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