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What is Risk Parity Strategies With Risk Factors about?

This research paper evaluates naive risk parity (RP) strategies using S&P 500 stocks, demonstrating that both conventional and dynamic RP portfolios outperform traditional value-weighted and equal-weighted portfolios. The study finds that RP portfolios, particularly those based on firm size and momentum, yield higher risk-adjusted returns, especially during economic downturns. Additionally, a dynamic RP strategy enhances excess returns per unit of risk without increasing total portfolio returns.

Author

hmj2813564

Language

EN