Risk parity in US futures markets - CIO Prof. Dr. Bernd Scherer's has been invited to write an editorial for the March edition of the Journal of Asset Management.

Risk parity investing is a heuristic portfolio construction rule that is only accidentally compatible with portfolio theory. It neither attempts to arrive at explicit return forecasts nor does it require the specification of an objective function. The claimed diversification benefits are grossly insufficient to justify allocations to risk parity portfolios or in fact any risk based investment product. ...more