Investors are always in search of diversifying securities and strategies to assist in downside risk management. We consider six popular diversifying securities, i.e. Gold, Swiss Franc, Japanese Yen, Bond Futures, S&P 500 80% strike Put Options, and Trend Following strategies in this paper. Using...

Popular academic and practitioner lore claims that buying options, whether puts or calls, is a negative expected return investment and hence should not be undertaken by “rational, risk-neutral” investors. However, real world considerations such as the possibility of large jumps and imitative...

The risks embedded in asset-based risk parity portfolios are explored using a simple, economically motivated approach. Such an approach can go a long way toward demystifying and making more explicit the drivers of performance and risks of asset-based risk parity portfolios. Investors in risk...

This paper asks a few key questions relevant for active risk parity portfolio construction. Given the dynamic nature of financial markets, especially in the aftermath of the financial crisis, we believe systematically answering these questions within a transparent conceptual framework is...