TY - JOUR T1 - The Resale Value of Risk-Parity Equity Portfolios JF - The Journal of Portfolio Management SP - 23 LP - 32 DO - 10.3905/jpm.2015.41.2.023 VL - 41 IS - 2 AU - Eric H. Sorensen AU - Nicholas F. Alonso Y1 - 2015/01/31 UR - https://pm-research.com/content/41/2/23.abstract N2 - This article examines the application of risk parity to fully diversify an equity portfolio. It presents wealth accumulation in a stochastic dominance framework, tested over increasing investment horizons. The portfolio construction algorithms consider sector, country, and stocks in achieving an alternative to capitalization-weighted approaches. Risk parity is dominant over 75% of the historical periods for any two-year horizon and is dominant in all cases after six-year horizons. It achieves dominance over capitalization-weighted indices over shorter horizons during periods of higher market volatility, periods of higher inflation, and periods with steep yield curves.TOPICS: Equity portfolio management, commodities, analysis of individual factors/risk premia ER -