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Risk parity has not fared well in this crisis.
by earthshot 6y ago
Risk parity has not fared well in this crisis.
- infinite8s 6y agoRisk parity doesn't come fare well when all correlations go to 1.
- H8crilA 6y agoAll correlations did _not_ go to 1. Volatility was amazing and certainly anti-correlated. Risk parity's fatal flaw is assuming all instruments must be generating continuous profits.