In their Global Rates.........>

GLOBAL MARKET/OPINION: In their Global Rates Weekly, Barclays' analysts

construct their own theoretical risk-parity fund to assess how much impact such

funds would have had upon recent market movements. The conclusion is not a lot.

- They use one year rolling correlations in their model portfolio but point out

that RP funds use a variety of frequencies. 

- They point out "First, the size of risk parity funds has been estimated at

$120-500bn, a small fraction of global market cap (roughly $90tn). Further,

these funds generally not only operate in cash markets, but also make extensive

use of futures and other derivative markets, making them a drop in the bucket of

global assets. Second, there is a lack of understanding in how fast (or rather

slow) risk parity tends to move". 

- Most funds to not just "turn off the model" with a spike in volatility and say

that only 5-10% of portfolio of assets will actually "be reallocated during a

de-leveraging event" and likely over a period, not a week. Funds are also

reactive, not proactive so never trigger the move.

- Their model sees a greater allocation to TIP in coming months.