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How bond risk affects risk parity portfolios

Shi, Qingqi; Zhang, Lian Zhang
Master thesis
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dataset3.txt (1.063Mb)
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https://hdl.handle.net/11250/2687647
Utgivelsesdato
2020
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Samlinger
  • Master of Science [963]
Sammendrag
We document the performance of risk parity portfolios (RPP) of

U.S. equities and government bonds over more than fty years of

daily and monthly data. RPP's strong outperformance compared

to 60/40 portfolios has to some extent relied on sub-periods of

falling interests rates. RPP have a large tail risk materializing in

periods of sharply rising interest rates together with recession or

stag

ation. In these situations, positive return correlation together

with rising rates have a very negative impact on both RPP and

60/40 portfolios, with RPP su ering the larger tail loss. We also

analyze how volatility variation of equities and bonds a ect RPP's

volatility theoretically and empirically.

Keywords: Risk parity portfolio, Government bond, Government

bond yield, volatility variation
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2020/Masteroppgave(MSc) in Master of Science in Quantitative Finance - Handelshøyskolen BI, 2020
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