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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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- A benchmark of risk parity, the systematic investment method pioneered by Ray Dalio, has dropped 3% in the past four days.
- The strategy, which seeks to spread risk by allocating to different assets based on their volatility, has been upended as investments like stocks and bonds increasingly move in lockstep.
- Like many multi-asset trades, risk parity depends on those two asset classes in particular hedging one another.
- That hit a snag this week when higher-than-expected U.S. inflation spurred fears that rising rates could hurt a slew of investments.
- After more than a decade mostly in negative territory, the 60-day correlation between Treasuries and the S&P 500 Index has now reached the highest since 1999
- Bond declines tend to raise more alarm for risk-parity strategies, which typically have above-average allocations to debt owing to its lower volatility.
- In this view, the selloff in Treasuries this year has been especially concerning because it signals investors are demanding higher yields after a decade of falling rates.
- With stocks also slumping in the first half of the week, the $1.2 billion RPAR Risk Parity ETF posted its worst three days since March 2020.
- Inflows to the fund have faltered recently after it lured cash almost every single week last year.
MNI London Bureau | +44 020-3983-7894 | murray.nichol@marketnews.com
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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