Interesting paper with a neat take on correlation: its asymmetric and we should focus on downside more than overall correlation. Treasuries still most dissimilar to equities; commodities, not so much. Not exactly a must read, but provides food for thought for the RP investor.
Wonderful analogy of stores selling skis in the winter and bikes in the summer to explain the basics of diversification as the bedrock principle of effective portfolio construction. A must-understand concept for Risk Parity, cleverly and effectively presented.
Cobbled together some different sources on TIPS for readers who want to follow up: a comprehensive website, a helpful YouTube channel, and then excerpts from Risk Parity classics by Shahidi, Qian, and Dalio. May follow up with some academic articles, if I can find some good ones!
Consider this a bit of a “reality check” to return to logic and caution after more than a decade of boundless investor optimism. Lots of Risk Parity-esque insights. Recommended, but maybe better suited for pros though, as the DIY investor can get the message through Ilmanen’s podcast appearances.
Short, provocative case in favor of a leveraged, balanced portfolio over an unleveraged, unbalanced portfolio. Should be read in context with Ray Dalio’s work about leveraged Risk Parity and Asness’s later piece (with Frazzini and Pedersen) about aversion to use of leverage.
