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.
Key Features and Coverage on RIMES
For this data source, RIMES hosts the Salient Risk Parity Index. Some of the index items available include:
- Database Domain Code
- Hedged Price Index (in Canadian Dollars, Swiss Francs, Euros, British Pound Sterling, Japanese Yen, Singapore Dollars)
- Last Price Date,
- Price Index,
- Price Index 1 Day Return in Local Currency
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