Risk Parity DRQ

The Risk Parity DRQ strategy is a globally diversified strategy emphasizing the allocation of risk exposure as opposed to the allocation of capital. The strategy seeks to balance the sources of portfolio risk across major asset classes, including global equities, global credit, sovereign debt and commodities, and aims to capture additional diversification through a proprietary process that adapts the portfolio to be more robust to the conditional correlation of markets during periods of stress.

Objective

Risk Parity DRQ seeks maximum total return at a specific targeted level of risk. The strategy aims to deliver a consistent amount of risk through time and adjusts exposures as market risk varies and as the relationship among strategy constituents changes in response to evolving economic conditions. The strategy goes beyond traditional measures of correlation with the goal of ensuring significant exposure to assets that have tended to bolster the strategy during historical stress periods.

Approach

Risk Parity DRQ seeks out maximum diversification within and across asset classes, enabling the strategy to carry more compensated sources of exposure than a less diversified alternative. Diversification is further enhanced through proprietary measures of conditional correlation designed to identify true diversification. Via this diversification, the strategy seeks to mitigate a portion of downside exposure in difficult markets and enhance upside under favorable conditions.  

We believe our strategy differentiators are diversification within asset classes including commodities, consistent delivery of a targeted level of risk, and better awareness of the conditional nature of correlations during stress environments.