Tactical Allocation Program
LyxorArma 8
Man AHLAHL Target Growth
Man AHLAHL TargetRisk Fund
Millburn Ridgefield CorporationAdaptive Allocation Program
PanAgoraRisk Parity
SanlamManaged Risk
Securian AMDynamic Managed Vol
WH Asset ManagementWH Index