The Salient Risk Parity Index is a quantitatively driven global asset allocation index that seeks to weight risk equally across four asset classes — equities, rates, commodities and credit. The Index is calculated daily, rebalanced monthly, and targets a 10% volatility level. The Salient Risk Parity Index is comprised of an equally risk-weighted portfolio of equities, commodities, global interest rates and credit. It employs 51 futures contracts and 5 credit default swap indices. The Index risk-weights the underlying assets at both the asset class and the sub-asset class level. The Index weights target a 10 percent standard deviation for the index as a whole, a risk level which is approximately equal to the long-run annual standard deviation of a typical portfolio consisting of 60 percent equities and 40 percent debt.
For this data source, RIMES hosts the Salient Risk Parity Index. Some of the index items available include:
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