A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes
提出一种稳健的分散化方法，通过平衡增长、通胀、实际利率和流动性四个宏观风险因子在五种市场制度下的风险贡献，构建风险平价组合，实现10%预期波动率和优于传统60/40组合的分散化与抗冲击能力。
In this article, the authors describe a robust approach to portfolio diversification that balances risk contributions across risk factors and market regimes. After identifying four compensated macro risk factors—growth, inflation, real rates, and liquidity—the authors construct a factor portfolio for each based on a broad set of asset classes, including proxies for private equity and private real estate. Next, the authors identify five distinct market regimes characterized by unique asset class behaviors. The factor portfolios are then combined such that the risk contributions to the resulting total portfolio are as balanced as possible, regardless of which market regime materializes. By combining regime-aware correlations with dynamic volatility estimates for each factor and applying standard 1.5× to 2× leverage, the authors demonstrate a risk-parity portfolio with 10% ex ante volatility and attractive absolute and risk-adjusted returns. Compared with a traditional 60/40 portfolio, the proposed risk-parity portfolio displays greater diversification, more consistent factor-risk contributions, and greater resilience to economic shocks.