The Death Of Risk Parity Strategies Was Premature (Pay Attention To The Fed!)

The S&P Multi-Asset Risk Parity Index measures the performance of a multi-asset risk parity strategy that allocates risk equally among equity, fixed income and commodities futures contracts.

The risk parity strategy by firms such as AQR Capital suffered a big set back when The Fed started raising the Fed Funds Target rate near the end of Janet Yellen’s term as Fed Chairman. Risk parity recovered but then suffered a second knock-down as Powell continued raised the target rate and the balance sheet began shrinking.

spriskparoty

But as The Fed looks in full retreat, the Risk Parity index has rallied.

wirp0207819

Has The Fed surrendered?

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