Risk-Parity Quants Hammered by Stocks and Bonds Moving Together
- Multi-asset approach hit by the ‘sell everything’ market rout
- RPAR ETF suffers worst day since Covid-fueled turmoil in March
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One of the ugliest things about this week’s selloff is that there are so few places to hide, and that’s bad news for a breed of quant which seeks to spread out risk across assets.
So-called risk-parity strategies posted their worst day in four months on Thursday, according to an S&P index, while the $1.2 billion RPAR Risk Parity ETF plunged the most since the depths of the Covid rout in March.