Monthly Archives: April 2014

Effective Number of Bets of Risk Parity Strategies and Tactical Risk Parity by ENB

This post will aim to explore the effective number of bets (https://kylebalkissoon.wordpress.com/2014/04/15/effective-number-of-bets/) of various risk parity strategies (https://kylebalkissoon.wordpress.com/2014/04/14/risk-parity-using-various-risk-measures-volatility-expected-shortfall-semi-deviation-maximum-draw-down/).   Why? Let’s see if it explains why some strategies outperform and others underperformed. If it is because we are not betting efficiently (ENB<Assets) relative to the other strategies it may indicate that a certain method or […]

Effective Number of Bets

Yesterday, I had a post on Risk Parity, however one of the drawbacks is if the assets are highly correlated the performance may not be the best. (¬†https://kylebalkissoon.wordpress.com/2014/04/14/risk-parity-using-various-risk-measures-volatility-expected-shortfall-semi-deviation-maximum-draw-down/ ). ¬† Today I will be analyzing the previous group from yesterday to see what was the effective number of bets. This is built off Attilio Meucci […]

Risk Parity using various risk measures (volatility, expected shortfall, semi deviation, maximum draw down)

A lot of people talk about equal risk contribution or balancing risk. This post aim’s to explore how a risk parity portfolio performs depending on the risk metric used in it’s calculation. I explore using Expected Shortfall. Volatility, Semi deviation and maximum drawdown as risk factors. The strategy is rebalanced monthly. Mathematically. Choose W such […]

Sixty-Forty rule

Quick blog post about the sixty forty rule rebalanced annually. As always this is not investment advice. Whipped it up using SPY for stocks and BND for bonds, I used adjusted closes, you could use closes or whatever you like, you can also change rebal to a different number of days. library(quantmod) library(PerformanceAnalytics) getSymbols(“SPY”) getSymbols(“BND”) […]