Historical Drawdowns & Recoveries of the Salient Risk Parity V15 Index

July 1, 2013
The Salient Risk Parity Index is comprised of an equally risk-weighted portfolio of equities, commodities, global interest rates and credit. It employs 46 futures contracts and 6 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% 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% equities and 40% debt.

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