This white paper looks at the period of the increased volatility in the financial markets leading up to and on November 8th and provides valuable insights into internal workings of risk parity strategies during periods of heightened volatility.
risk parity
Risk parity strategies hold the promise of smooth sailing through periods of market turbulence, offering consistent performance via risk diversification. However, during Brexit the losses they experienced were very high by historical standards as they came very close to exceeding, or exceeded, the 95% worst outcome as estimated by the historical VaR.
