MarketHeist Portfolio · Strategy

Risk Parity (inverse-vol)

by Qian; Maillard, Roncalli & Teïletche

Equal-dollar portfolios are dominated by their most volatile holding. Weighting by inverse volatility equalizes each asset's risk contribution, so bonds and real assets actually diversify equities instead of being drowned out — the simplest form of the risk-parity idea behind all-weather investing.

CAGR 8.1%

Max Drawdown -16.8%

Sharpe 0.91

Based on

• Risk Parity Portfolios — Edward Qian, 2005 · PanAgora Asset Management
• The Properties of Equally Weighted Risk Contribution Portfolios — Maillard, Roncalli & Teïletche, 2010 · The Journal of Portfolio Management

See the full, editable backtest — reproduce it, change the rules →