An Empirical Study On Risk Parity Strategy In Asset Allocation

The rapid development of China's economy and systematic financial reform conducted by the China's government has presented an unprecedented opportunity for the capital market of our country.The booming China's capital market leads to many distinctive features in the market,such as innovation of financial instruments,broadened investment channels,and diverse investment structures.More and more institutions and individual investors are participating in our country's capital market.Meanwhile,more requirements are needed for asset allocation.In the year of 2008,the Bridgewater's All weather strategy of fund withstood the test of the financial crisis and that the company performed excellently in the market.The company's idea of risk parity investment started to rise and attract the attention of many managers and investors.In recent years,risk parity strategy has gradually become one of the mainstream modern asset allocation strategies.This article took the risk parity strategy as the research object,and it drew relevant data of ETFs in capital market from the Wind Database.It constructed a portfolio of assets under the risk parity strategy,and compared with the performance of ETFs in different periods.At the same time,compared with the minimum variance strategy and the equal weight strategy.Through empirical research,it was found that in comparison with the traditional asset allocation strategies,risk parity strategy can better spread the risk and pursue steady returns.This strategy has applicability and feasibility in China's capital market,and it provides investors a new investment strategy of asset allocation from a view of risk perspective.