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Portfolio construction

Risk parity (inverse volatility)

Each ticker gets a weight inversely proportional to its volatility, so the calm ones get more money and the wild ones less.

2 دقیقه مطالعه · در بهینه‌ساز سبد امتحان کنید ↗

ایده به زبان ساده

Equal money is not equal risk: 25% in a volatile index carries far more risk than 25% in a calm currency. Risk parity equalises the risk instead of the money, in its simplest form by dividing by volatility. It needs neither expected returns nor correlations.

روش محاسبه

Weight each ticker by 1 ÷ its volatility and normalise so the weights add up to 1 (always long only).

wᵢ = (1 ÷ σᵢ) ÷ Σⱼ(1 ÷ σⱼ)

نحوه استفاده

  • As a robust, simple default: it is hard to get badly wrong.
  • Combine with Volatility targeting to set the overall risk level you want.
  • Use ERC instead when some tickers are strongly correlated and you want that taken into account.

نتیجه‌گیری

  • Risk shares close to equal mean the correlations are similar across pairs; very unequal shares mean ERC would differ.
  • A low expected return is common: it puts the most money in the calmest tickers.

مثال

Running example (used in every portfolio guide): US500, GER40, gold (XAUUSD) and EURUSD, two years of daily data. Expected returns 8%, 7%, 7% and 1% a year; volatilities 18%, 20%, 15% and 7%. US500 and GER40 move together (correlation about 0.7); gold hardly moves with the indices (about 0.04). Weights 18% US500, 16% GER40, 21% gold, 45% EURUSD. Return 4.5%, volatility 8.5%. Risk shares 27%, 28%, 20% and 25%: close to equal, but the two indices together carry 55% of the risk because they move together, which inverse volatility ignores.

ورودی‌های مثال نمایشی‌اند؛ وزن‌ها و ارقام همان چیزی است که بهینه‌ساز ما برایشان برمی‌گرداند.

مراقب این‌ها باشید

  • Ignores correlation: two near-identical tickers each get a full share.
  • Often under-invested in return; the institutional versions use leverage to compensate.

کمی تاریخچه

Bridgewater's All Weather fund (1996) made the idea famous; Edward Qian of PanAgora coined the term "risk parity" in 2005. After 2008, when such portfolios held up well, it became a major institutional strategy.

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