New Risk Parity Mutual Fund Launches

AQR, who has been pretty innovative in launching a number of what I would call alternative beta funds, just launched a risk parity fund – AQRNX, AQRIX.  (HT:AP)  We’ve been writing about the topic of risk parity on the blog since 2006 and I’ll include some background links below.  I asked the q a long time ago why someone didn’t launch an all weather type of globally diversified fund (although they should only charge about 20-50 bps tops vs 1.25% which seems high for a buy and hold strategy).

Fact Sheet here

Homepage here

A couple other views on risk parity below:

I Want to Break Free – James Montier

The Hidden Risks of Risk Parity Portfolios – Ben Inker GMO

Engineering Targeted Returns and Risks – Bwater

The Biggest Mistake In Investing
– Bwater

Risk Parity Portfolios – PanAgora

Risk Parity PPT– PanAgora

The King of Quants
Risk Parity Q3
Risk Parity Q2

And an article from Quantext, “Getting the Most Return for Your Risk“.

I wholeheartedly agree with the author that a good buy and hold asset allocation can get you to about a 1:1 ratio for return to volatility. With a few tweaks (like risk parity) you can do slightly better, but not a lot better without resorting to active management.