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Home : Indexes : Wilshire Risk Parity Family : Wilshire Risk Parity Index - 15% Target Volatility

Indexes

Wilshire Risk Parity Index - 15% Target Volatility

The Wilshire Risk Parity Index - 15% Target VolatilitySM (Wilshire Risk Parity IndexSM) is designed to measure the performance of a multi-asset risk parity strategy that allocates risk equally among three risk baskets: equity, rates and inflation while targeting an ex-ante volatility level of 15%. Each risk basket is designed to contain a diverse, yet still representative set of highly-liquid futures to help not only capture main asset class risk drivers, but also minimize index turnover. To maximize risk diversification while maintaining asset class exposure as specified, baskets are risk-weighted at the individual basket, then main asset class level. To leverage a proxy for rates and inflation that is both widely accepted and highly liquid, U.S. Treasury Inflation Protected Securities (TIPS) are incorporated. Additionally, a long- and short-term realized variance-covariance matrix not only anchors the index to long-term volatility trends, but also provide responsiveness to short-term shifts; and, a 1-month equity dampener triggered by a jump in equity volatility, as represented by the S&P VIX, aims to further amplify short-term responsiveness.

Summary

  • Equal weighted risk baskets: equity, rates and inflation
  • Long-term and short-term risk measures
  • Includes 12 liquid futures plus U.S. Treasury Inflation Protected Securities (TIPS)
  • Equity dampener using VIX
  • Rebalanced monthly
  • Monthly history from December 31, 2004
  • Daily history from December 31, 2004

Fact Sheet

Fact Sheet
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Methodology

Methodology
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Press Release

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