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CurAlea Associates LLC is an independent risk and due diligence advisory firm focused on hedge funds and family offices.

Friday, August 23, 2013

Risk Parity

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.

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