Practical Applications of The Resale Value of Risk-Parity Equity Portfolios

Autor: Nicholas Alonso, Eric H. Sorensen
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