- Introduction & Methodology
- Industry Trends
- Vendor Ratings
- Bridgewater Associates (All Weather)
- AQR (Risk Parity)
- BlackRock (Market Advantage Fund)
- PanAgora (Risk Parity Multi Asset)
Past Surveys
Industry Trends
Risk parity users by asset owner type
| 2016 | 2015 | CHANGE | ||
| • | Corporate pension fund | 40% | 37% | 6% |
| • | Public pension/sovereign wealth | 25% | 17% | 43% |
| • | Endowment/foundation | 2% | 10% | -80% |
| • | Other | 33% | 35% | -4% |
20162015
Risk parity users by asset size
| 2016 | 2015 | CHANGE | ||
| • | Less than $500 million | 29% | 2% | 1154% |
| • | $500 million – $1 billion | 4% | 3% | 19% |
| • | $1 billion – $5 billion | 15% | 24% | -40% |
| • | $5 billion – $15 billion | 17% | 23% | -28% |
| • | More than $15 billion | 35% | 47% | -24% |
20162015
In what ways do you consider using risk parity?
| 2016 | 2015 | CHANGE | |
| As a standalone risk parity allocation | 56% | 53% | 6% |
| As an asset allocation “pilot program” | 11% | 20% | -44% |
| In “innovation” or “alternatives” portfolios | 30% | 33% | -10% |
| As an allocation to real assets | 11% | 9% | 21% |
| As a GTAA or GAA strategy | 15% | 20% | -25% |
| As an equity substitute | 26% | 17% | 52% |
| As a funding vehicle for private equity strategies | 11% | 4% | 181% |
| As a cash overlay | 7% | 9% | -20% |
| As a core component of the total asset allocation | 52% | 38% | 36% |
| As part of custom target-date fund in a DC plan | 30% | 22% | 32% |
| As a standalone option in a DC plan | 15% | 8% | 88% |
Risk parity users by location
| 2015 | 2014 | CHANGE | ||
| • | United States | 80% | 74% | 8% |
| • | Canada | 2% | 4% | -37% |
| • | Europe | 13% | 18% | -24% |
| • | Other | 5% | 5% | -6% |
20162015
What are your risk parity allocation plans for the next
12 months?
| 2016 | 2015 | CHANGE | ||
| • | Increase | 16% | 19% | -16% |
| • | Maintain | 72% | 66% | 10% |
| • | Reduce | 12% | 16% | -23% |
20162015
What percentage of your portfolio is allocated to risk parity?
ALL RESPONDENTS
| 2016 | 2015 | CHANGE | ||
| • | <5% | 59% | 66% | -11% |
| • | 5% – 10% | 22% | 15% | 49% |
| • | 10% – 25% | 11% | 8% | 37% |
| • | >25% | 7% | 11% | -31% |
20162015
< $5 BILLION
| 2016 | 2015 | CHANGE | ||
| • | <5% | 77% | 59% | 31% |
| • | 5% – 10% | 15% | 18% | -13% |
| • | 10% – 25% | 0% | 6% | -100% |
| • | >25% | 8% | 18% | -56% |
20162015
> $5 BILLION
| 2016 | 2015 | CHANGE | ||
| • | <5% | 43% | 65% | -34% |
| • | 5% – 10% | 29% | 16% | 75% |
| • | 10% – 25% | 21% | 8% | 163% |
| • | >25% | 7% | 10% | -30% |
20162015
How do you bucket your risk parity strategy?
ALL RESPONDENTS
| 2016 | 2015 | CHANGE | |
| Equities | 15% | 17% | -11% |
| Fixed income | 0% | 7% | -100% |
| Alternatives | 37% | 32% | 17% |
| Real assets | 11% | 7% | 67% |
| Dedicated risk parity/multi-asset bucket | 59% | 45% | 32% |
| Other | 11% | 17% | -33% |
< $5B
| 2016 | 2015 | CHANGE | |
| Equities | 23% | 25% | -8% |
| Fixed income | 0% | 13% | -100% |
| Alternatives | 46% | 31% | 48% |
| Real assets | 23% | 13% | 85% |
| Dedicated risk parity/multi-asset bucket | 54% | 44% | 23% |
| Other | 15% | 6% | 146% |
> $5B
| 2016 | 2015 | CHANGE | |
| Equities | 7% | 14% | -48% |
| Fixed income | 0% | 5% | -100% |
| Alternatives | 29% | 32% | -10% |
| Real assets | 0% | 5% | -100% |
| Dedicated risk parity/multi-asset bucket | 64% | 45% | 41% |
| Other | 7% | 20% | -65% |
Out of which bucket(s) do you fund risk parity?
ALL RESPONDENTS
| 2016 | 2015 | CHANGE | |
| Equities | 54% | 53% | 1% |
| Fixed income | 12% | 21% | -44% |
| Alternatives | 31% | 19% | 62% |
| Real assets | 8% | 2% | 346% |
| Dedicated* | 38% | 24% | 59% |
| Other | 4% | 16% | -75% |
< $5B
| 2016 | 2015 | CHANGE | |
| Equities | 62% | 69% | -10% |
| Fixed income | 8% | 19% | -59% |
| Alternatives | 31% | 19% | 64% |
| Real assets | 15% | 0% | n/a |
| Dedicated* | 31% | 13% | 146% |
| Other | 8% | 13% | -38% |
> $5B
| 2016 | 2015 | CHANGE | |
| Equities | 46% | 48% | -3% |
| Fixed income | 15% | 21% | -28% |
| Alternatives | 31% | 19% | 62% |
| Real assets | 0% | 2% | -100% |
| Dedicated* | 46% | 29% | 62% |
| Other | 0% | 17% | -100% |
Risk parity clients: average satisfaction levels with vendors
| (1=low; 5=high) | 2016 | 2015 | CHANGE |
| Level of transparency for implementation/portfolio construction | 4.00 | 3.81 | 5% |
| Product performance since inception | 4.00 | 3.44 | 16% |
| Level of transparency for portfolio holdings | 3.40 | 3.17 | 8% |
| Product performance past year | 3.74 | 3.65 | 2% |
| Client service | 4.40 | 4.38 | 1% |
| Overall offering | 4.40 | 4.03 | 9% |
How concerned are you about the following issues, if at all?
| NOT AT ALL | A LITTLE | MODERATELY | QUITE | EXTREMELY | |
| The use of leverage/ counterparty risk |
22% | 33% | 33% | 11% | 0% |
| Performance | 15% | 22% | 37% | 22% | 4% |
| Peer risk | 38% | 21% | 38% | 0% | 4% |
| Assets without a risk premium/prohibited by IPS |
37% | 33% | 22% | 7% | 0% |
| Board and staff education |
19% | 35% | 15% | 23% | 8% |
| No explicit bucket to put it in |
62% | 27% | 4% | 8% | 0% |
| Not enough viable manager offerings |
65% | 12% | 15% | 8% | 0% |
| The passive approach some vendors take |
62% | 19% | 8% | 8% | 4% |
| Dynamic asset allocation policy is preferable |
35% | 42% | 15% | 4% | 4% |
| Timing | 31% | 27% | 19% | 15% | 8% |
| Transparency | 19% | 27% | 35% | 15% | 4% |
| How to benchmark | 24% | 40% | 12% | 16% | 8% |
Non-users: What concerns have led you to not allocate or not consider an allocation towards risk parity strategies?
| 2016 | 2015 | |
| The use of leverage/counterparty risk | 33% | 42% |
| Performance | 33% | 34% |
| Board and staff education | 27% | 20% |
| Timing (i.e. implementing a portfolio today given the valuation of bonds) | 20% | 6% |
| Benchmarking | 20% | 4% |
| Not enough viable manager offerings | 13% | 15% |
| Peer risk | 7% | 22% |
| Assets without a risk premium/prohibited by IPS | 7% | 22% |
| Transparency | 7% | 7% |
| No explicit bucket to put it in | 0% | 19% |
| The passive approach some vendors take | 0% | 15% |
| Dynamic asset allocation policy is preferable | 0% | 12% |
| Other | 13% | 26% |