Post by congregatio on Jan 7, 2021 8:20:07 GMT 4
Extended examples of long-term, annually rebalanced portfolio performance using the modified risk parity (MRP) approach are presented. The analysis considers three distinct diversified portfolio holdings, comprising index funds, sector funds and a blended portfolio of index and sector funds.
The analysis considers the time period 2000-mid November 2020, which includes drawdown from the March 2020 worldwide outbreak of coronavirus 2019 disease.
Comparisons of MRP return performance versus competitive portfolios of index-following or balanced funds are presented. Results indicate that for sufficiently long holding periods, substantial out-performance of MRP allocation strategies relative to passive buy-and-hold benchmarks can be realized.
SSRN-id3738846.pdf (2.65 MB)
The analysis considers the time period 2000-mid November 2020, which includes drawdown from the March 2020 worldwide outbreak of coronavirus 2019 disease.
Comparisons of MRP return performance versus competitive portfolios of index-following or balanced funds are presented. Results indicate that for sufficiently long holding periods, substantial out-performance of MRP allocation strategies relative to passive buy-and-hold benchmarks can be realized.
SSRN-id3738846.pdf (2.65 MB)