Moderate Risk Portfolio

Risk Parity Strategy :

  • Investment weight is determined on the basis of the forecasted volatility
  • No analysis of historical trends
  • A single level of risk for each class
  • Test history for 10 years including the crisis of 2008-2009
  • We do not create an attractive chart with a low level of significance of the forecast
  • Fundamental idea of the strategy: rotation of the capital
  • Haven assets: precious metals, bonds
  • Cumulative return is higher than the market
  • Fundamental diversification, minimalism of the asset set

"Moderate" (USD) Hedged Portfolio

  • Average annual return: 13%
  • Average annual return of the market: 11%
  • Sensitivity to the market (beta): 21%
  • Sharpe ratio: 1.0
  • Sharpe ratio (MSCI World): 0.5
  • Optimization period: 6 months
  • Leverage: 1
  • Maximum drawdown: 9%
  • Maximum drawdown (MSCI World): 36%
  • Low sensitivity to the volatility of stock markets
  • High stability of the annual return
Ticker Symbol Description
SPY, SCHF Global Companies with high capitalization
VSS, SCHA Global companies with low capitalization
VWO Emerging Markets Index
VXX Volatility Index (futures, options)
IYR Global Real Estate Index
TLT Long-term US Treasury bonds
VGSH Short-term US Treasury bonds
IGOV Global Bond Market Index
GLD Precious Metals Index
USCI Commodity Index
ICI Currency Carry Trade Index
QAI, MCRO Hedge Fund Indices
Out-of-sample тестирование