Risk Parity Chronicles tracks eight sample portfolios and three benchmark portfolios, in groups according to their levels of expected volatility. The portfolios are summarized and compared here; see subsequent posts for in-depth looks at each.
Here is a side-by-side backtest comparison of the eleven, according to the performance criteria:
Here are the details of what is in each portfolio, along with the asset class used for it in the backtests:
You may be interested in learning about the process to come up with the backtests. If so, please see:
Notes on Backtests
The process of analyzing performance data for the test portfolios was filled with choices: capturing the exact assets but with a shorter time frame? Using a longer time frame but not the exact asset? In the end, there is no one best way to do it, but I settled on a process that hopefully provides...
