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S&P Risk Parity Indices

Published in Strategy Indices

The S&P Risk Parity Indices seek to measure the performance of a multi-asset strategy that allocates risk equally among equity, fixed income, and commodities futures contracts. Within each asset class, the indices also maintain an equal risk exposure to each individual futures contract. The balanced risk contribution is designed to offer diversification that may reduce risk without sacrificing return across different economic cycles. The indices are also designed to serve as benchmarks for risk parity funds.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 27 commodities and 3 indexes; including the S&P Risk Parity Index (10%, 12% and 15% Target Volatility Indices).

Some of the data items available include:

  • Branding, Country, Country Code, Database Domain Code, Database Source, Database Symbol, Excess Return in US Dollars, Factor, Gross Index in US Dollars, Index Family, Index Type, Last Price Date, Market Capitalization in US Dollars, Next Day Gross Index Market Capitalization in US Dollars, Next Day Market Capitalization in US Dollars, Next Day Number of Constituents, Number of Constituents, Time / Date, Weight Type, etc.


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