The rise, fall and maybe rise again of risk parity

Tue Jul 23, 2013

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Many risk parity strategies have had a strong performance run especially during the difficult markets over the last few years.

Recently, however, some of these strategies have reported negative performance during the first half of the year.

Aquila Capital’s risk parity strategies have followed this trend. The Hamburg-based asset management firm runs several portfolios, with different volatility exposures, and the firm has also recently unveiled a new fixed income fund that follows a similar strategy.

During the violent markets of 2008 the AC Risk Parity 7 Vol Fund, which launched in February that year and has the lowest volatility in the multi-asset range, returned more than 7%.

Since inception the fund has reported a return of 15%. However, year-to-date to June this year performance is down more than 8%.

There was a strong correlation between bonds and equity markets in June when the fund was down 5%, according to Jan...

ISSN: 2151-1845 / CDC10004H


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