An analysis of risk parity strategies in a rising interest rate environment given the historical tendency of risk parity strategies to have large bond positions. Concludes that critics of risk parity strategies understate the diversifying benefits of commodities, the responsiveness of risk parity strategies to changes in asset volatility, and the dynamic incorporation of changing correlations in many risk parity implementations.
Friday, August 23, 2013
Thursday, August 22, 2013
Very good study on the long term effects of Hedge Fund Activism. Refutes many of the criticisms.