Practical Applications of The Resale Value of Risk-Parity Equity Portfolios
Autor: | Nicholas Alonso, Eric H. Sorensen |
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Rok vydání: | 2015 |
Předmět: | |
Zdroj: | Practical Applications. 3:1.7-5 |
ISSN: | 2329-020X 2329-0196 |
Popis: | Pension funds should use risk parity as an alternative to actively managed cap-weighted indices, according to Eric Sorensen and Nicholas Alonso . Though the strategy is typically applied as an approach to balance risk across asset classes, the authors of this research demonstrate its flexibility and outperformance versus traditional cap-weighted indices. Risk parity can help investors resist horizon bias, say the authors. They also note is that risk-parity portfolios suffer less in declining markets, while gaining most of the upside of rising markets, as compared with cap-weighted indices. Sorensen, who is President and CEO of PanAgora Asset Management , and co-author Alonso, who is a Portfolio Manager at the Boston-based firm, present their findings in The Resale Value of Risk Parity Portfolios , in the Winter 2015 issue of The Journal of Portfolio Management . |
Databáze: | OpenAIRE |
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