Study On The Effectiveness Of Risk Parity Strategy In The Application Of General Asset Allocation

At present,"Risk Parity Strategy" has become the mainstream allocation strategy in the field of asset allocation at home and abroad,and can provide effective asset allocation strategy for investors.In this paper,the traditional risk parity strategy is improved,and the target volatility method is used to adjust the leverage of risk parity model dynamically to solve the shortage of risk asset allocation and low return,so as to optimize the asset allocation model,provide investors with a more comprehensive strategy design ideas to meet the different investment needs of investors and asset allocation objectives.This paper selects three kinds of asset indices from January 2,2008 to December 31,2020 for empirical analysis,namely,Wind A,SSE Five-year Treasury Bond Index and South China Commodity Index.The results show that although the three types of assets have a certain correlation,the correlation coefficient is not large,which does not affect the results of the return test;a comprehensive analysis of 631,equal-weight,risk-parity model asset allocation strategy portfolio asset weights,risk-parity model more responsive,will be the first time to make adjustments to control risk and obtain higher returns.Using Merrill Lynch investment clock model to further verify the risk parity model in the long-term asset allocation effectiveness.Through the comparison and analysis of performance indicators,it is found that the risk parity model based on target volatility control has obvious advantages in asset allocation.