Risk Parity bleedingRisk parity strategies are having another bad day since yields remain stubbornly high despite the market rout. Markets waking up to the fact that the Fed is maybe way behind the curve.
Key stats
About RPAR Risk Parity ETF
Expense ratio
0.50%
Home page
Inception date
Dec 13, 2019
RPAR is actively managed yet nonetheless aims to align its exposure to an index, the Advanced Research Risk Parity Index. The index diversifies across four asset classes (TIPS, US Treasurys, global equities and commodities), seeking returns similar to global equities with less risk over time. The logic behind the asset class weighting considers historical volatility of each asset class, aiming for similar risk contribution from each. Per the prospectus, the fund rebalances quarterly to fixed allocation of 35% TIPS, 25% equities. 25% commodities and 15% Treasurys. However, the Treasury allocation includes T-bill collateral for a hefty allocation 10-yr Treasury futures, stated at 60% notional. Thus, the all-in nominal asset allocation is unclear as it sums to more than 100% but a) appears to be skewed to T-Notes and TIPS, consistent with its thesis, and b) implies leverage. RPAR may hold other exchange-traded products to provide the targeted sure.
Classification
What's in the fund
Exposure type
Government
ETF
Stocks16.20%
Energy Minerals6.04%
Non-Energy Minerals4.97%
Producer Manufacturing2.16%
Process Industries1.53%
Distribution Services0.82%
Electronic Technology0.39%
Utilities0.17%
Consumer Non-Durables0.08%
Consumer Durables0.05%
Bonds, Cash & Other83.80%
Government42.51%
ETF36.02%
Cash2.72%
Mutual fund2.55%
