We examine the distribution of rebalancing premiums for a simple risk parity implementation (a version of the Permanent Portfolio) consisting of US stocks, gold and bonds from 1982 through May 2020. We then proceed to analyze historical and expected future rebalancing premia for a variety of global risk parity strategies .. The post Maximizing the Rebalancing Premium: Why Risk Parity portfolios are much greater than the sum of their parts appeared first on ReSolve Asset Management.
