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.

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

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Has The Fed surrendered?