{"title":"电晕年的投资:修正后的风险平价投资组合","authors":"A. Maewal, Joel R. Bock","doi":"10.2139/ssrn.3738846","DOIUrl":null,"url":null,"abstract":"Extended examples of long-term, annually rebalanced portfolio performance using the modified risk parity (MRP) approach are presented. The analysis considers three distinct diversified portfolio holdings, comprising index funds, sector funds and a blended portfolio of index and sector funds. \n \nThe analysis considers the time period 2000-mid November 2020, which includes drawdown from the March 2020 worldwide outbreak of coronavirus 2019 disease. \n \nComparisons of MRP return performance versus competitive portfolios of index-following or balanced funds are presented. Results indicate that for sufficiently long holding periods, substantial out-performance of MRP allocation strategies relative to passive buy-and-hold benchmarks can be realized.","PeriodicalId":377322,"journal":{"name":"Investments eJournal","volume":"27 7 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Investing in the Year of Corona: The Modified Risk Parity Portfolios\",\"authors\":\"A. Maewal, Joel R. Bock\",\"doi\":\"10.2139/ssrn.3738846\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Extended examples of long-term, annually rebalanced portfolio performance using the modified risk parity (MRP) approach are presented. The analysis considers three distinct diversified portfolio holdings, comprising index funds, sector funds and a blended portfolio of index and sector funds. \\n \\nThe analysis considers the time period 2000-mid November 2020, which includes drawdown from the March 2020 worldwide outbreak of coronavirus 2019 disease. \\n \\nComparisons of MRP return performance versus competitive portfolios of index-following or balanced funds are presented. Results indicate that for sufficiently long holding periods, substantial out-performance of MRP allocation strategies relative to passive buy-and-hold benchmarks can be realized.\",\"PeriodicalId\":377322,\"journal\":{\"name\":\"Investments eJournal\",\"volume\":\"27 7 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-11-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Investments eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3738846\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Investments eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3738846","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Investing in the Year of Corona: The Modified Risk Parity Portfolios
Extended examples of long-term, annually rebalanced portfolio performance using the modified risk parity (MRP) approach are presented. The analysis considers three distinct diversified portfolio holdings, comprising index funds, sector funds and a blended portfolio of index and sector funds.
The analysis considers the time period 2000-mid November 2020, which includes drawdown from the March 2020 worldwide outbreak of coronavirus 2019 disease.
Comparisons of MRP return performance versus competitive portfolios of index-following or balanced funds are presented. Results indicate that for sufficiently long holding periods, substantial out-performance of MRP allocation strategies relative to passive buy-and-hold benchmarks can be realized.
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