In this paper, I examine the use of Risk Parity for enhancing performance in the portfolioconstituted of Global Exchange-Traded Funds across nine asset classes. The study is supported bytwo sample periods. In the first sample period from September 2008 to October 2016, UnleveredRisk Parity strategy is compared with two benchmark strategies on risk-adjusted returns. In thesecond sample period, 2011- 2016, other two Levered Risk Parity portfolios that have differentconstruction principles are added into comparison to analyze the influence of leverage in RiskParity strategy. The results show that Risk Parity strategy do enhance the portfolio performancewith higher Sharpe ratio and lower annualized standard deviation, but I have also found that theperformance of trading strategy is sensitive to the selected sample periods. And the use ofleverage in Risk Parity strategy has increased cumulative returns and remained a comparably highSharpe ratio.
MSc in Finance Project-Simon Fraser University
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