Risk Parity


Portfolio Optimization: Simple versus Optimal Methods

Portfolio Optimization: Simple versus Optimal Methods

Our whitepaper “The Optimization Machine: A General Framework for Portfolio Choice” presented a logical framework for thinking about portfolio optimization given specific assumptions regarding expected relationships between risk and return. We explored the fundamental roots of common portfolio …

ReSolve Buffett Bet PortfolioBased on Risk Parity and Factors

ReSolve Buffett Bet Portfolio
Based on Risk Parity and Factors

In 2008 Warren Buffett proposed a public bet that actively managed investment products, plagued by high fees, would not live up to the goal of beating a passive investment in the Vanguard S&P 500 ETF over the subsequent decade. Only one person had the intellectual conviction to represent the …

Risk Parity and The Four Faces of Risk

Risk Parity and The Four Faces of Risk

The goal of this article is to summarize the complex dynamics that drive asset returns. You’ll discover that asset returns are impacted by four sources of risk. Two of these risks affect all assets in the same way, and therefore are undiversifiable. The other two risks …

Risk Parity isn’t the Problem, it’s the Solution

Risk Parity isn’t the Problem, it’s the Solution

Bank of America Merrill Lynch recently released a research note suggesting that Risk Parity investment strategies currently represent a substantial source of systematic risk in global markets.  The note was picked up breathlessly by several media outlets and posted under …